Associate, Data Scientist, Optimization

About the Role

We are seeking a highly skilled Data Scientist to join our Collateral Management team, focusing on developing and enhancing our optimization platform for Equity and Fixed Income financing operations. You will work on mathematical models and large-scale data processing that manage billions in collateral across Global Markets.

Our Team

The Data Cognition Team (DCT) at BMO Capital Markets offers a scalable, customizable, and sustainable suite of core AI-enabled and Optimization products for various business units. With access to the latest data and analytics applications, we develop products that solve the most challenging business problems. Our methodology drives strategic processes impacting multiple business units, including Investment Banking, and Global Markets.

Responsibilities

• Work directly with Trading Desks to understand collateral optimization needs, and then turn this into actionable models and solutions

• Develop advanced mathematical models for collateral optimization, risk management, and capital efficiency.

• Design and implement multi-objective optimization algorithms, including balancing funding costs, liquidity constraints, regulatory requirements, transaction costs, and others.

• Enhance and extend our Pyomo-based optimization framework for collateral allocation across Equity and Fixed Income trades.

• Optimize existing codebase and build robust ETL pipelines processing and develop data quality frameworks.

• Research and prototype machine learning approaches for predictive collateral management.

• Research emerging quantitative finance techniques applicable to collateral optimization.

• Communicate complex technical concepts to non-technical stakeholders and present results to senior management and other key decision-makers.

• Ensure all steps needed in the delivery of demanding data products are understood and executed.

• Work with BMO Technology teams to design, deploy and manage solutions using the AWS services such as ECS, Fargate, Lambda, and RDS.

• Work with REST APIs from vendors and triparty services that provide security referential information regarding collateral eligibility

• Visualize complex data in a clear and concise manner. Work with Trading Desk to interpret results and apply feedback into ongoing improvement of the collateral optimization models.

Who we’re looking for:

• Advanced degree in Computer Science, Mathematics, Physics, or a related field, with a concentration in finance, economics, or operations research

• Minimum of 3 years' experience in quantitative finance, ideally in collateral management, securities lending, or repo trading

• Preferred experience in Capital Markets

• Deep knowledge of equity financing markets, including securities lending, repo, and prime brokerage operations

• Experience with fixed income markets, bond financing, and cross-asset trading strategies

• Strong quantitative, technology, and finance skills

• Expert-level Python programming, including experience with optimization libraries (Pyomo, Gurobi, CPLEX)

• Experience with common data science toolkits

• Advanced knowledge of design and analysis methodologies

• Strong database skills, including PostgreSQL and SQL Server

• Solid understanding of mathematical optimization, linear/quadratic programming, and constraint modeling

• Proficiency in Linux environments, Docker, and cloud platforms (AWS preferred)

• Experience with version control, CI/CD pipelines, and collaborative development practices

• Familiarity with finance tools such as Bloomberg, FactSet, and Thomson Reuters (a plus)

• Ability to investigate phenomena, formulate hypotheses, and learn from data

• Detail-oriented and results-driven

• Able to exercise independent thought and judgment, and adapt quickly to new tasks

• Team-oriented, comfortable sharing ideas, and collaborating effectively

• Proven track record of excellence working on complex projects involving multiple stakeholders

Join our team at BMO Capital Markets and contribute to solving complex challenges in Investment Banking and Global Markets using innovative technologies. Apply today with your resume, highlighting your relevant experience in data science and finance.