Thanks so much, twofish! It sounds like model verification is really what I'm most suited for. I'm in Canada, and I personally consider the idea of living in NYC to be one of the main perks when thinking about moving into finance. I'll be brushing up on my c++ now that I know it's not always...
I'm finishing my astrophysics PhD and looking for other career options. I do observational astrophysics, almost entirely based on Python coding on very large data sets. Lots of Numpy+SciPy, monte-carlo, modelling data doing non-linear fitting using maximum likelihood on computer clusters, stuff...