VP, Counterparty Credit Risk / XVA Quant

BMO Capital Markets Corp.; Toronto; On-site; CAD 80,000 - 175,000; Full time

Benefits offered by this job

Health insurance

Tuition reimbursement

Accident and life insurance

Retirement savings plans

Job summary

BMO Capital Markets in Toronto seeks a highly skilled quantitative professional to lead counterparty credit risk modeling and analytics for Global Markets. You will develop, maintain and apply models to price, hedge and monitor risk, interfacing with risk, valuation and control groups.

The role requires a technical degree, 4+ years (PhD = 2+ years), experience with XVA/counterparty risk models, strong programming in C#, C++, or Python, and excellent communication.

Qualifications

• University degree in a technical field (physics, mathematics, statistics, engineering, CS)
• 4+ years of industry experience; PhD = 2+ years
• Experience implementing XVA, credit or counterparty risk models
• Broad knowledge of quantitative models
• Programming in C#, C++ or Python
• Excel knowledge with scripting and efficient spreadsheet design
• Excellent communication and interpersonal skills with a wide range of colleagues

Responsibilities

• Developing new mathematical models and computational methods for pricing deals and managing risk
• Maintaining existing FO analytics models
• Helping traders to use models in daily pricing and risk management
• Interacting with Market Risk, Model Vetting, Risk Oversight, VPC
• Aggregating and analyzing market and trade data for reporting
• Discussing deal modeling, pricing, hedging, and risk management with traders and risk managers

Skills

Quantitative models

C#, C++, Python

Communication skills

Technical degree

Education

Technical university degree

Tools

Excel scripting

Job description

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.
• Programming 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 role is $160,000 CAD.

Salary: $80,000.00 - $175,000.00

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. To request accommodation, please contact your recruiter.

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. BMO will not pay a fee for any placement resulting from the receipt of an unsolicited resume. A recruiting agency must first have a valid, written and fully executed agency agreement contract for service to submit resumes.