VP/Associate, Front Office Equity Derivatives Desk Quant

BMO•New York, NY

12d•$150,000 - $260,000•Onsite

About The Position

The Front Office Desk Quant / Strat role involves utilizing quantitative skills to develop and implement trading strategies, risk management, and collaboration with trading teams to optimize decision making processes.

Requirements

Object Orientated Programming (C# / C++)
Scripting languages (Python / VBA)
Relational Databases (SQL / Postgres)
Maintaining Git repositories
CICD toolchains
Familiarity with Vanilla & Exotic Equity derivative pricing models.
Ability to build prototype pricing and diagnostic tools for intraday risk, valuations, P&L and regulatory reporting requirements.

Nice To Haves

Familiarity with Jira
Tableau or PowerBI experience
Functional programming experience (F#)

Responsibilities

Respond to traders’ requests to troubleshoot intraday risk issues, P&L attribution, and any quant / tech related issues.
Prototype new tools to be used for intraday valuations, risks and P&L/explain. Provide the prototypes for tech/quant teams to build into systems.
Build optimization tools for exotic options portfolio hedging.
Create and maintain custom scenarios, reporting tools, as required to satisfy trading strategy analysis.
Optimization of existing workflows and transformation of ad-hoc excel based tools to scalable and distributed solutions.
Produce and review back-test data for new models / pricing parameters to identify issues against benchmark production data.
Reviewing model output and identifying inconsistencies in data.