BMO Capital Markets is looking to solve the problem of enhancing/developing multi-factor term structure models for interest rate exotics/structured notes trading desks
Requirements
- 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-Sharp/.Net or C++
- Broad knowledge in quantitative finance, pricing methodologies, numerical methods, market data sources, best data sources
- Knowledge of Python and Excel
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
Other
- Advanced post-graduate degree in a technical field (mathematics, physics, statistics, engineering, computer science, etc.)
- 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
- Ability to work with external control groups and facilitate their understanding and oversight of models
- Must be able to work in a fast-paced environment and meet deadlines
