Quant Risk Management Analyst - Unicorn Advisor (HK) Limited

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.