Quant Researcher

About the role

This role focuses on developing and implementing derivatives pricing models for various asset classes, including equities, commodities, and digital assets. The work involves ensuring the accuracy and effectiveness of these models for both new and existing products. A key aspect is providing risk insights for product onboarding and regularly reviewing risk parameters like margin levels and liquidation thresholds.

The Quant Researcher will monitor and analyze real-time and historical portfolio risk, examining factors such as exposure, leverage, and margin utilization. This includes designing automated liquidation logic to manage market risk during volatile periods. Success in this position means effectively balancing market impact with risk mitigation through robust algorithmic design.

The position also requires performing scenario analysis and stress testing across diverse market conditions to assess potential impacts. Understanding market microstructure in multi-asset derivative markets is crucial for calibrating risk models. The researcher will support the creation and maintenance of internal risk dashboards and analytical tools, contributing to the overall risk management framework of the trading platform.

The annual salary for this role is between $100,000 and $230,000 USD.

Skills that matter here

• Python: Proficiency in Python is required for developing and implementing quantitative models and analytical tools.
• SQL: This role requires proficiency in SQL for managing and querying data structures and models within databases.
• noSQL: Familiarity with noSQL data structures and database management is necessary for handling diverse data sets.
• data structures: Understanding data structures is essential for efficient data management and model development.
• data models: Knowledge of data models is critical for designing and working with financial data within the trading platform.
• database management: Database management skills are needed to support the build and maintenance of internal risk tools and dashboards.

Who this role suits

• A person with a Master's or PhD in a quantitative field like math, physics, or financial engineering.
• Someone with at least five years of experience in quantitative research, risk management, or trading.
• An individual who possesses a deep understanding of derivatives pricing theory across traditional and digital assets.
• A candidate familiar with Order Book Dynamics and Cross/Portfolio-Margining methodologies, ideally with direct trading experience.

From the employer

• Develop, implement, and validate derivatives pricing models for new and existing products across various asset classes (e.g., equities, commodities, futures, perpetuals, options).
• Monitor and analyze real-time and historical portfolio risk, including exposure, leverage, margin utilization, concentration, and liquidation.
• Design optimal automated liquidation logic and algorithms to balance market risk with market impact during extreme volatility.
• Perform scenario analysis and stress testing across a range of market conditions.
• Provide risk input into product onboarding, listing reviews, and regular risk parameter reviews: haircuts, margin levels, liquidation thresholds, index pricing, funding rates, and position limits.
• Analyze market microstructure on multi-asset derivative markets, periodically review and calibrate risk models according to evolving market conditions.
• Support the build and maintenance of internal risk dashboards and analytical tools.

• 5+ years of relevant working experience in quantitative research, risk management, trading, or a related field.
• Master or PhD in a quantitative discipline (e.g., math, physics, statistics, engineering, computer science, financial engineering, quantitative finance, etc.).
• Proficient in Python and SQL or noSQL data structures, data models, and database management.
• Strong understanding of derivatives pricing theory across traditional and digital asset classes.
• Deep understanding of Order Book Dynamics (L1-L3 data) and Cross/Portfolio-Margining methodologies (e.g., offsetting spot against futures).
• Deep knowledge of equities, commodity products, macro assets, and ongoing developments in these spaces; thoroughly familiar with futures, perpetuals, or other derivative types.
• Direct trading experience (personal or professional) is highly ideal, with a deep familiarity with margin concepts and liquidation mechanisms.

• Competitive salary
• Attractive annual leave entitlement including: birthday, work anniversary
• Flexi-work hour and hybrid or remote set-up
• Aspire career alternatives through us. Our internal mobility program can offer employees a diverse scope.
• Work Perks: crypto.com visa card provided upon joining.