Senior Model Validation Leader - Quant Risk

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

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