VP, Counterparty Credit Risk / XVA Quant

BMO U.S.; 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 is seeking a quantitative analyst to own the modeling, analytics and reporting for counterparty credit risk trading in Global Markets. You will provide traders and risk groups with models, analytics and data to price, hedge and monitor new and existing transactions.

The role requires a technical university degree, 4+ years of experience (2 years if PhD), and strong programming in C#, C++, or Python, plus advanced Excel scripting. Strong communication is essential.

Qualifications

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

Responsibilities

• Develop new mathematical models and computational methods for pricing deals and risk management.
• Maintain existing FO analytics model suite.
• Assist traders with model-based pricing and risk management.
• Coordinate with Market Risk, Model Vetting, Risk Oversight and VPC to promote model usage.
• Aggregate and analyze market and trade data for reporting from high-level to trade-level details.
• Engage with traders, management and risk managers on modeling, pricing, hedging and risk.

Skills

C#

C++

Python

Excel

Scripting

Communication

Education

Technical university degree

Job description

Application Deadline: 10/29/2026

Address: 100 King Street West

Job Family Group: Data Analytics & Reporting

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.

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.

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 benefitsPlease visit: https://jobs.bmo.com/global/en/Total-Rewards

About Us

BMO is 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.

BMO is a leading bank driven by a single purpose: to Boldly Grow the Good in business and life. Everywhere we do business, we’re focused on building, investing and transforming how we work to drive performance and continue growing the good. 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.