Front Office Desk Quant / Strat

Application Deadline:

09/26/2024

Address:

100 King Street West

Job Family Group:

Data Analytics & Reporting

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 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. Responsibilities include

 

Model risk management

• Act as first line of defense for exotic models. Identify possible sources of bleed via back-testing thru time and across market scenarios.
• Facilitate User Acceptance Testing by working directly with traders who will use new models or features. Coordinate with other stakeholder groups in 1st and 2nd line of defense
• Build tools for ongoing performance monitoring of production models versus other benchmark / candidate models.
• Participate in periodic reviews of model performance, and provide insight into what has been observed, what can be improved, etc.

 

Quantitative Trading support

• Create custom scenarios, reporting tools, as required to satisfy trading strategy analysis.
• 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.

 

Required skills

 

Software Development skills

• Expert level C# programming
• Functional Programming experience (e.g. F# or others)
• Relational Databases (SQL / Postgres)
• Git / SVN
• Modern software design patterns
• Optional: Message Queues
• Optional: Tableu or PowerBI
• Optional: Python or other scripting languages

 

Quantitative skills

• Experience building or at least debugging exotic equity derivative pricing models
• Understanding of options trading strategies
• Understanding of Stochastic Volatility

Salary:

$81,600.00 - $151,200.00

Pay Type:

Salaried

The above represents BMO Financial Group’s pay range and type.

Salaries will vary based on factors such as location, skills, experience, education, and qualifications for the role, and may include a commission structure. Salaries for part-time roles will be pro-rated based on number of hours regularly worked. For commission roles, the salary listed above represents BMO Financial Group’s expected target for the first year in this position.

BMO Financial Group’s total compensation package will vary based on the pay type of the position and may include performance-based incentives, discretionary bonuses, as well as other perks and rewards. BMO also offers health insurance, tuition reimbursement, accident and life insurance, and retirement savings plans. To view more details of our benefits, please visit: https://jobs.bmo.com/global/en/Total-Rewards

We’re here to help

At BMO we are driven by a shared Purpose: Boldly Grow the Good in business and life. It calls on us to create lasting, positive change for our customers, our communities and our people. By working together, innovating and pushing boundaries, we transform lives and businesses, and power economic growth around the world.

As a member of the BMO team you are valued, respected and heard, and you have more ways to grow and make an impact. We strive to help you make an impact from day one – for yourself and our customers.