Associate, XVA Counterparty Credit Risk Quant

Address:

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 position is responsible for the entire spectrum of quantitative analytical and development activities for counterparty credit risk trading in Global 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.).

• Basic knowledge of quantitative finance models and derivatives pricing is required.

• Prior experience in implementing XVA credit or counterparty credit risk models is desired.

• Programing experience in C# C or Python is required.

• 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 includes traders other technical professionals marketers senior management back office and risk management.

Salary:

Please note the base salary for this role is $120000 CAD.

The 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.

To find out more visit us at is committed to an inclusive equitable and accessible workplace. By learning from each others 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.