Director, Exotics Rates Quant

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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 Exotics Rates Quant Director is responsible for the entire spectrum of quantitative, analytical, technical, and development activities for the interest rate exotics/structured notes trading desks, with a particular focus in enhancing/developing multi-factor term structure models such as Libor Market Model or Cheyette/HJM models for callable rates exotics. The mandate involves developing and supporting our internal math finance library to price and risk manage swaptions, cap/floors, futures options, callable rates exotics and structured notes. The role also entails supporting traders, marketers and BMO CM senior management with the models, tools, analytics and information to effectively price, execute and hedge transactions and to understand, monitor and manage existing risk.

Tasks include:

• Developing and enhancing multi-factor term structure models such as Libor Market Model and Cheyette/HJM framework.

• Improving the robustness and accuracy of the model Greeks and PnL explain

• Improving the accuracy and flexibility of volatility skew/smile calibration and correlation calibration

• Supporting traders, senior management, and risk managers regarding deal modeling and pricing, hedging, risk measurement and management

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

• Interacting with the external control groups outside of FO such as model risk and market risk, and facilitating their understanding and oversight of models

The role will require the following skills and aptitudes:

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

• Deep industry experience in multi-factor term structure modeling, in particular Libor Market Model

• Deep industry experience in volatility skew/smile modeling, especially in the context of term structure models

• Deep industry experience in interest rate options market

• Familiarity with HJM framework and Cheyette model classes.

• Proficiency in software development using C#/.Net or C++

• Broad knowledge in quantitative finance, pricing methodologies, numerical methods, market data sources, best data sources

• Knowledge of Python and Excel

• Strong teamwork mentality, and the ability to connect to the team and leverage existing resources and tools to advance business goals

• Strong technical writing ability and strong communication skills

Please note the base salary for this role is $175,000 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.