Vice President, Counterparty Credit Risk / XVA Quant

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

Application Deadline: 10/29/2026 Address: 100 King Street West Job Family Group: Capital Mrkts Sales & Service

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$1.1 trillion total assets and approximately 53,000 employees as of April 30, 2026.

Job Description

The position is responsible for the entire spectrum of quantitative, analytical, and development activities for counterparty credit risk trading in Global Markets. 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, analytics, reports, market data and information to effectively price, execute and hedge new transactions and to understand, monitor and manage existing risk.

• Developing new mathematical models and computational methods for pricing deals and managing risk.
• Maintaining existing suite of models in FO analytics library.
• Helping traders to use models in daily pricing and risk management.
• Interacting with the groups outside of FO (Market Risk Model, Model Vetting, Market Risk Oversight, VPC) and facilitating their understanding and usage of FO analytics 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, and risk management.

• A university graduate degree is required in a technical field (physics, mathematics, statistics, engineering, computer science, etc.).
• Minimum of 4 years of industry experience is required.
• If the candidate has a PhD in a technical field, 2 years of experience is required.
• Prior experience in implementing XVA, credit or counterparty credit risk models is required.
• Broad knowledge at an advanced level of quantitative models.
• Programing experience in C#, C++ or Python.
• Knowledge of Excel, including scripting and efficient spreadsheet design.
• Excellent communication and inter-personal skills, with the ability to deal effectively with a wide range of colleagues. This includes traders, other technical professionals, marketers, senior management, back office, and risk management.

Please note the base salary for this position is $160,000 CAD.

Salary: Pay Type: 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. Salaries for part-time roles will be pro-rated based on number of hours regularly worked. For commission roles, the salary listed above represents BMO Financial Group’s expected target for the first year in this position. BMO Financial Group’s total compensation package will vary based on the pay type of the position and may include performance-based 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.

To view more details of our benefits, please visit: 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. By learning from each other’s differences, we gain strength through our people and our perspectives.

Accommodations are available on request for candidates taking part in all aspects of the selection process.

Who we are

We’re proud to be fueling growth and expanding possibilities for individuals, families and businesses. More than 12 million customers count on us for personal and commercial banking, wealth management and investment services. As the 8th largest bank in North America by assets, we provide personal and commercial banking, wealth management and investment services to more than 12 million customers. In Canada, the United States and across the globe, we’ll continue to build, invest and transform to drive performance that serves the good that grows.