Quantitative Jobs in Web3

Your Team

We are seeking a highly motivated Director of Quantitative Risk to join BlockFi's Enterprise Risk team. In this role, you will assess the market risk in portfolios of cryptocurrencies, generate and present reporting, and liaise with trading desks and senior risk management staff.

Your Mission

• Develop a thorough understanding of analytics and metrics used to measure market risk and liquidity risk in portfolios of cryptocurrencies and related derivatives
• Build spreadsheets and quantitative code ( e.g., working in Python) to capture risk measurement logic in a repeatable framework, and continuously refine tools as needed
• Work with risk managers, treasury and trading team and product control teams in finance evaluating market risk
• Contribute to market risk modeling and derivative pricing projects or validation efforts as appropriate
• Develop intermediate expertise in data preparation and data science required to carry out the function
• Communicate with trading desks and senior risk management staff
• Produce ongoing market risk reporting and evaluate status of portfolios against defined limits
• Assist with risk identification, assessment, and quantification efforts as needed
• Aggregate metrics and findings and synthesize key themes for senior risk management

Your Expertise

• Engineering or quantitative economics academic background. Expertise in statistical techniques, stochastic calculus and linear algebra. MFE/MSFE/MQF etc. preferred.
• 6+ years of experience in a quantitative risk role supporting a capital markets business
• CFA/FRM/PRM certification preferred
• Programming experience, Python strongly preferred
• Exposure to risk metrics and model such as VaR, CVA, stress testing and Greeks
• Experience building or validating derivative pricing models (e.g., options, futures, swaps)
• Outstanding critical reasoning and problem-solving skills
• Excellent written/verbal communication and interpersonal skills
• Excellent organizational and time management skills
• Ability to work both independently and in a team
• Ability to develop partnering relationships with trading desks while remaining willing to challenge if needed
• Experience and/or passion in digital asset technologies and markets is a plus