Quantitative Risk

Skills

About the Role

You will support and enhance a real-time risk engine that processes over 10,000 position updates per second across perpetuals, spot assets, and prediction markets. You will design and implement risk metrics such as portfolio VaR, stress VaR, expected shortfall, Greeks aggregation, and cross-asset correlations. You will build position limit frameworks including notional caps, delta limits, concentration limits, leverage constraints, and drawdown thresholds. You will develop statistical models for tail-risk scenarios such as fat-tailed distributions, regime switching, and correlation breakdowns. You will implement margin calculation engines covering cross-margining logic, liquidation price models, and maintenance margin monitoring. You will work closely with the trading infrastructure team to ensure sub-50ms P99 latency for risk calculations on critical paths. You will create real-time dashboards and alerting systems including exposure heatmaps, PnL attribution, limit breaches, and anomaly detection. You will backtest risk models against historical liquidation events and high-volatility periods to validate accuracy. You will design circuit breakers and kill switches for extreme market conditions or system anomalies.

Requirements

• 3+ years of experience in quantitative risk, trading systems, or financial engineering.
• Strong foundation in statistics, probability theory, and risk modeling (VaR, CVaR, ES, stress testing).
• Proficiency in Python with NumPy, Pandas, SciPy for quantitative analysis and backtesting.
• Experience with real-time risk systems processing 1000+ updates/second with <50ms latency.
• Deep understanding of derivatives pricing: perpetual funding rates, mark-to-market, liquidation mechanics.
• Portfolio risk metrics: Greeks (delta, gamma, vega), correlation matrices, beta hedging, tail risk.
• Experience with crypto perpetuals (funding rates, cross-margining, liquidation cascades).
• Familiarity with prediction markets (AMM mechanics, Kelly criterion, order book dynamics).
• Time-series analysis: volatility modeling (GARCH, EWMA), regime detection, autocorrelation.
• SQL proficiency for risk aggregation queries across millions of position updates.
• Ability to translate complex risk concepts into real-time monitoring systems.
• Understanding of margin calculations, position sizing, and drawdown controls.

Responsibilities

• Support and enhance the real-time risk engine processing 10k+ position updates/second across perpetuals, spots, and prediction markets.
• Design and implement risk metrics: portfolio VaR, stress VaR, expected shortfall, Greeks aggregation, cross-asset correlations.
• Build position limit frameworks: notional caps, delta limits, concentration limits, leverage constraints, drawdown thresholds.
• Develop statistical models for tail-risk scenarios: fat-tailed distributions, regime switching, correlation breakdowns.
• Implement margin calculation engines: cross-margining logic, liquidation price models, maintenance margin monitoring.
• Work closely with trading infrastructure team to ensure <50ms P99 latency for risk calculations on critical paths.
• Create real-time dashboards and alerting systems: exposure heatmaps, PnL attribution, limit breaches, anomaly detection.
• Backtest risk models against historical liquidation events and high-volatility periods to validate accuracy.
• Design circuit breakers and kill switches for extreme market conditions or system anomalies.

Benefits

• Remote work option
• Relocation assistance
• Contractor, EOR, or local employment options in Dubai