100 King Street West Toronto Ontario,M5X 1A1
BMO Capital Markets is a leading, full-service financial services provider. We offer corporate and investment banking, treasury management, as well as research and advisory services to clients around the world. #bmocapitalmarkets
The MFL (Mathematical Finance Library) Quant is responsible for the entire spectrum of quantitative, analytical, technical, and development activities for trading desks across different asset classes. 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, tools, 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 and computational methods for pricing deals and managing risk and integrating models into MFL library and FO applications
Maintaining existing suite of models in MFL library.
Helping traders to use MFL in daily pricing and risk management
Interacting with the groups outside of FO (MRV, MR Oversight, VPC) and facilitating their understanding and usage of MFL 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, risk measurement and risk management.
The role will require the following skills and aptitudes:
A university degree is required. Preferably, an advanced degree in a technical field (mathematics, physics, statistics, engineering, computer science, etc.);
Industry experience and a PhD in a technical field are strong pluses
Broad knowledge at an advanced level of quantitative models for price/rate processes and volatility surface.
Good understanding of financial derivatives, from linear products to vanilla options, and first/second order exotic options.
Software development experience (.NET, C++);
Knowledge of Excel, including scripting and efficient spreadsheet design;
Strong technical writing ability;
Strong communication skills, with the ability to deal effectively with a wide range of colleagues. This includes other technical professionals, traders, marketers, senior management, back office, and risk management.
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