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Head of Quantitative Analysis

Deriv

Job description / Role

Our Team:

We are the Quantitative Analysis team at Deriv.com. We develop the underlying risk and pricing models that drive our products and enable customers to trade on our platform. We are central to the profitability and success of the company. We track the company’s performance, mitigate risk, and provide useful, actionable insights that aid our leaders in developing solid business strategies.

Your Role:

As the Head of Quantitative Analysis at Deriv.com, you will use your extensive knowledge and hands-on experience to create new products, generate pricing algorithms, and perform robust real-time risk management. Being a seasoned team manager, you will motivate everyone in your department to play a key role in the future growth, profitability, and risk management of the company.

What You’ll Do:

– Lead a talented team to design mathematical models and apply them to real-world scenarios.
– Launch structured products and models into the trading workflow, taking critical factors such as real-time pricing parameters, data feed irregularities, and latencies into consideration.
– Calibrate prices and risk levels to the market dynamics to ensure efficient risk management, using methods and algorithms such as PDEs, Black-Scholes, stochastic volatility, Vanna-Volga, and GARCH.
– Communicate your assessments of market dynamics, changing competitive landscape, macro environment, and industry trends to senior management and translate these assessments into statistical models that can support our business needs.
– Develop software for backtesting investment strategies and data quality management.
– Partner with other departments to frame problems, manage model development processes, optimise pricing, and manage risk.
– Train junior team members to create models with conceptual soundness, prediction accuracy, and intuitive sensitivity.
– Ensure a high degree of data quality and accuracy in all model documentation, data analyses, reports, conclusions, and presentations produced by the department.
– Act as a subject matter expert across the organisation, supplying information and advice on options pricing, volatility forecasts, risk management programmes, and other topics in your field of expertise.

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