Vice President, Interest Rate 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 Interest Rate Quant Vice President 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.)

• 3-5 years of industry experience in interest rate derivatives market

• Deep industry experience in curve building theory and practice

• 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

Salary:

USD $260,000

Salary:

Pay Type:

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:

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