If my job is under threat, what are my options?

Finding an alternative Tier 2 sponsor at this time is unlikely to be an easy option, so your first priority should be to speak with your existing sponsor and see whether the information above can ease the situation so that your sponsorship does not need to be withdrawn. You can still make applications in-country to change employer, or even switch into another immigration category where that is permitted, but there is no blanket policy allowing in-country applications where these are not normally an option.