Associate, Mortgage Quant

BMO•New York, NY

4d•$150,000 - $200,000

About The Position

The MFL (Mathematical Finance Library) Mortgage Quant is responsible for the entire spectrum of quantitative, analytical, technical, and development activities for the mortgage trading desks. 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, tools, analytics, reports, market data and information to effectively price, execute and hedge new transactions and to understand, monitor and manage existing risk.

Requirements

Advanced university degree in a technical field (mathematics, physics, statistics, engineering, computer science, etc.).
Software development experience (C++, Python).
Knowledge of Excel.
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.

Nice To Haves

Broad knowledge of mortgage and other asset-backed products is a strong plus.

Responsibilities

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 the MFL library.
Profiling and investigation of new models/approaches to improve model performance.
Helping traders to use MFL in daily pricing and risk management.
Interacting with the external control groups outside of FO and facilitating their understanding and usage of MFL models.
Aggregating, organizing, and analyzing market and trade data to facilitate a wide range of research and 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.