VP, Counterparty Credit Risk Quant
Top Benefits
About the role
Description
Application Deadline:
08/30/2025
Address:
100 King Street West
Job Family Group:
Capital Mrkts Sales & Service
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.
About Desjardins
Desjardins Group is the largest cooperative financial group in North America and the fifth largest cooperative financial group in the world, with assets of $435.8 billion as at March 31, 2024. It was named one of Canada's Best Employers by Forbes magazine and by Mediacorp. To meet the diverse needs of its members and clients, Desjardins offers a full range of products and services to individuals and businesses through its extensive distribution network, online platforms and subsidiaries across Canada. Ranked among the world's strongest banks according to The Banker magazine, Desjardins has some of the highest capital ratios and credit ratings in the industry and the first according to Bloomberg News.
VP, Counterparty Credit Risk Quant
Top Benefits
About the role
Description
Application Deadline:
08/30/2025
Address:
100 King Street West
Job Family Group:
Capital Mrkts Sales & Service
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.
About Desjardins
Desjardins Group is the largest cooperative financial group in North America and the fifth largest cooperative financial group in the world, with assets of $435.8 billion as at March 31, 2024. It was named one of Canada's Best Employers by Forbes magazine and by Mediacorp. To meet the diverse needs of its members and clients, Desjardins offers a full range of products and services to individuals and businesses through its extensive distribution network, online platforms and subsidiaries across Canada. Ranked among the world's strongest banks according to The Banker magazine, Desjardins has some of the highest capital ratios and credit ratings in the industry and the first according to Bloomberg News.