Director, Quantitative Risk Management
Crypto.com
This job is no longer accepting applications
See open jobs at Crypto.com.See open jobs similar to "Director, Quantitative Risk Management" Blockchain Association.Responsibilities
- Drive the design and implementation of quantitative solutions for new business initiatives, support live production risk management and operation across the exchange and clearing business, and cover both retail and institutional clients.
- Design and implement innovative risk models to manage market risk, liquidity risk, treasury risk, and default risk etc.
- Develop real-time and ad-hoc risk tools and calculation engines for measuring and controlling various financial risks.
- Research and design innovative pricing functions for pricing derivatives including Futures, Options and Swaps, and core algorithms for constructing forward curves and option volatility surface.
- Ensure model compliance with applicable regulations and perform both qualitative and quantitative analyses.
- Drive the model testing and documentation, engage with independent validators and regulators for model validation and regulatory approvals.
- Engage with clearing members for model updates and performance presentation.
- Analyze macro and micro market structure on crypto and other derivative markets, periodically review and calibrate risk models according to market conditions.
- Closely engage with other team members from product, risk, legal, finance, compliance, and technology teams, providing business requirements to the technology team for model development in production systems.
Requirements
- PhD or Master in a quantitative discipline including math, physics, statistics, engineering, computer science, financial engineering etc.
- 8+ years of working experience in quantitative modeling or model validation.
- Solid knowledge of risk management and financial derivatives pricing.
- Solid programming skills in Python and SQL; strong programming in C++ preferred.
- Strong analytical skills, and ability to present complex issues in a clear and concise manner.
- Think critically and strive for continuous improvement, build up confident discussion and the ability to provide persuasive challenges on risk management as well as daily monitoring.
- Direct working experience or knowledge in FCM, Exchange and Clearing, settlement, liquidity, and regulatory space in PFMI, EMIR, CFTC, MAS, etc. would be desirable.
This job is no longer accepting applications
See open jobs at Crypto.com.See open jobs similar to "Director, Quantitative Risk Management" Blockchain Association.