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Quantitative Risk

Remote · Full time · 2 - 5 yrs experience · Last month

About Delta Exchange

Delta Exchange is a leading digital asset derivatives exchange founded in 2018. Backed by renowned investors, Delta offers high-performance trading in Bitcoin, Ethereum, and other altcoins, providing futures, options, and innovative derivatives products with up to 100x leverage. With enterprise-grade security, deep liquidity, and an institutional-grade platform, Delta Exchange serves both retail and institutional clients, accelerating the evolution of the global cryptocurrency financial system.

Role Overview:

We are looking for a highly analytical and technically minded Risk Manager to join our Risk & Clearing team at Delta Exchange. You will be the primary owner of our exchange’s margin ecosystem, ensuring that our collateral requirements are balanced between capital efficiency

for traders and systemic safety for the platform. The ideal candidate has a deep understanding of derivatives market structures, a data-driven

approach to liquidation analysis, and the ability to bridge the gap between complex financial risk and product development.

Core Responsibilities:

1. Margin Methodology & Oversight

● Own and optimize margin calculations across all supported modes, including Isolated, Cross, and Portfolio Margin.

● Develop and refine risk parameters (maintenance margin, initial margin, leverage tiers, position limits, and haircut models) to ensure the exchange is robust against extreme market volatility.

● Conduct stress testing and back-testing on margin models to ensure they withstand “black swan” events.

2. Liquidation & Negative Equity Analysis

  • ● Perform post-mortem analysis on trader liquidations to identify patterns of failure.
  • ● Investigate cases of negative equity (socialized losses/ADL) to determine why margin was insufficient and recommend adjustments to the insurance fund or liquidation engine logic.
  • ● Review mark price, index, and funding mechanisms to make sure they are fair and resistant to manipulation.

3. Product & Technical Collaboration

  • ● Tech Liaison: Partner with the engineering team to design and build real-time Risk Dashboards that monitor exchange-wide health, leverage ratios, and margin utilization.
  • ● Translate complex risk requirements into technical specifications for the development of automated risk-mitigation tools.

4. Trader Experience & Market Microstructure

  • ● Collaborate with the Customer Experience (CX)/Audit team to investigate trader complaints regarding high slippage or liquidity constraints.
  • ● Analyze order book depth and execution quality to understand how liquidity gaps contribute to liquidation cascades.
  • ● Monitor user activity for patterns that profit at the exchange’s expense (e.g., funding arbitrage, expiry manipulation, spread capture) and help build surveillance to catch them.

5. Market-Making Risk

  • ● Understanding of the market-making book, including inventory, Greeks exposure, hedge positions, and P&L.
  • ● Own and tune risk alerts for the desk, keeping thresholds sharp and false alarms low.
  • ● Lead incident analysis on pricing and quoting failures (stale order books, bad reference IVs, near-expiry illiquidity) and drive fixes into production.

Qualifications & Skills

● Experience: 2–5 years in Risk Management, Quantitative Analysis, Trading, or Operations within a Crypto Exchange, Market Maker, FinTech, or Traditional Derivatives Clearinghouse (CCP).

● Deep Domain Knowledge: Strong grasp of perpetual swaps, futures, and options, and the mechanics of auto-deleveraging (ADL).

● Market-Making Knowledge: Understanding of options Greeks, volatility surfaces, inventory risk, and hedging.

● Technical Proficiency: Ability to work with SQL for data extraction and Python/R for quantitative modeling. Experience with BI tools (Tableau, Grafana, or Looker) is a plus.

● Problem Solving: A “detective” mindset, you enjoy digging into trade logs to find out exactly why a liquidation or a quote went wrong.

● Communication: Ability to explain complex margin mechanics to non-technical stakeholders and customers.