OverviewPerforms validation of models and assesses model risk to confirm model appropriateness and capability for a designated portfolio. Provides effective challenge during model development and communicates decisions regarding model use to the business and management to ensure transparency and understanding of models and model risks. Assesses model’s capabilities, stress points and limitations; assesses the associatedmodel risk and the controls in place to mitigate identified risks. Key ResponsibilitiesDevelop validation strategies and plans to ensure appropriate type and level of validation of models is carried out. Independently validate/test models and their associated assumptions, benchmarks, and supporting documentation against model validation process, standards, guidelines and principles. Lead model validation efforts across various equity volatility regimes, including stochastic volatility, stochastic‑local volatility, and jump‑diffusion frameworks. Review and validate model calibration routines to equity vol surfaces, correlation structures, and multi‑asset dynamics, and assess the data for model development as well as inputs to the model. Analyze complex payoff structures and produce accurate pricing, Greeks, and scenario analyses. Develop, enhance, and maintain independent benchmark models for exotic equity derivatives (e.G., autocallables, barriers, quantos, range accrual, variance products, hybrids). Design and implement scalable testing libraries using C++, Python, or similar high‑performance languages. Compare validation results with model developer results for replicability. Measure the effectiveness of validation and monitoring framework; recommend changesas required. Identify deficiencies, conditions for model use, recommend changes, and escalates as required; quantify model risks, document outcomes and communicate with stakeholders.



Identify where corrective actions are required and escalates per guidelines; monitor and ensure corrective action is taken. Optimize numerical methods (e.G., PDE solvers, Monte Carlo engines, adjoint methods) to improve performance and stability. Coordinate and monitor the review and sign‑off of model validation reporting including model inventory and model inventory attestations. Mentor junior quants and contribute to long‑term quantitative research initiatives. Collaborate closely with trading desks to deliver strategic analytics, improve risk metrics, and support trade ideation. Provide technical advice and guidance to assigned business/group on implementation of the model validation framework, and resolution of model risk issues. Make recommendations to senior leaders on strategy and current initiatives, based on an in‑depth understanding of the business/group. Represent the model validation program and portfolio for internal/external regulatory audits and examinations. QualificationsAdvanced degree (PhD or Master’s) in quantitative fields such as mathematics, financial engineering, physics, or computer science. 15+ years of hands‑on experience in equity derivatives model validation or front‑office quantitative research. Deep knowledge of stochastic calculus, probability theory, and numerical analysis. Strong programming skills in C++ and Python; experience with distributed computing a plus. Verbal and written communication skills – in‑depth/expert. Analytical and problem‑solving skills – in‑depth/expert. Familiarity with regulatory frameworks (e.G., FRTB, model risk governance) in a derivatives context. CompensationSalary: $121,600.00 – $211,800.00 (salaried). EEO StatementBMO is committed to an inclusive, equitable and accessible workplace. By learning from each other’s differences, we gain strength through our people and our perspectives. Accommodations are available on request for candidates taking part in all aspects of the selection process. To request accommodation, please contact your recruiter.#J-18808-Ljbffr

📌 Director, Model Validation (Toronto) - $121,600 - $211,800 A Year
🏢 BMO
📍 Toronto