Quantitative Analyst

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