Quant Risk

My client is a famous market-making firm.

Core Responsibilities

1. Quantitative Risk‑Control Model R&D: Research, design and iterate core risk models, mainly covering VaR, CVaR, portfolio margin models, extreme stress tests, and assessment models for high‑frequency liquidity and settlement risks.

2. Real‑time Risk‑Control System and Engine Development: Design and optimize millisecond‑/microsecond‑level real‑time risk calculation engines, ensuring the system can accurately compute full‑book Greeks, Liquidation Thresholds and leveraged risk exposure under high‑concurrency conditions and drastic market swings.

3. Pre‑trade / Post‑trade Risk‑Control Logic: Develop and optimize pre‑trade risk‑check algorithms to block abnormal orders (Fat‑finger / Limit Breaches) while maintaining ultra‑low latency; design post‑trade risk‑monitoring and profit‑and‑loss attribution tools.

4. Cross‑team Collaboration: Work closely with quantitative traders and high‑frequency system architects to efficiently translate risk‑control models into production‑grade code, and drive performance optimization of in‑house‑developed risk‑control SDKs and pricing engines.

Job Requirements

1. Educational Background: Bachelor’s degree or above in relevant majors including Financial Engineering, Mathematical Statistics, Computer Science, Physics, Mathematics or Mathematical Finance.

2. Work Experience: A minimum of 2 years of experience as a Risk Quant / Quant Model Developer at proprietary trading firms, hedge funds, top‑tier market makers or exchanges.

3. Finance and Risk Modelling: Proficient in financial engineering and quantitative risk‑control theories as well as multi‑factor risk models.

4. Market Microstructure and Derivatives: Expertise in risk characteristics of perpetual contracts, spot products and arbitrage strategies; in‑depth understanding of exchange settlement mechanisms, Cross/Isolated margin and Portfolio Margin algorithms.

5. Programming and Engineering Implementation: Mastery of one or more programming languages, with solid capabilities in data structures and low‑latency programming optimization.

6. Personal Qualities: High sensitivity to micro‑level market risks and system anomalies; capability to maintain rigorous logic and solid code delivery quality amid extreme market conditions and high‑pressure environments.

核心职责

1.量化风控模型研发:研究、设计与迭代核心风险模型，重点涵盖 VaR 、CVaR、组合保证金模型、极端压力测试 以及 高频流动性/清算风险的评估模型。

2.实时风控系统与引擎开发:设计与优化毫秒级/微秒级实时风险计算引擎，确保系统在高并发与市场极剧波动下能够精准计算全库希腊字母、清算线(Liquidation Threshold)及杠杆风险暴露

3.交易前/交易后风控逻辑:开发并优化交易前风控检查算法，在保证超低延迟的前提下拦截异常订单(Fat-finger /Limit Breaches);设计交易后风险监控与盈亏归因工具。

4.跨团队协作:与量化交易员及高频系统架构师紧密配合，将风控模型高效转化为生产级代码.漣蜃措芸型缲ậ胞;熬非推动自研风控 SDK 与定价引擎的性能优化。

任职要求

1.教育背景:金融工程、数理统计、计算机科学、物理、数学或金融数学等相关专业，本科及以上学历。。

2.工作经验:至少2年以上自营交易公司、对冲基金、顶级做市商或交易所的 Risk Quant/Quant Model Developer 经验。

3.金融与风险建模:精通金融工程与量化风控理论，多因子风险模型。4.市场微观结构与衍生品:精通永续合约、现货及套利策略的风险特性;深入理解交易所的清算机制、Cross/lsolated 保证金及组合保证金(Portfolio Margin)算法。

5.编程与工程落地:精通一种或多种编程语言，具备扎实的数据结构与低延迟编程优化能力。

6.个人素质:对市场微观风险与系统异常具备极高的敏锐度;能在极端行情与高压环境下保持严谨的逻辑与扎实的代码交付质量。