Quant Researcher, OEX

Responsibilities

• 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.

Requirements

• 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.