Associate, Data Scientist, Optimization

BMO Financial Group; Toronto; On-site; CAD 90,000 - 120,000; Full time

Job summary

A leading financial institution in Toronto is seeking an experienced Data Scientist to enhance the optimization platform for collateral management. This role involves developing mathematical models, implementing optimization algorithms, and collaborating with Trading Desks. Ideal candidates should have advanced degrees, 3+ years in quantitative finance, and strong skills in Python. Competitive salary range is CAD $90,000-$120,000, along with comprehensive benefits including health insurance and retirement plans.

Benefits

Health insurance

Tuition reimbursement

Retirement savings plans

Discretionary bonuses

Qualifications

• Minimum of 3 years' experience in quantitative finance, ideally in collateral management or securities lending.
• Strong database skills, including experience with PostgreSQL and SQL Server.
• Expert-level Python programming, particularly with optimization libraries.

Responsibilities

• Work directly with Trading Desks to understand collateral optimization needs.
• Develop advanced mathematical models for collateral optimization and risk management.
• Communicate complex technical concepts to non-technical stakeholders.

Skills

Quantitative analysis

Python programming

Data visualization

Mathematical optimization

Collaboration

Education

Advanced degree in Computer Science, Mathematics, or related field

Tools

PostgreSQL

SQL Server

AWS

Pyomo

Linux

Job description

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. BMO Capital Markets is a member of BMO Financial Group (NYSE, TSX: BMO), one of the largest diversified financial services providers in North America with US$1.0 trillion total assets and approximately 54,000 employees as of January 31, 2025.

About the Role

We are seeking a highly skilled Data Scientist to join our Collateral Management team, focusing on developing and enhancing our optimization platform for Equity and Fixed Income financing operations. You will work on mathematical models and large-scale data processing that manage billions in collateral across Global Markets.

The Data Cognition Team (DCT) at BMO Capital Markets offers a scalable, customizable, and sustainable suite of core AI-enabled and Optimization products for various business units. With access to the latest data and analytics applications, we develop products that solve the most challenging business problems. Our methodology drives strategic processes impacting multiple business units, including Investment Banking and Global Markets.

Responsibilities

• Work directly with Trading Desks to understand collateral optimization needs, and then turn this into actionable models and solutions.
• Develop advanced mathematical models for collateral optimization, risk management, and capital efficiency.
• Design and implement multi-objective optimization algorithms, including balancing funding costs, liquidity constraints, regulatory requirements, transaction costs, and other.
• Enhance and extend our Pyomo-based optimization framework for collateral allocation across Equity and Fixed Income trades.
• Optimize existing codebase and build robust ETL pipelines processing and develop data quality frameworks.
• Research and prototype machine learning approaches for predictive collateral management.
• Research emerging quantitative finance techniques applicable to collateral optimization.
• Communicate complex technical concepts to non-technical stakeholders and present results to senior management and other key decision-makers.
• Ensure all steps needed in the delivery of demanding data products are understood and executed.
• Work with BMO Technology teams to design, deploy and manage solutions using the AWS services such as ECS, Fargate, Lambda, and RDS.
• Work with REST APIs from vendors and triparty services that provide security referential information regarding collateral eligibility.
• Visualize complex data in a clear and concise manner. Work with Trading Desk to interpret results and apply feedback into ongoing improvement of the collateral optimization models.

Who we’re looking for

• Advanced degree in Computer Science, Mathematics, Physics, or a related field, with a concentration in finance, economics, or operations research.
• Minimum of 3 years' experience in quantitative finance, ideally in collateral management, securities lending, or repo trading.
• Preferred experience in Capital Markets.
• Deep knowledge of equity financing markets, including securities lending, repo, and prime brokerage operations.
• Experience with fixed income markets, bond financing, and cross-asset trading strategies.
• Strong quantitative, technology, and finance skills.
• Expert-level Python programming, including experience with optimization libraries (Pyomo, Gurobi, CPLEX).
• Experience with common data science toolkits.
• Advanced knowledge of design and analysis methodologies.
• Strong database skills, including PostgreSQL and SQL Server.
• Solid understanding of mathematical optimization, linear/quadratic programming, and constraint modeling.
• Proficiency in Linux environments, Docker, and cloud platforms (AWS preferred).
• Experience with version control, CI/CD pipelines, and collaborative development practices.
• Familiarity with finance tools such as Bloomberg, FactSet, and Thomson Reuters.
• Ability to investigate phenomena, formulate hypotheses, and learn from data.
• Detail-oriented and results-driven.
• Able to exercise independent thought and judgment, and adapt quickly to new tasks.
• Team-oriented, comfortable sharing ideas, and collaborating effectively.
• Proven track record of excellence working on complex projects involving multiple stakeholders.

Base Salary: $90,000-$120,000 CAD (subject to negotiation and subject to the candidate meeting the specific skills, experience, education, and qualification requirements).

Salaried. The above represents BMO Financial Group’s pay range and type. Salaries will vary based on factors such as location, skills, experience, education, and qualifications for the role, and may include a commission structure. BMO Financial Group’s total compensation package will vary based on the pay type of the position and may include performance incentives discretionary bonuses, as well as other perks and rewards. BMO also offers health insurance, tuition reimbursement, accident and life insurance, and retirement savings plans.

Benefits and total rewards can be viewed at https://jobs.bmo.com/global/en/Total-Rewards.

About Us

At BMO we are driven by a shared Purpose: Boldly Grow the Good in business and life. It calls on us to create lasting, positive change for our customers, our communities and our people. By working together, innovating and pushing boundaries, we transform lives and businesses, and power economic growth around the world.

As a member of the BMO team you are valued, respected and heard, and you have more ways to grow and make an impact. We strive to help you make an impact from day one – for yourself and our customers. We’ll support you with the tools and resources you need to reach new milestones, as you help our customers reach theirs. From in-depth training and coaching, to manager support and network-building opportunities, we’ll help you gain valuable experience and broaden your skillset.

To find out more visit us at https://jobs.bmo.com/ca/en.

BMO is committed to an inclusive, equitable and accessible workplace. Accommodations are available on request for candidates taking part in all aspects of the selection process. To request accommodation, please contact your recruiter.

Note to Recruiters: BMO does not accept unsolicited resumes from any source other than directly from a candidate. Any unsolicited resumes sent to BMO, directly or indirectly, will be considered BMO property. BMO will not pay a fee for any placement resulting from the receipt of an unsolicited resume. A recruiting agency must first have a valid, written and fully executed agency agreement contract for service to submit resumes.