VP, Counterparty Credit Risk Quant

BMO; Toronto; On-site; CAD 150,000; Full time

Job summary

A leading financial services provider in Toronto is seeking a Quantitative Analyst to develop and maintain models for counterparty credit risk. This role requires a graduate degree in a technical field and programming skills in C#, C++, or Python. The ideal candidate will have experience in risk management and strong communication skills to collaborate effectively with various teams. The base salary for this position is $150,000 CAD with a salaried pay type.

Benefits

Comprehensive benefits package

Qualifications

• Minimum of 4 years of industry experience required; 2 years with a PhD.
• Prior experience with XVA, credit, or counterparty credit risk models.
• Strong quantitative skills and ability to handle complex data.

Responsibilities

• Develop and maintain mathematical models for pricing and managing risk.
• Aggregate and analyze market and trade data for reporting.
• Facilitate communication with traders and risk managers.

Skills

Programming experience in C#

Programming experience in C++

Programming experience in Python

Advanced knowledge of quantitative models

Excellent communication skills

Education

Graduate degree in a technical field

Tools

Excel

Job description

Application Deadline : 10 / 30 / 2025

Address : 100 King Street West

Job Family Group :

Capital Mrkts 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 the 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 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.

The role will require the following skills and aptitudes :

• 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.

Salary : Please note base salary for this role is $150,000 CAD

Pay Type : Salaried

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.

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.

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.