Director, Model Validation

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.

• 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.

• 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 an in‑depth understanding of the business/group.
• Represents the model validation program / portfolio for internal/external regulatory audits and/or examinations.

• 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…