Director, Model Validation

BMO Financial Group

Toronto, ON, Canada
Base: $121,600.00 - $211,800.00; bonus/equity: may...
Hybrid
15+ years equity derivatives experience
Stochastic calculus and numerical analysis
C++ and python programming skills
The role involves independently validating complex exotic equity derivative models and assessing associated model risks to ensure regulatory compliance

Job Summary

  • The role involves independently validating complex exotic equity derivative models and assessing associated model risks to ensure regulatory compliance.
  • Candidates will develop scalable testing libraries using C++ and Python while optimizing numerical methods like Monte Carlo engines and PDE solvers.
  • The position offers a competitive salary range of $121,600.00 to $211,800.00 along with comprehensive benefits including health insurance and retirement savings plans.

Matching Summary

The role involves independently validating complex exotic equity derivative models and assessing associated model risks to ensure regulatory compliance.

Salary

Base: $121,600.00 - $211,800.00; Bonus/Equity: May include performance-based incentives and discretionary bonuses; Benefits: Health insurance, tuition reimbursement, accident and life insurance, retirement savings plans

Skills & Requirements

Must-have

  • 15+ years equity derivatives experience
  • Stochastic calculus and numerical analysis
  • C++ and Python programming skills
  • Exotic equity derivatives model validation
  • Monte Carlo engines and PDE solvers

Nice-to-have

  • Experience with distributed computing
  • Familiarity with FRTB regulatory frameworks
  • Mentoring junior quantitative researchers
  • Collaboration with trading desks

Key Requirements

  • PhD or Master's degree in quantitative fields
  • 15+ years hands-on experience in model validation
  • Expert level verbal and written communication skills

Work Rights

Not specified

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