AR
ArrakisQuant – DeFi
Quantitative Analyst researching DeFi innovations and supporting market - making strategies at Arrakis. Collaborate with cross - functional teams to enhance client services in a dynamic web3 environment.
About the role
- Monitor bilateral and exchange-based lending exposures in real time, including margin loans, structured loans, and combined loan+option transactions.
- Assess counterparty creditworthiness, including crypto-native entities, exchanges, and DeFi protocols, using both quantitative metrics (collateral ratios, liquidity, volatility) and qualitative assessments.
- Track and escalate breaches of internal exposure limits (counterparty, sector, or protocol concentration).
- Support the structuring of loans linked with options or other derivatives, ensuring risk/reward is aligned with risk appetite.
- Model default and collateral liquidation scenarios for structured transactions.
- Monitor variation margin flows and ensure adequacy of collateral buffers under stress.
- Oversee DeFi positions and exposures across lending protocols, AMMs, and on-chain derivatives.
- Evaluate smart contract risks, protocol liquidity, governance centralization, and composability risks.
- Monitor on-chain liquidation thresholds, oracle dependencies, and slippage exposure.
- Track gas fee and network congestion risks that can delay liquidations or collateral transfers.
- Assess the quality of posted collateral (token volatility, liquidity depth, rehypothecation rights).
- Apply and monitor dynamic haircuts based on volatility and liquidity conditions.
- Work with Trading & Treasury to optimize collateral allocation between CeFi and DeFi venues.
- Run scenario analyses for counterparty defaults, protocol hacks, or extreme market moves.
- Quantify potential P&L, collateral shortfalls, and liquidity impacts of extreme events.
- Present stress results to the desk and CRO in actionable form.
- Ensure lending/borrowing activity complies with internal conduct standards and external regulations.
- Monitor for abusive trading behavior in DeFi protocols (e.g., sandwich attacks, oracle manipulation).
- Provide input to compliance on new counterparties, protocols, and structured deals.
- Act as an embedded risk partner for the desk, providing structuring input, risk analytics, and capital efficiency guidance.
- Support onboarding of new DeFi venues and protocols by assessing credit and operational risks.
- Liaise with second-line Risk and Compliance on risk framework enhancements specific to lending and DeFi.
Requirements
- 5–10 years in risk management, credit trading, or structured products, ideally in a crypto market maker, hedge fund, or structured credit desk.
- Strong knowledge of crypto lending markets, structured products (loans + options, accumulators, collars), and DeFi protocols.
- Deep understanding of collateral management, margining frameworks, and liquidation mechanics.
- Ability to model structured transactions and stress-test exposures (Python, SQL, Grafana, DeFi analytics tools).
- Familiarity with on-chain data sources (Dune, Nansen, DeFiLlama) and smart contract risks.
- Familiarity with U.S. regulatory frameworks for trading and lending, including SEC and CFTC rules on derivatives, lending disclosure requirements, FINRA conduct standards, and federal/state guidance on digital asset lending.
- Excellent communication skills with the ability to challenge traders constructively and escalate appropriately.
- Strong integrity and sound judgment, capable of acting as both partner and control function.
- Degree in Finance, Economics, Mathematics, or a related quantitative field; professional risk certifications (FRM/PRM/CQF) a plus.
Benefits
- International environment (English is the main language)
- 100% Coverage from Justworks Benefits (Medical, Dental, and Vision plans)
- Team events and offsites
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