Lead - Model Validation Pricing

• Are you ready to lead from the front in a high-impact quantitative risk role ?
• We are looking for a seasoned professional to drive model validation initiatives across pricing and counterparty credit risk models within a global banking environment.
• This is a hands-on leadership role with responsibility for both technical delivery and team management.
• Key Responsibilities:
• Independently validate derivative pricing models (Interest Rates, Credit, Equities, FX) and/or counterparty credit risk models (XVA, PFE/EPE, CVA, IMM)
• Perform end-to-end model validation, including:

• Methodology review
• Model assumptions & limitations
• Calibration techniques
• Implementation logic & numerical robustness

Design and execute independent validation tests:

• Sensitivity analysis
• Stress testing
• Backtesting
• Benchmarking vs alternative models / market practices
• Ensure compliance with model risk management frameworks and regulatory expectations
• Collaborate with Front Office, Risk, Model Development, and Technology teams to challenge and enhance models while maintaining independence
• Prepare validation reports for senior management, auditors, and regulators
• Support regulatory reviews and examinations

Oversee model lifecycle governance:

• Inventory & classification
• Periodic reviews
• Performance monitoring
• Issue tracking & remediation
• Lead and mentor a team (2-3 quants) ensuring quality and timely delivery
• Work closely with global stakeholders across regions

Candidate Profile:

6-10 years of experience in:

• Model Validation
• Quantitative Model Development
• Front Office Quant roles (Banking / Financial Institutions)

Strong expertise in:

• Derivative pricing models and/or
• Counterparty credit risk models
• Solid foundation in quantitative finance & advanced mathematics (including stochastic calculus)

Hands-on experience in:

• Model methodologies & calibration
• Model validation techniques
• Challenging model design and outputs

Familiarity with regulatory frameworks such as:

• SR 11-7
• OCC 2011-12
• Basel guidelines

Proficiency in at least one programming language:

• Python / C++ / MATLAB / R
• Strong communication skills with experience engaging senior stakeholders
• Prior experience in leading validation projects or mentoring teams

Education:

Master's or PhD in:

• Quantitative Finance
• Mathematics / Statistics
• Physics / Engineering
• Or related quantitative discipline

Why This Role?

• High visibility role with global exposure
• Opportunity to work across multiple asset classes
• Blend of hands-on quant work + leadership responsibility
• Strong career growth in a critical risk function