VP/Associate, Front Office Equity Derivatives Desk Quant

BMO Capital Markets; New York (NY); On-site; USD 150,000 - 230,000; Full time

Job summary

BMO Capital Markets is a leading, full-service financial services provider with global reach and a strong equity franchise. The Front Office Desk Quant / Strat role involves applying quantitative skills to develop and implement trading strategies, manage risk, and work with trading teams to optimize decision making.

Responsibilities include troubleshooting intraday risk issues, prototyping valuation/ P&L tools, building hedges for exotic options, and evolving ad-hoc tools into scalable,

Qualifications

• Experience building trading/quant tooling and risk analytics.
• Strong programming in C#/C++ and Python.
• Experience with SQL databases and version control (Git).
• Familiarity with equity derivatives pricing models.

Responsibilities

• Respond to traders’ requests to troubleshoot intraday risk issues, P&L attribution, and quant / tech related issues.
• Prototype new tools to be used for intraday valuations, risks and P&L/explain. Provide the prototypes for tech/quant teams to build into systems.
• Build optimization tools for exotic options portfolio hedging.
• Create and maintain custom scenarios, reporting tools, as required to satisfy trading strategy analysis.
• Optimization of existing workflows and transformation of ad-hoc excel based tools to scalable and distributed solutions.
• Produce and review back-test data for new models / pricing parameters to identify issues against benchmark production data.
• Reviewing model output and identifying inconsistencies in data.

Skills

C#

C++

Python

VBA

SQL

Postgres

Git

CI/CD

Tableau

PowerBI

F#

Equity derivatives

Equity pricing models

Tools

Tableau

PowerBI

Git

SQL

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 Front Office Desk Quant / Strat role involves utilizing quantitative skills to develop and implement trading strategies, risk management, and collaboration with trading teams to optimize decision making processes.

Responsibilities include:

Quantitative Trading Support

• Respond to traders’ requests to troubleshoot intraday risk issues, P&L attribution, and any quant / tech related issues.
• Prototype new tools to be used for intraday valuations, risks and P&L/explain. Provide the prototypes for tech/quant teams to build into systems.
• Build optimization tools for exotic options portfolio hedging.
• Create and maintain custom scenarios, reporting tools, as required to satisfy trading strategy analysis.
• Optimization of existing workflows and transformation of ad-hoc excel based tools to scalable and distributed solutions.

Model Analysis

• Produce and review back-test data for new models / pricing parameters to identify issues against benchmark production data.
• Reviewing model output and identifying inconsistencies in data.

Required Skills:

Software Development Skills

• Object Orientated Programming (C# / C++)
• Scripting languages (Python / VBA)
• Relational Databases (SQL /Postgres)
• Maintaining Git repositories
• CICD toolchains
• Optional: Familiarity with Jira
• Optional: Tableau or PowerBI experience
• Optional: Functional programming experience (F#)

Quantitative Skills

• Familiarity with Vanilla & Exotic Equity derivative pricing models.

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.