Quantitative Developer (C#) - Derivatives Risk Analytics

BMO Capital Markets Corp.; Toronto; On-site; CAD 158,000 - 193,000; 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 Quantitative Engineer to join the Quantitative Engineering team in Toronto. You will develop analytics for the derivatives counterparty credit risk and credit value adjustment system, collaborate with trading desks, quants, and downstream groups, and contribute to automating, testing, and monitoring tools.

The role emphasizes programming in C#, building robust models, and supporting analytics, with opportunities to work on valuation feeds and model integration

Qualifications

• University degree in mathematics, physics, engineering, or statistics.
• Expert-level knowledge in C#.
• Experience with scripting languages; PowerShell desirable.
• Experience with financial models.
• Familiarity with numerical analysis in a relevant field.
• Familiarity with equities and/or equity derivatives trading is helpful.
• Experience working on large code bases and familiarity with design patterns.
• XVA or CCR experience is desirable.
• Experience with databases.
• Experience with distributed computing.

Responsibilities

• Programming and Support: Develop, program, and maintain analytics within the bank derivatives source system.
• Provide booking and diagnostic support for integrated models.
• Automation and Improvement: Collaborate with teammates to automate release, testing, and monitoring tools.
• Enhance system robustness and capabilities alongside your team.
• Stakeholder Collaboration: Work closely with trading desks and quantitative analysts on valuation and downstream feeds.
• Ensure accurate capture of information by collaborating with downstream groups.

Skills

C#

PowerShell

Scripting

Equities/Equity derivatives

Large code bases

Design patterns

Distributed computing

Databases

Numerical analysis

Financial models

Education

University degree in mathematics, physics, engineering, or statistics

Job description

BMO Capital Markets is seeking a Quantitative Engineer to join the Quantitative Engineering team in Toronto. You will develop analytics for the derivatives counterparty credit risk and credit value adjustment system, collaborate with trading desks, quants, and downstream groups, and contribute to automating, testing, and monitoring tools.

The role emphasizes programming in C#, building robust models, and supporting analytics, with opportunities to work on valuation feeds and model integration