Quantitative Analyst (Risk Management), FICC focus

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

1. Design, implement, and calibrate pricing models for Rates (swaptions, inflation, exotics), FX (barriers, accumulators), and Commodities (oil, gas, power derivatives).
2. 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).
3. Develop hybrid models for cross-asset products (e.g., FX-linked inflation swaps, commodity-IR hybrids).

Risk Analytics & Trading Support

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

Infrastructure & Automation

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