full-time
Director, Quantitative Developer (C#)
BMO Capital Markets
- Employer
- BMO Capital Markets
- Location
- Toronto
- Working pattern
- on-site
- Salary
- CA$175,000–CA$175,000 / year
About the role
Develop and maintain derivatives counterparty credit risk and credit valuation adjustment analytics, and provide booking and diagnostic support for integrated models. Collaborate with trading desks, quantitative analysts, and downstream teams to improve valuation and data feeds, while automating release, testing, and monitoring tools. A university degree in a technical field such as mathematics, physics, engineering, or statistics is required, along with expert-level C# knowledge and experience with scripting languages. Candidates should have experience with financial models and numerical analysis; PowerShell, equities or equity derivatives, large code bases, design patterns, XVA or counterparty credit risk, databases, and distributed computing are desirable.