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About the Role

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.

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.
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.
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.

Requirements

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.
Familiarity with regulatory frameworks (e.g., FRTB, model risk governance) in a derivatives context.

Skills

C++
Python
Verbal & written communication skills - In-depth / Expert
Analytical and problem solving skills - In-depth / Expert

Location

151 W 42nd Street

Work Type

Salaried

Experience Level

15+ years of hands‑on experience in equity derivatives model validation or front‑office quantitative research.

Education Level

Advanced degree (PhD or Master’s) in quantitative fields such as mathematics, financial engineering, physics, or computer science.

Salary/Compensations

$150,700.00 - $261,800.00

Benefits

health insurance
tuition reimbursement
accident and life insurance
retirement savings plans

About the Company

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 http://jobs.bmo.com/us/en

Equal Opportunity

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 BMOCareers.Support@bmo.com and let us know the nature of your request and your contact information.