Established in 2017, QCP Capital is a digital assets trading firm and global market maker in options, headquartered in Singapore.
As one of the first digital assets trading firms in Singapore, QCP Capital brings to clients deep expertise gained from thriving through multiple market cycles. Our mission is to unlock new opportunities for clients at the forefront of crypto markets through providing institutional-grade liquidity, infrastructure and research.
An active early-stage crypto and blockchain investor, QCP Capital’s portfolio includes core trading infrastructure, exchanges, data and token ecosystems. QCP Capital is supported by over 70 professionals in trading, business development, operations, risk and compliance teams. More information can be found at qcp.capital.
- Reports to Head of Market Risk @ QCP
- Deploy C-VaR python prototype tool in production for QCP’s MM Options desk positions and Flow desk positions covering all instruments by Jun 2024.
- Instruments include exchange traded vanilla options, futures, spot and perpetual positions in addition to OTC vanilla options, structures, forwards and spot positions.
- Automated deployment should run on QCP’s AWS risk server and generate reports based on the EOD (8am SGT) daily position of desks, including weekends.
- Solution should enable accurate C-VaR attribution at currency pair, instrument type, deal and Greek sensitivity level
- Deploy fallback solutions in the event of primary server downtime.
C-VaR Reporting and Breach Monitoring
- Timely reports on C-VaR exposures and provide a short commentary on primary risk drivers for the exposures on weekdays
- Flag and analyse any C-VaR breaches in relation to prescribed C-VaR Limits
- Drill down to offending risks and positions
- Suggest strategies and timelines to reduce risks such that C-VaR exposures are realigned within limits
- Liaise with risk colleagues on any breaches by 9:30 am SGT
Support
- Maintain the infrastructure of the tactical C-VaR Engine solution
- Identify and troubleshoot any errors / failures / bugs with the C-VaR tool
- Source and populate any erroneous, stale or missing market data for the generation of an accurate C-VaR result
- Assist with migration of C-VaR Engine to the target state solution in C# by using the tactical solution to generate benchmark C-VaR calculations
- Perform agreed ad-hoc upgrades or enhancements to the solution as required by management
- Liaise with risk colleagues on any technical issues
- Training of QCP colleagues to utilize the tool for ad-hoc runs of calculations on specific deals or portfolios
- Bachelor’s or Master’s degree in a numerical and/or computational subject or discipline
- Strong working knowledge and proficiency in Python
- A highly analytical skillset with sharp attention to detail
- A good understanding of C-VaR quantification methodologies and historical VaR simulation engines
The Environment We Offer
As a growing firm with a tightly-knit team, we respect and listen to all our employees. You will get the chance to make an impact by having your voice heard by everyone, including the management.
Our employees enjoy a high level of autonomy at work. We focus on substance, not form - as long as you can perform, you will be recognized and rewarded. We are also dedicated to supporting our staff and ensuring they develop holistically to maximize their potential in the long- term.
We also provide flexible working arrangement as required and a casual and fun environment to boot!
