Quantitative Analyst **

This position will be under the Employee Referral Program in Hong Kong.

Summary

Provide a quantitative research function for the activities of the Fixed Income Non Linear , with a special focus on FX business. Quantitative Research involves defining and implementing mathematical pricing models for both well established products to improve pricing and risk management, and for new products to enhance the range offered by the bank.

Ensure correct and robust implementation of the models within the relevant bank's systems, including dealing correctly with all aspects of the trade providing relevant risk measures to the system.

Key Responsibilities

• Develop code inside C++ analytics library for pricing new products and developing new pricing models in order to improve valuation and risk management of Fixed Income Non Linear derivatives
• Work with the Quant development team to ensure correct implementation of pricing library functionalities in FOX, bank's internal pricing system for FX Options business
• Work with the IT department to ensure correct implementation of pricing library functionalities in OT, risk management systems of Fixed Income Non Linear Business
• Ensure the coordination for the FINL quantitative topics in London setup

Strategy and Business Planning

• Ensure that models are adequate for both pricing and hedging transactions from trade inception to expiration, for example take into account any model risk, and find strategies to deal with it
• Document and explain models to the risk department if they become candidates to be used for mark to market and risk management; support the model risk team in their validation process
• Implement models for use in the risk management systems (OT) and also in the front office pricing system, FOX
• Assist the trading team in pricing and assessing the risk of complex transactions
• Assist the back office and other bank support functions in understanding and dealing with more complex transactions
• Train and present on products and tools developed
• Research and back-test models / strategies using historical data
• Support pricing tools and the risk management system from a quantitative point of view

Management and Reporting

• Report locally to Head of FX Options Trading APAC, functionally to the Head of Quantitative Research Fixed Income Non-Linear

Legal and Regulatory Responsibilities

• Comply with all applicable legal, regulatory and internal Compliance requirements, including, but not limited to, the London Compliance manual and the Financial Crime Policy.
• Maintain appropriate knowledge to ensure to be fully qualified to undertake the role. Complete all mandatory training as required to attain and maintain competence.

Counterparties and Clients

Key Internal Contacts

• Traders and Structurers for building pricers and models
• MRA for models validation
• IT for implementation of the pricers into the risk management system
• Chief Operating Officer

Supplementary Information

Systems Used

Internal

FOX, OT

External systems

Outlook, Microsoft Office, Visual Studio, SVN

In accordance with the Mandatory Reference Checking (MRC) Scheme implemented by the Hong Kong Monetary Authority (HKMA), a successful candidate for an In-Scope Position who has held a position with an In-Scope Institution in the past 7 years will be subject to a mandatory reference check. For more details, please refer to Mandatory Reference Checking Scheme Phase 2 | The Hong Kong Association of Banks .

Personal data provided by job applicants will be used strictly in accordance with the employer's personal data policies, a copy of which will be provided immediately upon request.

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Candidate criteria

Minimal education level

Postgraduate degree - MA/MSc/PhD/Doctorate or equivalent

Academic qualification / Speciality

Master Degree in a Mathematical subject

Level of minimal experience

3-5 years

Experience

• Experience in implementing option pricing models
• Experience in developing C++ code for pricing financial products
• Experience in working in FX options market

Required skills

• Able to explain complex ideas in a clear and coherent manner to traders / sales / management, both oral, written or in presentation
• Able to work in a team, to share ideas and learn from others
• Self-driven with a strong desire to meet deadlines, and to work accurately and quickly
• Integrity, desire to have correct, robust and safe mathematical models and implementation
• Innovative ideas, ability, courage and desire to suggest and develop novel approaches.

Technical skills required

• Knowledge of stochastic calculus, probability theory
• Knowledge of various option pricing models
• Ability to program pricing algorithms in C++
• Knowledge of source control systems
• Specific knowledge of the foreign exchange market
• Understanding of risk management systems, particularly with regard to issues that are important for writing quantitative software