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) Interest Rate Quant is responsible for the entire spectrum of quantitative, analytical, technical, and development activities for the interest rate trading desks. 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 the MFL library and other FO applications.
Maintaining existing suite of interest rate models.
Support testing and documentation of new and existing models and aid in model validation initiatives.
Helping traders in daily pricing and risk management.
Interacting with the external control groups outside of FO and facilitating their understanding and usage of FO 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.
Profiling and investigation of new models/approaches to improve model performance.
The role will require the following skills and aptitudes:
Advanced university degree in a technical field (mathematics, physics, statistics, engineering, computer science, etc.).
Prior experience in interest rate modeling and pricing methodology is desired.
The position is for an Associate.
Software development experience (.NET, C++, Python).
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.
The salary range for this role would be CAD $110,000 to $120,000.
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