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Bank of Montreal
Toronto, Ontario, Canada
Job type: fulltime
Job industry: Executive Positions
We're looking for a candidate to this position in an exciting company.
- Developing new mathematical and computational methods for pricing deals and managing risk and integrating models into MFL library and FO applications
- Maintaining existing suite of models in MFL library.
- Helping traders to use MFL in daily pricing and risk management
- Interacting with the groups outside of FO (MRV, MR Oversight, VPC) and facilitating their understanding and usage of MFL 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, risk measurement and risk management.
- A university degree is required. Preferably, an advanced degree in a technical field (mathematics, physics, statistics, engineering, computer science, etc.);
- Industry experience and a PhD in a technical field are strong pluses
- Broad knowledge at an advanced level of quantitative models for price/rate processes and volatility surface.
- Good understanding of financial derivatives, from linear products to vanilla options, and exotic options.
- Hands-on experience with interest rate term structure models, such as LMM or other multi-factor IR models.
- Knowledge of Excel, including scripting and efficient spreadsheet design;
- Strong technical writing ability;
- Strong communication skills, with the ability to deal effectively with a wide range of colleagues. This includes other technical professionals, traders, marketers, senior management, back office, and risk management.