Quantitative Risk Analyst — Derivatives & Clearing
Build and validate production quantitative risk models for derivatives clearing, including volatility, correlation, stress testing, margin, and automated liquidation. The role requires 5–7 years of quantitative risk experience, expert Python skills, and an advanced quantitative degree or equivalent experience.
About the job
Responsibilities
- Design, implement, and maintain enterprise-scale risk models for market risk, margin, and counterparty exposure in a clearing organization.
- Build volatility and correlation models for derivatives, including calibration, backtesting, and ongoing validation.
- Develop historical, hypothetical, and reverse stress-testing frameworks.
- Design and tune automated liquidation logic, including trigger thresholds, liquidation waterfalls, and safeguards against cascading liquidations.
- Use AI tools for model development, coding, and research while rigorously validating outputs against established risk frameworks.
- Monitor model performance in production, investigate breaks, and iterate on models.
- Partner with engineering, trading, and product teams to integrate risk controls into platform architecture.
- Document model assumptions, limitations, and validation results to audit-ready standards.
Requirements
- 5–7 years of quantitative risk experience at a clearinghouse, exchange, prime broker, trading firm, or similar organization.
- Experience designing and implementing enterprise-scale production risk systems.
- Expertise in volatility, correlation, option skew, and option pricing models for traditional finance derivatives, perpetuals, and fully collateralized event contracts.
- Hands-on experience with market risk modeling, stress testing, and auto-liquidation mechanics in a clearing context.
- Strong proficiency with AI-assisted development and coding, including the ability to identify and correct plausible but invalid outputs.
- Expert-level Python, including NumPy, pandas, and SciPy, with solid software engineering practices.
- Advanced degree in mathematics, statistics, physics, financial engineering, computer science, or equivalent experience.
- Strong foundation in stochastic calculus and linear algebra.
Nice to Have
- C# and/or C++ experience for performance-critical or production systems.
- Familiarity with cryptocurrency market structure, perpetuals, or prediction markets.
- Experience with CCP risk frameworks, including CPMI-IOSCO PFMI, default management, and margin methodology.
- Experience building real-time risk systems.
Compensation and Benefits
- Competitive salary and equity.
- Unlimited PTO.
- Full health, vision, and dental coverage.
- 401(k) match.
- New MacBook Pro, display, and accessories.
Skills
Python, NumPy, pandas, Scipy, C#, C++, Stochastic Calculus, Linear Algebra, Volatility Modeling, Correlation Modeling, Option Pricing, Stress Testing, Auto-Liquidation
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