Derivatives Quant

at BitMEX (view profile)
Location Hong Kong
Date Posted August 8, 2019
Category Customer or Business Operations Support
Job Type Office · Full time


This is a key role within the financial products team that requires working alongside structuring and the trading engine team to enhance the margining system and expand the product suite.

How You'll Make an Impact:

  • Creating a portfolio margining system (both margin calculation and liquidation) for portfolios that consist of futures/swaps & options.
  • Knowledge on variety of stress testing scenarios (eg. spot/vol grid) for initial/maintenance margin calculation.
  • Mathematically modelling linear and non-linear products during liquidations.
  • Creating liquidation algorithms which optimise various parameters ("risk" metric, expected end portfolio value etc) under varying trading constraints.
  • Writing code (that calculates portfolio margin and liquidates portfolios) which can be passed on to trading engine team and implemented into production.
  • Building a quant library that can be used for pricing light exotic products and providing risk metrics.
  • Working with trading engine team on incorporating these models and calculations into the engine.
  • Working alongside structuring in the design and backtesting of new product payoffs.

Required skills and qualifications

  • Academic / industry experience with theory and implementation of portfolio margining systems
  • 5y+ experience as a derivatives quant within an exchange, investment bank or hedge fund
  • Experience building a quant library; ability to provide code which can be passed on for production
  • Good communication skills and strong team player
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