Director of Quantitative Model Risk Management
BMO Financial Group
Oversee model risk management and validation as a Director, specializing in quantitative analysis. Ensure model capabilities align with risk assessments, fostering transparency in model usage. In this leadership position, you'll validate models while developing enhancing strategies tailored for equity derivatives. Your role encompasses comprehensive analyses of payoff structures and calibration routines, improving valuation accuracy. Collaborate with various teams, providing technical guidance and mentoring junior professionals within the organization. Key Responsibilities:
- Assess and validate models for risk assessment purposes
- Design testing libraries utilizing high-performance languages
- Lead validation initiatives across varying volatility regimes
- Maintain transparency in model development and outcomes
- Represent model validation in regulatory audits
- Advanced degree in math or quantitative fields
- 15+ years in equity derivatives experience required
- Strong programming proficiency in C++ and Python
- In-depth knowledge of stochastic processes
- Familiarity with regulatory model risk governance
Vacancy posted 7 days ago
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