Vice President, Counterparty Credit Risk / XVA Quant

<div><div><div><div><div><div><div><div><div><div><div><div><div><div><p style="text-align:left"><span>Application Deadline:</span></p></div></div></div></div></div></div></div></div></div></div></div></div></div></div>10/29/2026<p style="text-align:inherit"></p><p style="text-align:inherit"></p><p style="text-align:left"><span>Address:</span></p>100 King Street West<p style="text-align:inherit"></p><p style="text-align:inherit"></p><div><div><div><div><div><div><div><p style="text-align:left">Job Family Group:</p></div></div></div></div></div></div></div>Capital Mrkts Sales & Service<p style="text-align:inherit"></p><p style="text-align:inherit"></p><p><span style="color:#000000">BMO Capital Markets is a leading, full-service North American-based financial services provider, with over 2,700 professionals in 30+ locations around the world, including 20 offices in North America, offering corporate, institutional and government clients access to a complete range of investment and corporate banking products and services.

BMO Capital Markets is a member of BMO Financial Group (NYSE, TSX: BMO), one of the largest diversified financial services providers in North America with US$1.1 trillion total assets and approximately 53,000 employees as of April 30, 2026. #bmocapitalmarkets</span></p><p style="text-align:inherit"></p><p style="text-align:inherit"></p><p><span style="color:#000000"><b><span style="font-size:inherit">Job Description</span></b></span></p><p><span style="font-size:inherit">The position is responsible for the entire spectrum of quantitative, analytical, and development activities for counterparty credit risk trading in Global Markets.

The mandate is to provide traders, marketers, BMO CM senior management and our external control groups (Risk Reporting, Risk Oversight, Valuation Product Control, etc.) with the models, analytics, reports, market data and information to effectively price, execute and hedge new transactions and to understand, monitor and manage existing risk. </span></p><br /><p><b><span style="font-size:inherit">Tasks include</span></b></p><ul><li><span style="font-size:inherit">Developing new mathematical models and computational methods for pricing deals and managing risk.

</span></li><li><span style="font-size:inherit">Maintaining existing suite of models in FO analytics library.</span></li><li><span style="font-size:inherit">Helping traders to use models in daily pricing and risk management.</span></li><li><span style="font-size:inherit">Interacting with the groups outside of FO (Market Risk Model, Model Vetting, Market Risk Oversight, VPC) and facilitating their understanding and usage of FO analytics models.

</span></li><li><span style="font-size:inherit">Aggregating, organizing and analyzing market and trade data to facilitate a wide range of reporting, from high-level business overviews down to trade-level details.</span></li><li><span style="font-size:inherit">Engaging in discussions with traders, senior management, and risk managers regarding deal modeling and pricing, hedging, and risk management.

</span></li><li></li></ul><p><b><span style="font-size:inherit">The role will require the following skills and aptitudes: </span></b></p><ul><li><span style="font-size:inherit">A university graduate degree is required in a technical field (physics, mathematics, statistics, engineering, computer science, etc.)</span></li><li><span style="font-size:inherit">Minimum of 4 years of industry experience is required.

If the candidate has a PhD in a technical field, 2 years of experience is required.</span></li><li><span style="font-size:inherit">Prior experience in implementing XVA, credit or counterparty credit risk models is required.</span></li><li><span style="font-size:inherit">Broad knowledge at an advanced level of quantitative models.</span></li><li><span style="font-size:inherit">Programing experience in C#, C++ or Python.

Knowledge of Excel, including scripting and efficient spreadsheet design.</span></li><li><span style="font-size:inherit">Excellent communication and inter-personal skills, with the ability to deal effectively with a wide range of colleagues. This includes traders, other technical professionals, marketers, senior management, back office, and risk management.</span></li></ul><br /><p><span style="font-size:inherit">Please note the base salary for this position is $160,000 CAD.

</span></p><br /><div><div><div><div><div><div><div><p style="text-align:inherit"></p><p style="text-align:left"><b><span>Salary</span></b><b>:</b></p></div></div></div></div></div></div></div><p style="text-align:inherit"></p><div><div><div><div><div><div><div><p style="text-align:left"><b>Pay Type: </b></p></div></div></div></div></div></div></div>Salaried<p style="text-align:inherit"></p><p style="text-align:left">The above represents BMO Financial Group’s pay range and type.

</p><p style="text-align:inherit"></p><p style="text-align:left">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.

</p><p style="text-align:inherit"></p><p style="text-align:left">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: <a href="https://jobs.bmo.com/global/en/Total-Rewards" target="_blank"><span><span><span><span><span class="WKM1">https://jobs.bmo.com/global/en/Total-Rewards</span></span></span></span></span></a></p><p style="text-align:inherit"></p><