Coinbase

Quantitative Risk Modeling Analyst

Coinbase

full-time

Posted on:

Origin:  • 🇺🇸 United States

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Salary

💰 $152,405 - $179,300 per year

Job Level

JuniorMid-Level

Tech Stack

PythonSQL

About the role

  • Ready to be pushed beyond what you think you’re capable of? At Coinbase, mission to increase economic freedom; build emerging onchain platform and future global financial system. As part of Financial Risk Quant team: design, develop, implement, and maintain financial risk models for institutional business. 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 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 including limit setting, slippage analysis, and liquidation risk waterfall design. Build and deploy quantitative tools within firm’s risk platform. Contribute to liquidity and operational risk models as needed.

Requirements

  • Phd or Master degree in a highly quantitative field (such as Physics, Mathematics, Statistics, Financial Engineering, etc.) 2+ years of experience working in quantitative risk model development or quantitative research function within Investment Bank / Asset Management /Exchanges / Fintech. Familiar with asset backed lending, margin trading, prime brokerage services, exchange traded products. Deep understanding of statistical and machine learning models: time series, bayesian, gaussian copula, multi-factor, logistic/linear regression, probit, random forest, gradient boosting, etc. Good understanding of Monte Carlo Simulation and Brownian Motion. Understand credit risk and market risk metrics: Potential Future Exposure, Probability of Default, Loss Given Default, Option Greeks. Proficiency in Python, SQL. 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.