Vice President, Interest Rate Quant

Location: New York, NY, USA

Time Type: Full time

Job Description

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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: 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 http://jobs.bmo.com/us/en

BMO is proud to be an equal employment opportunity employer. We evaluate applicants without regard to race, religion, color, national origin, sex (including pregnancy, childbirth, or related medical conditions), sexual orientation, gender identity, gender expression, transgender status, sexual stereotypes, age, status as a protected veteran, status as an individual with a disability, or any other legally protected characteristics. We also consider applicants with criminal histories, consistent with applicable federal, state and local law.

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 [email protected] 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.