Quantitative Analyst
About the Role
You will design and implement the liquidation engine and pricing models for prediction market collateral. You will define LLTV, partial-liquidation logic, penalties, keeper and auction flows, and circuit breakers. You will design robust pricing and oracle rules for illiquid assets, account for slippage and spread haircuts, and apply time-to-resolution adjustments. You will model cross-margin, netting rules, correlation haircuts, concentration and exposure caps, and run simulations and backtests on historical order books to tune parameters for insolvency versus utilization. You will use Python for simulation and backtesting and work with TypeScript where appropriate.
Requirements
- 3–10+ years in quantitative risk, options pricing, or margin systems (TradFi or crypto)
- MSc or PhD in a quantitative subject preferred
- Experience pricing binary options, perps/margin systems, or DeFi/NFT lending risk
- Built or significantly contributed 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
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
Benefits
- Equity