Quantitative Analyst – Pricing Risk Model Validation
A junior model-validation role in the risk function, reviewing pricing and risk models used by a commodities and global markets business. It suits someone with strong maths and a wish to learn many products.
What you’d work on
Our reading of the posting: what a new hire in this role would most likely spend their first months on.
- Independently review the methodology of derivative pricing and risk models
- Test model assumptions and performance under different market conditions
- Write code to replicate or benchmark models
- Present findings to quant developers, traders and risk colleagues
What they ask for
Required
- Probability and statistics
- Stochastic calculus
- Numerical methods
- Monte Carlo simulation
- Finite-difference methods
- Programming for quant problems
- Clear written communication
Preferred
- Python, C++ or R
- Regression, optimisation or time-series analysis
- Interest in derivatives
- Education
- Degree in maths, statistics, physics, engineering, computer science, financial maths or similar
- Experience
- Early career; professional experience helpful but not required
- Languages and tools
- Markets
- commodities, multi-asset
How to prepare
- Price a European and a barrier option by Monte Carlo and by a finite-difference scheme, and compare the results
- Work through Black-Scholes and local volatility derivations until you can explain each assumption
- Write a mini validation report on one pricing model, listing its limits and tests
- Brush up on SDEs and Ito's lemma with exercises
What to study
- Derivatives Pricing and Computational Finance
- Linear Algebra, Optimisation and Numerical Methods
- Probability, Statistics and Financial Data
- Quantitative Risk Management
- Python for Quantitative Finance
The Model Validation Quant roadmap sets out the stages for this kind of role, with free resources for each.
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Read the full posting on Macquarie’s site before applying: requirements, location and pay can change after we check them.
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SelfMadeQuant wrote this summary from the employer’s public posting, last checked 6 November 2026. SelfMadeQuant isn’t affiliated with Macquarie and doesn’t handle applications.