Quantitative Risk Modeling Manager at Coinbase — Remote North America

Team/ Role Paragraph:

As part of Coinbase’s broader risk management organization, the Risk Quant team is responsible for building quantitative models that assess and mitigate risks associated with our risk-bearing products, as well as measuring and monitoring portfolio exposures across the platform. We are looking for a Senior Quantitative Researcher (IC) to lead the design of Coinbase’s next-generation Global Liquidation Engine.

In this role, you will not only manage risk; you will architect the automated machinery that protects the platform during extreme volatility. You will build the algorithms responsible for liquidating distressed portfolios across Spot and Derivatives (Futures, Options) at a global scale. This engine must optimize for aggregated risk reduction, trade slippage, and liquidity fragmentation across multiple venues simultaneously.

You will act as the bridge between Financial Risk, Exchange Liquidity, and Engineering, serving as our resident expert on Market Microstructure and Order Book Dynamics.

1. Global Liquidation Engine Design

Design Optimal Liquidation Logic: Develop stochastic control models (adapting Almgren-Chriss frameworks) to determine the optimal trajectory for unwinding distressed portfolios. You must solve for the trade-off between market risk (holding the position too long) and market impact (selling too fast and crashing the price).

Global Optimization: Move beyond single-client liquidation. Build logic that optimizes risk at the aggregated level—managing multiple concurrent liquidations to minimize total market impact and maximize liquidity usage across various venues.

2. Execution Algorithms & Strategy

Build "Crisis-Ready" Algos: Adapt standard execution benchmarks (VWAP, POV, Implementation Shortfall) for stressed regimes where liquidity evaporates and spreads widen.

Portfolio-Level Unwinds: Develop logic to liquidate based on risk sensitivities (Greeks) rather than just line items (e.g., "Don't just sell the spot asset; buy the put options to flatten the Delta first").

3. Default Waterfall Architecture

Design and tune the decision logic for the liquidation lifecycle:

Open Market Liquidation (smart order routing and order book interaction).

Internalization / Hedging (Delta-neutralizing the portfolio internally).

Private Auctions (soliciting bids from liquidity providers).

4. Market Microstructure & Regulation

Liquidity Intelligence: Collaborate with Exchange Liquidity Managers to estimate order market impact and monitor L1-L3 order book dynamics.

Regulatory Defense: Ensure all liquidation logic meets the "Commercially Reasonable" standard. Produce quantitative evidence and backtesting results to justify execution decisions to regulators and institutional clients.

What we look for in you (ie. job requirements):

Education: Ph.D. or Master’s degree in a highly quantitative field (Physics, Mathematics, Statistics, Financial Engineering, or Computer Science).

Experience:

6+ years of relevant experience with a Ph.D from a top program.

8+ years of relevant experience with a Master’s degree.

Central Risk Book (CRB) execution trading quant at a Tier 1 Investment Bank.

Default Management risk quant at a major Clearing House (CCP) or Prime Broker.

Electronic Market Making with a specific focus on inventory management, liquidation, or risk constraints.

Deep understanding of Almgren-Chriss frameworks, Order Book Dynamics (L1-L3 data), and Auction Theory.

Nice to haves:

Hybrid Asset Class Experience: Hands-on experience modeling both Delta-One (Spot/Futures) and Non-Linear (Options/Vol) products.

Data Engineering: Familiarity with modern data pipelines (e.g., Airflow) and real-time data streaming architectures (e.g., Kafka).

Crypto Native: Understanding of specific nuances in crypto market structure (24/7 trading, fragmented liquidity, on-chain vs. off-chain settlement).

Job #: P76028

Pay Transparency Notice: Depending on your work location, the target annual base salary for this position can range as detailed below. Total compensation may also include equity and bonus eligibility and benefits (including medical, dental, vision and 401(k)).

Quantitative Risk Modeling Manager