Senior Business Strategy Manager (Quantitative Modeling)

  • Competitive
  • Hong Kong Hong Kong Hong Kong HK
  • Permanent, Full time
  • Bank Of China (Hong Kong) Limited
  • 26 Apr 18 2018-04-26

Senior Business Strategy Manager (Quantitative Modeling)

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
  • Propose the methodology of official financial models of derivatives to back office for model validation and approval. The scope includes but not limited to the following:
    • 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 treasury system revamp project or other regulatory projects (e.g. margin rules) on model related areas
  • Communicate with third party vendors on model procurement and maintenance
  • Draft and maintain relevant model documents, policy and procedures
  • On behalf of business unit to participate in relevant model validation project
  • Occasionally, design and implement financial models as required by front office

Requirements:
  • Bachelor Degree or above in engineering, mathematics, statistics, physics, or other quantitative subjects
  • At least 5 years related experiences in banking or similar industry
  • Knowledge of financial market derivatives products
  • Familiar with financial models in multiple asset class derivatives (e.g. FX, Interest Rate, Equity, etc), including strongly path dependent derivatives and exotics.
  • Familiar with various numerical methods (Analytics, PDE, Monte-Carlo) and the relevant techniques such as speeding up convergence, 2-factor PDE etc.
  • Strong programming skills in languages such as Python, C++, Java, Matlab and SQL
  • 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
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