Coinbase is seeking a Quantitative Risk Modeling Analyst to help design, develop, implement, and maintain a suite of financial risk models that form the foundation of their risk infrastructure.
Requirements
- PhD or Master degree in a highly quantitative field
- 2+ years of experience working in quantitative risk model development or quantitative research function
- Familiarity with financial products and understanding of key risk factors
- Deep understanding of statistical and machine learning models/methodologies
- Understanding of Monte Carlo Simulation and Brownie Motion
- Proficiency in Python and SQL
- Working experience with derivatives (swaps, options, futures)
- Understanding of fundamentals of crypto assets and their protocols
Responsibilities
- Develop, implement, and maintain Potential Future Exposure (PFE) models across all risk-bearing products
- Design and calibrate margin models for exchange-traded and prime brokerage products
- Enhance and support the Value-at-Risk (VaR) model to monitor and manage market risk
- Develop, implement, and maintain liquidity models
- Write production level code for model implementation
- Conduct quantitative risk analyses to support risk-informed decision making
- Build and deploy quantitative tools within the firm’s risk platform
Other
- Strong technical written skills for model documentation
- Ability to communicate technical findings/issues clearly to non-technical audiences
- Strong willingness to take ownership and collaborate with others
- Commitment to diversity in the workforce and equal opportunity employment
- Ability to work in a fast-paced, evolving environment
