School of Electrical and Information Engineering,

The University of Sydney

Hedging of Foreign Exchange Risk

Postdoctoral Researcher (1 year contract, renewable)

The University of Sydney is a world-renowned university offering the highest quality teaching, learning, and research facilities.  Sydney is located on Australia's south-east coast and features year-round sunshine and the world's best beaches. The Computer Engineering Lab (http://www.ee.usyd.edu.au/cel/) in the Department of Electrical and Information Engineering is seeking a postdoctoral researcher for a research initiative funded by the Australian Research Council. Applicants should have completed their PhD in machine learning or a closely related discipline.

Financial institutions are required to absorb risks associated with foreign exchange (FX) transactions. This work involves applying recent parallel computing and machine learning techniques to better understand and manage such exposure. An environment is being developed to facilitate the testing of risk management strategies and provide an interface to scalable computational resources. The environment will be used to develop improved techniques for: customer flow and exchange rate prediction, hedging strategies, and FX market models. This research will potentially enable national banks to better quantify and manage risk, allowing them to be more competitive in global FX markets.

Interested candidates should email a resume/CV to: philip.leong_at_sydney.edu.au.