VP, Counterparty Credit Risk Quant

Bank of Montreal; Toronto; On-site; CAD 150,000; Full time

Job summary

An established industry player is seeking a skilled quantitative analyst to manage counterparty credit risk trading. In this pivotal role, you will develop and maintain mathematical models, provide critical analytics and reports, and engage with traders and senior management to optimize pricing and risk management strategies. This position offers a unique opportunity to work in a dynamic environment where your expertise will directly impact decision-making and risk assessment. Join a forward-thinking organization committed to innovation and excellence in financial services, and contribute to shaping the future of capital markets.

Benefits

Health Insurance

Tuition Reimbursement

Accident and Life Insurance

Retirement Plans

Qualifications

• 4+ years of industry experience required; 2 years with a PhD.
• Prior experience in implementing XVA or credit risk models.

Responsibilities

• Developing mathematical models for pricing and risk management.
• Aggregating and analyzing market and trade data for reporting.

Skills

Quantitative Models

C#

C++

Python

Excel Scripting

Communication Skills

Interpersonal Skills

Education

University Graduate Degree in Technical Field

Job description

Application Deadline:

06/29/2025

Address:

100 King Street West

Job Family Group:

Capital Markets Sales & Service

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 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 models, 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 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 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.

The role will require the following skills and aptitudes:

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

Salary: $150,000 CAD

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 hours worked. For commission roles, the listed salary is the expected target for the first year.

BMO Financial Group’s total compensation may include performance incentives, bonuses, and other perks. Benefits include health insurance, tuition reimbursement, accident and life insurance, and retirement plans. More details 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. We aim to create lasting, positive change for our customers, communities, and our people. By working together, innovating, and pushing boundaries, we transform lives, businesses, and power economic growth worldwide.

As a member of the BMO team, you are valued, respected, and heard. We support your growth and impact, providing tools, resources, training, coaching, and networking opportunities to help you reach milestones and broaden your skills.

Visit us at https://jobs.bmo.com/ca/en.

BMO is committed to an inclusive, equitable, and accessible workplace. Accommodations are available upon request. To request accommodations, please contact your recruiter.

Note to Recruiters: BMO does not accept unsolicited resumes unless directly from candidates. Resumes sent unsolicited will be considered BMO property. A recruitment agency must have a valid contract to submit resumes.