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Director Quantitative Engineer C

Bank of Montreal

Expert C# programming meets derivatives credit risk analytics at BMO Capital Markets in Toronto. Build and support systems for valuation and downstream feeds.As a Director-level Quantitative Engineer, you will develop and maintain analytics within the bank derivatives source system. The work covers financial models, numerical analysis, automation, testing, monitoring, and integrated model support. You will collaborate with trading desks, quantitative analysts, and downstream groups.Key Responsibilities:
Develop and maintain derivatives analytics in the source systemProvide booking and diagnostic support for integrated modelsAutomate release, testing, and monitoring toolsEnhance system robustness and capabilities with teammatesCoordinate valuation information with trading and downstream groupsRequirements:
University degree in mathematics, physics, engineering, or statisticsExpert-level C# knowledgeExperience with scripting languages and financial modelsFamiliarity with numerical analysis in a relevant fieldPowerShell, databases, or distributed computing experience is desirableUse advanced C# and quantitative engineering skills to strengthen BMO derivatives credit risk analytics and model support.
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Vacancy posted 1 hour ago
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