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Audit, Risk & Compliance
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 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.
- 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.
$121,600.00 - $211,800.00
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/ca/en .
BMO 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.
Note to Recruiters: BMO does not accept unsolicited resumes from any source other than directly from a candidate. Any unsolicited resumes sent to BMO, directly or indirectly, will be considered BMO property. BMO will not pay a fee for any placement resulting from the receipt of an unsolicited resume. A recruiting agency must first have a valid, written and fully executed agency agreement contract for service to submit resumes.
