Quantitative Analyst
Posted Updated 7
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Design and implement liquidation engines and pricing models for prediction market collateral, including margin, liquidation, auction, oracle, cross-margin, and risk-control systems.
Responsibilities
- Design liquidation engine for Polymarket collateral
- Define LLTV and partial-liquidation logic
- Set liquidation penalties, keeper and auction flows, and circuit breakers
- Design pricing and oracle rules for illiquid prediction market assets
- Define mark price methodology, slippage and spread haircuts, and time-to-resolution adjustments
- Model cross-margin and netting rules across markets and outcomes
- Apply correlation haircuts, concentration caps, and exposure caps per event or category
- Run simulations and backtests on historical order books
- Perform extreme VaR and ES analysis
- Tune parameters for insolvency versus utilization tradeoffs
Requirements
- 3–10+ years in quantitative risk, options pricing, or margin systems
- MSc or PhD in a quantitative subject preferred
- Experience pricing binary options, perps or margin systems, or DeFi/NFT lending risk
- Experience contributing to a liquidation or margin engine at a CEX, DEX, or lending protocol
- Strong Python for simulation and backtesting
- Comfort with TypeScript
- Deep understanding of order-book microstructure, slippage, and pricing under illiquidity
Benefits
- Equity
- Competitive pay
- Work with an elite founding team
- Be very early in an exponentially scaling industry