Credit Quantitative Risk Modeling Manager
Coinbase has built the world's leading compliant cryptocurrency platform serving over 73 million accounts in more than 100 countries. With multiple successful products, and our vocal advocacy for blockchain technology, we have played a major part in mainstream awareness and adoption of cryptocurrency. We are proud to offer an entire suite of products that are helping build the cryptoeconomy and increase economic freedom around the world.
There are a few things we look for across all hires we make at Coinbase, regardless of role or team. First, we look for signals that a candidate will thrive in a culture like ours, where we default to trust, embrace feedback, disrupt ourselves, and expect sustained high performance because we play as a championship team. Second, we expect all employees to commit to our mission-focused approach to our work. Finally, we seek people with the desire and capacity to build and share expertise in the frontier technologies of crypto and blockchain, in whatever way is most relevant to their role.
We are looking for a Senior Credit Risk Quant (individual contributor) with a deep understanding of counterparty risk to support our growing product offerings. You will be part of the team to design, develop, implement, maintain and document a suite of credit and counterparty risk models. This role provides an unique opportunity to build out the risk infrastructure and systems at Coinbase. You will be directly engaging with our risk managers, product managers, engineers and other cross-functional partners to deliver groundbreaking tools for supporting strong risk management. The right candidate will enjoy operating in a dynamic, digital asset market environment and collaborating with top talents across the world. This role will report to the Senior Manager of Credit Quantitative Risk Modeling, and will be based remotely in the United States.
What you’ll be doing (ie. job duties):
- Develop quantitative models for capturing counterparty risk (specifically futures and options).
- Test model functionalities, sensitivities and robustness.
- Deploy/integrate the models into the firm’s risk system.
- Write model technical documentation.
- Research/learn modeling methodologies applicable to cryptocurrencies.
What we look for in you (ie. job requirements):
- Master or Phd degree in a highly quantitative field (Physics, Mathematics, Statistics, Financial Engineering, etc.).
- 8+ years of experience working in quantitative risk model development or quantitative research function within an Investment Bank / Asset Management / Commercial Bank.
- 4+ years of experience in counterparty risk modeling.
- Familiar with the following financial products and understand the key risk factors associated with these products: Futures, Options, Margin Products.
- Have a deep understanding of different types of statistical and machine learning models/methodologies used in the financial industry: multi-factor models, time series models, bayesian models, logistic/linear regression models, probit model, random forest, gradient boosting.
- Have a good understanding of Monte Carlo Simulation and Brownian Motion in the financial industry setting.
- Understand the key counterparty/market risk assessment metrics and how to model these metrics: VaR, Volatility, Market Liquidity, Potential Exposure, Probability of Default, Exposure at Default, Loss Given Default, etc.
- Demonstrate proficiency in the following programming skills: Python (must have), SQL. Live coding test with engineers will be conducted during the interview.
- Strong technical written skills for model documentation.
- Be able to communicate technical findings/issues clearly, especially to non-technical audiences.
- Strong willingness to learn crypto and new technologies.
- Strong willingness to take the ownership and collaborate with others.
Nice to haves:
- Experience working with crypto.
- Experience working with Snowflake, Salesforce data.
- Experience using R.
Coinbase is committed to diversity in its workforce and is proud to be an Equal Opportunity Employer. All qualified applicants will receive consideration for employment without regard to race, color, religion, creed, gender, national origin, age, disability, veteran status, sex, gender expression or identity, sexual orientation or any other basis protected by applicable law. Coinbase will also consider for employment qualified applicants with criminal histories in a manner consistent with applicable federal, state and local law. For US applicants, you may view Pay Transparency, Employee Rights and Equal Employment Opportunity is the Law notices by clicking on their corresponding links. Additionally, Coinbase participates in the E-Verify program in certain locations, as required by law.
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