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Vice President


Bank of Montreal

2020-07-27 23:14:00

Job location Toronto, Ontario, Canada

Job type: fulltime

Job industry: Executive Positions

Job description

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.

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