Executive Lead, Counterparty Credit Risk Modeling

BMO U.S.; Toronto; On-site; CAD 160,000 - 185,000; Full time

Benefits offered by this job

Health insurance

Tuition reimbursement

Accident and life insurance

Retirement savings plans

Job summary

BMO Capital Markets is seeking a skilled quantitative developer to manage models and analytics for counterparty credit risk in Global Markets. You will price, hedge, and monitor risk while interfacing with risk, valuation, and control groups to ensure robust trade pricing and reporting.

The role requires a technical degree, 4+ years of experience (PhD reduces requirement), and proficiency in C#, C++, Python with strong Excel scripting and communication skills.

Qualifications

• University degree in a technical field is required.
• Minimum of 4 years of industry experience; PhD reduces to 2 years.
• Experience implementing XVA, credit or counterparty risk models is required.
• Strong knowledge of quantitative models and trading risk concepts.

Responsibilities

• Develop new mathematical models and computational methods for pricing and risk.
• Maintain the existing FO analytics library.
• Help traders price, hedge, and manage risk using models.
• Collaborate with Market Risk, Model Vetting and Oversight teams.
• Aggregate and analyze market and trade data for reporting.

Skills

C#

C++

Python

Excel scripting

Quantitative modeling

Communication

Education

University degree in a technical field

PhD in a technical field

Job description

BMO Capital Markets is seeking a skilled quantitative developer to manage models and analytics for counterparty credit risk in Global Markets. You will price, hedge, and monitor risk while interfacing with risk, valuation, and control groups to ensure robust trade pricing and reporting.

The role requires a technical degree, 4+ years of experience (PhD reduces requirement), and proficiency in C#, C++, Python with strong Excel scripting and communication skills.