Quantitative Analyst (Risk Management), FICC focus | Hong Kong, HK | In-Office

A leading Chinese Investment Bank is looking to hire a middle to senior level sell side Quant with direct exposure to Rates, FX, or Commodities. Good programming skills of python and C++ is a must. Candidate with MSc/PhD in Quantitative Finance, Math, Physics, or Engineering is preferred. Please find the job scope below:

Pricing & Model Development

• Design, implement, and calibrate pricing models for Rates (swaptions, inflation, exotics), FX (barriers, accumulators), and Commodities (oil, gas, power derivatives).
• Enhance existing models for stochastic rates (e.g., Hull-White, LMM), FX local/stochastic vol (e.g., Heston, SABR), and commodity curve dynamics (mean-reverting jumps, seasonal adjustments).
• Develop hybrid models for cross-asset products (e.g., FX-linked inflation swaps, commodity-IR hybrids).

Risk Analytics & Trading Support

• Implement scenario analysis tools for tail risks (e.g., yield curve inversions, commodity squeezes).
• Compute and optimize XVA adjustments (CVA, FVA, MVA) for derivative portfolios.
• Build real-time Greeks calculators and P&L explain tools for traders.

Infrastructure & Automation

• Optimize model performance via GPU acceleration (CUDA) or parallel computing.
• Integrate models into the bank’s pricing/risk stack (Python/C++ libraries, Excel interfaces).
• Automate curve construction and volatility surface calibration.