At a Glance
- Tasks: Develop cutting-edge models for pricing and managing counterparty credit risk.
- Company: Join BMO Capital Markets, a leading financial services provider in North America.
- Benefits: Enjoy a competitive salary, health insurance, tuition reimbursement, and retirement plans.
- Other info: Collaborative environment with opportunities for growth and professional development.
- Why this job: Make a real impact in the finance world with innovative quantitative solutions.
- Qualifications: Graduate degree in a technical field and experience in credit risk models required.
The predicted salary is between 160000 - 160000 $ per year.
BMO Capital Markets is a leading, full-service North American-based financial services provider, with over 2,700 professionals in 30+ locations around the world, including 20 offices in North America, offering corporate, institutional and government clients access to a complete range of investment and corporate banking products and services.
The position is responsible for the entire spectrum of quantitative, analytical, and development activities for counterparty credit risk trading in Global Markets. The mandate is to provide traders, marketers, BMO CM senior management and our external control groups (Risk Reporting, Risk Oversight, Valuation Product Control, etc.) with the models, analytics, reports, market data and information to effectively price, execute and hedge new transactions and to understand, monitor and manage existing risk.
Tasks include:
- Developing new mathematical models and computational methods for pricing deals and managing risk.
- Maintaining existing suite of models in FO analytics library.
- Helping traders to use models in daily pricing and risk management.
- Interacting with the groups outside of FO (Market Risk Model, Model Vetting, Market Risk Oversight, VPC) and facilitating their understanding and usage of FO analytics models.
- Aggregating, organizing and analyzing market and trade data to facilitate a wide range of reporting, from high-level business overviews down to trade-level details.
- Engaging in discussions with traders, senior management, and risk managers regarding deal modeling and pricing, hedging, and risk management.
The role will require the following skills and aptitudes:
- A university graduate degree is required in a technical field (physics, mathematics, statistics, engineering, computer science, etc.).
- Minimum of 4 years of industry experience is required. If the candidate has a PhD in a technical field, 2 years of experience is required.
- Prior experience in implementing XVA, credit or counterparty credit risk models is required.
- Broad knowledge at an advanced level of quantitative models.
- Programming experience in C#, C++ or Python.
- Knowledge of Excel, including scripting and efficient spreadsheet design.
- Excellent communication and inter-personal skills, with the ability to deal effectively with a wide range of colleagues.
Please note the base salary for this position is $160,000 CAD.
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.
Vice President, Counterparty Credit Risk / XVA Quant in Toronto employer: BMO Capital Markets Corp.
BMO Capital Markets is an exceptional employer that fosters a dynamic and inclusive work culture, empowering employees to make a meaningful impact from day one. With comprehensive benefits including health insurance, tuition reimbursement, and retirement savings plans, along with ample opportunities for professional growth and development, employees are supported in their career journeys. Located in a vibrant financial hub, BMO encourages collaboration and innovation, making it an ideal place for those looking to thrive in the fast-paced world of commodities and global markets.
