Director, Model Validation
Not Disclosed•Full-TimeOn-site
location_on9, Murray Street, Tribeca, Lower Manhattan, Manhattan, New York County, New York, 10007, United States
About the Team
At BMO Financial Group, our shared Purpose is to "Boldly Grow the Good" in business and life. We are driven to create lasting, positive change for our customers, communities, and people. By working together, innovating, and pushing boundaries, we transform lives and businesses while powering economic growth around the world.
Within the Audit, Risk & Compliance family, we foster a culture aligned with our values and strategy. We build interdependent teams that collaborate across functional groups to create the highest value for all stakeholders. Our environment is one where you are valued, respected, and heard, with a strong commitment to diversity, inclusion, and accountability. We support your growth through in-depth training, coaching, and network-building opportunities, ensuring you can make an impact from day one.
Work location
Work model: On-site
9, Murray Street, Tribeca, Lower Manhattan, Manhattan, New York County, New York, 10007, United States
New York, New York
Key Responsibilities
- check_circleLead model validation efforts across various volatility regimes including stochastic frameworks
- check_circleDevelop and maintain independent benchmark models for exotic derivatives
- check_circleAnalyze complex payoff structures to produce accurate pricing, Greeks, and scenario analyses
Similar Job Opportunities
Skills, education and keywords
Skills: C++, Python, Stochastic Volatility, Stochastic-Local Volatility, Jump Diffusion Frameworks, Exotic Derivatives, Autocallables, Barriers, Quantos, Range Accrual.
Education: Advanced degree (PhD) in quantitative fields required; Advanced degree (Master's) in quantitative fields required.
Frequently asked questions about Director, Model Validation at BMO U.S.
What does a Director, Model Validation at BMO U.S. do?expand_more
In this Director, Model Validation at BMO U.S. role, you will lead model validation efforts across various volatility regimes including stochastic frameworks; develop and maintain independent benchmark models for exotic derivatives; analyze complex payoff structures to produce accurate pricing, greeks, and scenario analyses; and review and validate model calibration routines to vol surfaces and correlation structures.
What are the requirements for this Director, Model Validation role?expand_more
To qualify for the Director, Model Validation at BMO U.S. position, applicants should have: Advanced degree (PhD or Master's) in quantitative fields; 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; and Familiarity with regulatory frameworks (e.g., FRTB, model risk governance).