Business Strategy Officer

  • Competitive
  • Hong Kong Hong Kong Hong Kong HK
  • Permanent, Full time
  • Bank Of China (Hong Kong) Limited
  • 25 Apr 18 2018-04-25

Business Strategy Officer

Responsibilities:

  • Assist business units (trading book and banking book) to conduct research and back-testing on financial models, which covers multiple asset classes e.g. FX, Interest Rate, Equity and Credit Derivatives
  • Assist in proposing the methodology of official financial models of derivatives to back office for model validation and approval. The scope includes but not limited to Yield curves and volatility surfaces, Calibration, Models on NPV and Greeks, Sources of model parameters
  • Conduct regular calibration works as required by front office
  • Participate in Murex project or other projects (e.g. margin rules) on model related areas
  • Communicate with third party vendors on model procurement and maintenance
  • Implement financial models as required by front office
Requirements:
  • Bachelor Degree or above in engineering, mathematics, statistics, physics, or other quantitative subjects
  • Related experiences in financial industry or IT technical backgroud prefered
  • Basic knowledge of financial market derivatives products
  • Basic understanding to financial models in multiple asset class derivatives (e.g. FX, Interest Rate, Equity, etc).
  • Knowledge in various numerical methods (Analytics, PDE, Monte-Carlo) and the relevant techniques such as speeding up convergence, 2-factor PDE etc.
  • Strong programming skills in programming languages e.g. Python, C++, Java or VBA
  • Strong analytical mind and problem solving skills
  • Good team player and outgoing
  • Proactive communicator and willing to take ownership of his/her work
  • Good command in spoken and written English and Chinese, including Putonghua