Source description
About the role
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.
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