Director, Exotics Rates Quant
About The Position
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 Exotics Rates Quant Director is responsible for the entire spectrum of quantitative, analytical, technical, and development activities for the interest rate exotics/structured notes trading desks, with a particular focus in enhancing/developing multi-factor term structure models such as Libor Market Model or Cheyette/HJM models for callable rates exotics. The mandate involves developing and supporting our internal math finance library to price and risk manage swaptions, cap/floors, futures options, callable rates exotics and structured notes. 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.
Requirements
- Advanced post-graduate degree in a technical field (mathematics, physics, statistics, engineering, computer science, etc.)
- Deep industry experience in multi-factor term structure modeling, in particular Libor Market Model
- Deep industry experience in volatility skew/smile modeling, especially in the context of term structure models
- Deep industry experience in interest rate options market
- Familiarity with HJM framework and Cheyette model classes.
- Proficiency in software development using C#/.Net or 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
Responsibilities
- Developing and enhancing multi-factor term structure models such as Libor Market Model and Cheyette/HJM framework.
- Improving the robustness and accuracy of the model Greeks and PnL explain
- Improving the accuracy and flexibility of volatility skew/smile calibration and correlation calibration
- Supporting traders, senior management, and risk managers regarding deal modeling and pricing, hedging, risk measurement and management
- Profiling and investigation of new innovative models/approaches to improve model performance
- Interacting with the external control groups outside of FO such as model risk and market risk, and facilitating their understanding and oversight of models
Benefits
- BMO also offers health insurance, tuition reimbursement, accident and life insurance, and retirement savings plans.
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What This Job Offers
Job Type
Full-time
Career Level
Director
Number of Employees
5,001-10,000 employees
