Senior Analyst Manager - Pricing & Margin Model Validation

Who We Are

At OKX, we believe that the future will be reshaped by crypto, and ultimately contribute to every individual's freedom. OKX is a leading crypto exchange, and the developer of OKX Wallet, giving millions access to crypto trading and decentralized crypto applications (dApps). OKX is also a trusted brand by hundreds of large institutions seeking access to crypto markets. We are safe and reliable, backed by our Proof of Reserves. Across our multiple offices globally, we are united by our core principles: We Before Me, Do the Right Thing, and Get Things Done. These shared values drive our culture, shape our processes, and foster a friendly, rewarding, and diverse environment for every OK-er. OKX is part of OKG, a group that brings the value of Blockchain to users around the world, through our leading products OKX, OKX Wallet, OKLink and more.

About The Opportunity

The OKX Central Risk function is responsible for overall risk management covering market risk and liquidity risk, counterparty credit risk, enterprise risk and operational risk, fraud risk etc including model risk management and model validation. We’re deeply committed to the top risk standards of the crypto industry, protecting the company from financial, regulatory and reputational risks. Our team consists of seasoned risk professionals who are based across our global offices. Model risk validation is an integral part of the Central Risk function. Our vision is building a world class crypto model risk management and model validation service that ensures models deployed in the firm are robust and aligned with regulatory requirements and industry best practices. This role will focus on validation of quantitative models used in the pricing and risk management, including margining and pricing of crypto assets and derivatives. This role will work closely with product management risk, quant research, operations, engineering partners and compliance to achieve the business success goals of the company.

What You'll Be Doing

1. Evaluate conceptual soundness of models by assessing the model theory (incl. model assumptions, limitations), model construction and model testing in relation to the known model use cases.
2. Review model performance and design and conduct independent model testing, both standardized and tailored such as back-testing, stress testing, benchmarking to specifics of the model’s type, implementation and usage.
3. Document validation approach, observations, findings and conclusions in comprehensive validation reports.
4. Communicate results of model validation tests and observations within the team and to relevant stakeholders, where appropriate.
5. Interact with stakeholders such as model developers, model users and relevant stakeholders for model risk management related activities.
6. Assist the validation lead on quarterly and annual model performance review/revalidation, model inventory reconciliation, etc.

What We Look For In You

1. Master’s or Ph.D. in Quantitative Finance, Mathematics, Statistics, Computer Science, or other quantitative fields.
2. Proven track record of (or 3+ years of experience in) the risk management or model validation area, familiar with margin, pricing models of derivatives, stress testing etc.
3. Strong knowledge of financial engineering, derivatives pricing models, and risk modeling in Finance (TradFi or crypto).
4. Hands-on experience with stochastic calculus, numerical methods, and statistical techniques used in pricing and risk models.
5. Proficiency in programming languages such as C, C++, Java, Python or equivalent.
6. Strong communication skills to present complex findings to both technical and non-technical stakeholders.