VP, Counterparty Credit Risk / XVA Quant

Job summary

Develop and maintain quantitative models, computational methods, analytics, and reports for counterparty credit risk trading, supporting transaction pricing, execution, hedging, and ongoing risk management. Work with traders, senior management, and control and risk groups to explain and apply models, analyze market and trade data, and support deal modeling and risk decisions.

Job details

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 Markets. 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, 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.). Minimum of 4 years of industry experience is required. If the candidate has a PhD in a technical field, 2 years of experience is required. Prior experience in implementing XVA, credit or counterparty credit risk models is required. Broad knowledge at an advanced level of quantitative models. Programing experience in C#, C++ or Python. 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 colleagues. This includes traders, other technical professionals, marketers, senior management, back office, and risk management. Please note the base salary for this role is $160,000 CAD. Salary: $80,000.00 - $175,000.00 Pay Type: Salaried 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.

What you’ll do

Develop and maintain quantitative models, computational methods, analytics, and reports for counterparty credit risk trading, supporting transaction pricing, execution, hedging, and ongoing risk management. Work with traders, senior management, and control and risk groups to explain and apply models, analyze market and trade data, and support deal modeling and risk decisions.

Requirements

A graduate degree in a technical field and at least four years of industry experience are required; candidates with a technical PhD need at least two years of experience. Applicants must have experience implementing XVA, credit, or counterparty credit risk models, advanced quantitative modeling knowledge, programming experience in C#, C++, or Python, Excel scripting and spreadsheet design skills, and strong communication and interpersonal abilities.

Benefits

• Health Insurance • Tuition Reimbursement • Accident Insurance • Life Insurance • Retirement Savings Plans • Performance-Based Incentives • Discretionary Bonuses

Listed skills

• interpersonal skills · Preferred
• Risk Management · Preferred
• Communication · Preferred
• C++ · Preferred
• Python · Preferred

Other relevant skills

Identified from the job description. Confirm important requirements above.

• XVA Modeling
• Counterparty Credit Risk Modeling
• Quantitative Modeling
• Mathematical Modeling
• Pricing
• Risk Management
• Hedging
• C#
• C++
• Python
• Excel Scripting
• Market Data Analysis
• Trade Data Analysis
• Communication
• Interpersonal Skills

Job areas

• Finance & Accounting
• Data & Analytics
• Science & Research
• Management & Leadership