Director, Model Validation

BMO U.S.; New York (NY); On-site; USD 150,700 - 261,800; Full time

Benefits offered by this job

Health insurance

Tuition reimbursement

Accident and life insurance

Retirement savings plans

Job summary

BMO Financial Group seeks an experienced model validation expert to lead validation efforts for equity derivatives, develop benchmarking models, and collaborate with trading desks on risk analytics. The role requires deep quantitative skills and publication-ready communication with stakeholders.

Responsibilities include validating complex payoff structures, enhancing validation strategies, and guiding junior quants while ensuring regulatory compliance and robust controls across the model risk

Qualifications

• PhD or Master’s in quantitative field 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; distributed computing a plus.
• Verbal & written communication skills - In-depth / Expert.
• Familiarity with regulatory frameworks (e.g., FRTB, model risk governance) in a derivatives context.

Responsibilities

• Develops validation strategies and plans to ensure appropriate type and level of validation of models.
• Independently validates / tests models and their associated assumptions, benchmarks, and supporting documentation against model validation process, standards, guidelines and principles.
• Lead model validation efforts across various volatility regimes, including stochastic volatility, stochastic-local volatility, and jump‑diffusion frameworks.
• Analyze complex payoff structures and produce accurate pricing, Greeks, and scenario analyses.
• Design and implement scalable testing libraries using C++, Python, or similar high‑performance languages.
• Collaborate with trading desks to deliver strategic analytics and risk metrics.
• Mentor junior quants and contribute to long‑term quantitative research initiatives.
• Represents the model validation program for internal/external regulatory audits.

Skills

C++

Python

Distributed computing

Stochastic calculus

Probability theory

Communication skills

Regulatory knowledge

Education

PhD or Master’s in quantitative fields (math, financial engineering, physics, CS)

Tools

Git

Linux

Job description

Performs 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/management to ensure transparency and understanding of models and model risks. Assesses model’s capabilities, stress points and limitations; assesses the associated model risk and the controls in place to mitigate identified risks.

Teams and Culture

• Fosters a culture aligned to BMO purpose, values and strategy and role models BMO values and behaviours in all that they do.
• Ensures alignment between values and behaviour that fosters diversity and inclusion.
• Regularly connects work to BMO’s purpose, sets inspirational goals, defines clear expected outcomes, and ensures clear accountability for follow through.
• Builds interdependent teams that collaborate across functional and operating groups to create the highest value for all stakeholders.
• Improves team performance, recognizes and rewards performance, coaches employees, supports their development, and manages poor performance.

Key Responsibilities

• Develops validation strategies and plans to ensure appropriate type and level of validation of models is carried out.
• Independently validates / tests models and their associated assumptions, benchmarks, and supporting documentation against model validation process, standards, guidelines and principles, which includes:
  • Lead model validation efforts across various volatility regimes, including stochastic volatility, stochastic-local volatility, and jump‑diffusion frameworks.
  • Develop, enhance, and maintain independent benchmark models for exotic derivatives (e.g., autocallables, barriers, quantos, range accrual, variance products, hybrids).
  • Analyze complex payoff structures and produce accurate pricing, Greeks, and scenario analyses.
  • Review and validate model calibration routines to vol surfaces, correlation structures, and multi‑asset dynamics, and assess the data for model development as well as inputs to the model;
  • Design and implement scalable testing libraries using C++, Python, or similar high‑performance languages.
  • Compares validation results with model developer results for replicability.
  • Measures the effectiveness of validation and monitoring framework; recommends changes as required.
  • Identifies deficiencies, conditions for model use, recommends changes, and escalates as required; quantifies model risks, documents outcomes and communicates with stakeholders. (detailed work)
  • Identifies where corrective actions are required and escalates per guidelines; monitors and ensures corrective action is taken.
• Optimize numerical methods (e.g., PDE solvers, Monte Carlo engines, adjoint methods) to improve performance and stability.
• Coordinates and monitors 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.
• Provides technical advice and guidance to assigned business/group on implementation of the model validation framework, and resolution of model risk issues.
• Makes recommendations to senior leaders on strategy and new initiatives, based on an in-depth understanding of the business/group.
• Represents the model validation program / portfolio for internal/external regulatory audits and/or examinations.

Qualifications

• Advanced 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 & 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.

Salary

$150,700.00 - $261,800.00

Pay Type

Salaried

The above represents BMO Financial Group’s pay range and type.

Salaries will vary based on factors such as location, skills, experience, education, and qualifications for the role, and may include a commission structure. Salaries for part-time roles will be pro-rated based on number of hours regularly worked. For commission roles, the salary listed above represents BMO Financial Group’s expected target for the first year in this position.

BMO Financial Group’s total compensation package will vary based on the pay type of the position and may include performance-based incentives, discretionary bonuses, as well as other perks and rewards. BMO also offers health insurance, tuition reimbursement, accident and life insurance, and retirement savings plans.

To view more details of our benefits, please visit: https://jobs.bmo.com/global/en/Total-Rewards

About Us

At BMO we are driven by a shared Purpose: Boldly Grow the Good in business and life. It calls on us to create lasting, positive change for our customers, our communities and our people. By working together, innovating and pushing boundaries, we transform lives and businesses, and power economic growth around the world.

As a member of the BMO team you are valued, respected and heard, and you have more ways to grow and make an impact. We strive to help you make an impact from day one – for yourself and our customers. We’ll support you with the tools and resources you need to reach new milestones, as you help our customers reach theirs. From in-depth training and coaching, to manager support and network-building opportunities, we’ll help you gain valuable experience, and broaden your skillset.

To find out more visit us at https://jobs.bmo.com/us/en

BMO is proud to be an equal employment opportunity employer. We evaluate applicants without regard to race, religion, color, national origin, sex (including pregnancy, childbirth, or related medical conditions), sexual orientation, gender identity, gender expression, transgender status, sexual stereotypes, age, status as a protected veteran, status as an individual with a disability, or any other legally protected characteristics. We also consider applicants with criminal histories, consistent with applicable federal, state and local law.

BMO is committed to working with and providing reasonable accommodations to individuals with disabilities. If you need a reasonable accommodation because of a disability for any part of the employment process, please send an e‑mail to [e-mail] and let us know the nature of your request and your contact information.