Director, Interest Rates Quant
Director, Interest Rates Quant
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Job Description
Application Deadline:
Address:
151 W 42nd StreetJob Family Group:
Capital Mrkts Sales & ServiceThe Interest Rate Quant Director is responsible for the entire spectrum of quantitative analytical technical and development activities for the interest rate trading desks with a particular focus in developing a C curve library for high speed electronic trading. The mandate involves developing a state-of-the-art high performance quant library to build real-time curves that accurately reflect market conditions and accurately value and hedge single currency/xccy swaps and other interest rate derivatives. 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 new mathematical and computational methods for building real-time curves in C
- Using the C library to calibrate the curves to accurately reflect market conditions and value transactions
- Working closely with trading desks to monitor the market conditions and evolve the curve building methodologies
- Working closely with engineering team to tune performance for electronic trading applications of the models
- Working closely with the rest of quant team to reconcile the analytics between the C library and legacy curve and pricing library
- Supporting 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
- Interacting with the external control groups outside of FO 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 curve building theory and practice
- Deep industry experience in interest rate derivatives market
- Deep industry experience in software development experience using 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
The salary for Director level is USD $275000 and Managing Director is USD $350000.
Salary:
Pay Type:
SalariedThe above represents BMO Financial Groups 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 Groups expected target for the first year in this position.
BMO Financial Groups 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: 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. Well 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 well help you gain valuable experience and broaden your skillset.
BMO is committed to working with and providing reasonable accommodations to individuals with disabilities. If you need a reasonable accommodation because of a disability for any part of the employment process please send an e-mail to and let us know the nature of your request and your contact information.
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.
Required Experience:
Director
Employment Type
Full-Time
