CCR Model Validation Consultant

BMO is currently sourcing for a CCR Model Validation Consultant. This is a hybrid contract role in Toronto (3 days in office per week).

Role Overview:

The CCR Model Validation Consultant is responsible for validating Counterparty Credit Risk (CCR) models and assessing model risk to ensure their appropriateness, robustness, and fitness for use within the CCR Replacement Project portfolio. The role involves providing independent challenge during model development and implementation, communicating validation outcomes to business stakeholders, and supporting sound risk management and regulatory compliance.

Key Responsibilities:

Act as a trusted advisor to assigned business groups and influence business objectives. Recommend and implement solutions based on analysis of issues and business implications. Develop strategic plans and identify emerging issues to inform decision-making. Lead research and development for validation of new model types and monitor the model validation program. Develop validation strategies and independently validate models, assumptions, benchmarks, and documentation. Identify deficiencies, recommend changes, escalate issues, and ensure corrective actions are taken. Provide technical advice on model vetting framework implementation and maintain knowledge of regulatory requirements.

Must-Have Skills:

Master’s or Ph.D. degree in Math, Mathematical Finance, Statistics, Engineering, or equivalent quantitative background. 3-5 years of relevant experience in quantitative modeling within the financial industry, specifically with Market Risk/CCR models. In-depth knowledge of calibration, valuation, risk factor/pricing proxy, and regulatory requirements. Strong programming skills.

Nice to Have Skills:

Experience with Python or C# programming languages. Familiarity with Adaptiv Vendor system. Previous experience in financial institutions or BMO.

Ideal Candidate:

Experience working in a hybrid team environment with both onshore and offshore resources. Proven ability to lead and integrate monitoring, measurement, and reporting of model validation programs. Demonstrated capability to represent model validation programs during internal and external regulatory audits. Strong analytical skills to independently assess model performance and residual risks.