Quant Researcher (Credit Risk)

About Us

Infinity Exchange is a pioneering institutional interest rate and complex credit DeFi protocol.

The Role

This position is within our Credit Risk team with the main focus being to support and develop complex valuation and risk analytics for the purposes of internal risk management and external stakeholder communication. The right person is probably a desk quant on the exotic rates or structuring desk.

Responsibilities

• Provide quantitative support and analysis to the Risk Manager, CEO, and external stakeholders on a real-time basis on a variety of aspects ranging from group-level, product-level, and user-level exposure
• Develop and enhance complex models for the valuation and risk management of our lending portfolio, in respect of interest rates, FX, credit, and/or other esoteric risks
• Interact regularly with a range of groups including Market Risk, Technology, Finance, and other business units
• Communicate our approach and methodologies employed externally where appropriate

Requirements

• Masters/PhD in a quantitative field such as applied mathematics for finance, mathematics, engineering or physics
• Strong analytical, numerical and problem solving skills
• Good knowledge of probability theory and stochastic calculus for finance
• Excellent communication skills and ability to interact with various business groups and associated support functions on a daily basis
• Good programming skills in C/C++ for the implementation of numerical methods using object-oriented design

Nice to Have

• Experience with pricing models for interest rate options and exotics, credit, inflation, FX or hybrids
• Knowledge of Python and VBA
• Machine Learning experience
• Advanced certification such as an FRM / CFA / CQF qualification