Associate, Quantitative Modelling

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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 MFL (Mathematical Finance Library) Interest Rate Quant is responsible for the entire spectrum of quantitative, analytical, technical, and development activities for the interest rate trading desks. 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, tools, 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 and computational methods for pricing deals and managing risk and integrating models into the MFL library and other FO applications.

• Maintaining existing suite of interest rate models.

• Helping traders in daily pricing and risk management.

• Interacting with the external control groups outside of FO and facilitating their understanding and usage of FO 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, risk measurement and risk management.

• Profiling and investigation of new models/approaches to improve model performance.

The role will require the following skills and aptitudes:

• Advanced university degree in a technical field (mathematics, physics, statistics, engineering, computer science, etc.)

• Experience in interest rate modeling (with a focus on products with optionality), pricing methodology, best practices, market data sources etc. is desired.

• The position is for an Associate but may consider an upgrade to VP for exceptional or well-qualified candidate (i.e. 0-4 years of relevant experience).

• Software development experience (.NET, Python).

• Knowledge of Excel, including scripting and efficient spreadsheet design.

• Strong technical writing ability.

• Strong communication skills, with the ability to deal effectively with a wide range of colleagues. This includes other technical professionals, traders, marketers, senior management, back office, and risk management.

Salary:

Please note the base salary for this role is $120,000 CAD.

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.