Police at the scene apparently failed to persuade the man not to jump off the roof of Chater House, local media reported.
Authorities identified the victim as Li Jie, 33. He was taken to hospital and pronounced dead, police said.
Officers did not find a suicide note at the scene but classified the death as not suspicious.
Several JP Morgan employees told the South China Morning Post newspaper that the man was a foreign exchange trader with the company, but a spokeswoman did not confirm whether the man was an employee.
JP Morgan takes up 10 floors, from the 20th to 29th, of the landmark building in Hong Kong's central business district.