Quantitative Risk Modeling Analyst

ErisX is at the fast-moving intersection of financial markets and digital assets. We are rich with capital markets history and the creativity and energy of a FinTech start up. It is with this entrepreneurial mindset combined with the input of the most successful and forward-thinking investors, and clients, that we work together to develop disruptive technologies and capital markets products.

Backed by premier exchanges, trading firms, brokers and private equity firms, our team is made up of financial services executives, technologists and market experts. We thrive on knowledge, execution and collaboration. This is reflected in our core values which include; growing the knowledge through coaching, curiosity, constant learning and teaching. We strive to advance deliberately and with a purpose through nimble, thoughtful, creative and disciplined action. These values are more than just words, they reflect our culture and are the way we believe we should operate as an exchange.

Role Description

ErisX operates CFTC registered Exchange and Clearinghouse which lists and clear Spot and Futures products on various Cryptocurrencies. We are looking for a Quantitative Risk Modeling Analyst to join our growing Risk Management team. This position will report directly to the Chief Risk Officer.

Requirements

Responsibilities

• Research and implement derivatives valuation and portfolio margin models that will be used by the Clearinghouse for valuation of complex portfolios of financial derivatives under different market conditions; and for calculating Clearing Member margin requirements. Provide insight into model functionality, capabilities, and limitations.
• Perform detailed market and stress analysis to capture various types of risk to the Clearinghouse and translate the findings into recommendations for financial resources planning.
• Perform analysis of slippage incurred in the event of liquidation of Clearing Member portfolios under default taking into account volume, market depth/spread, market conditions and different hedging options.
• Identify sources of data that will drive various risk models and reports and design pipeline for data ingestion and schema for data storage.
• Design and implement suitable and effective ongoing monitoring plans including performance metrics, thresholds, and escalation plans. Design reports and dashboards to be distributed to key stakeholders.
• Write technical specifications for developers to implement quantitative models and other risk calculations. Work with developers on deployment of risk models and tools taking into account contingency and business continuity planning. Perform code review and QA testing.
• Research to support new instruments listing on the Exchange or for Clearing.
• Understand regulatory requirements in relation to monitoring and calibration of risk models and help design and implement appropriate monitoring tools. Help develop Policies and Procedures for Model Risk Management as well as meet with or respond to requests from regulators or auditors for information.
• Stay abreast of developments in the field of financial risk modeling particularly related to Clearinghouses.

• 5+ years of working experience in financial modeling field as a key contributor using simulation, regression, and time-series modeling techniques Capital Markets (such as Clearing, Banking or Trading and Investment)
• Deep understanding of the concepts of VaR, stress testing and portfolio risk management
• Strong knowledge of methods used in pricing and analysis of derivative instruments
• Exceptional statistics and/or econometrics skills
• Mathematical analytical skills such as Monte Carlo Simulation, Time Series Analysis, Stochastic Calculus, Linear Algebra, Optimization and Probability.
• Practical systems experience and strong programming skills. Ability to design and implement models in R, Python, or Matlab.
• Master’s degree in Physics, Mathematics, Econometrics or a related quantitative field.
• Demonstrated knowledge of securities finance, asset pricing/modeling, and risk analytics

Candidates must be eligible to work in the United States.

No recruiters or agencies