Risk Lead - Proprietary Trading

Risk Lead – Proprietary Trading

Desks : Listed derivatives (index & single-stock options), OTC exotics / structured products, Equity and Debt

Role Summary

The role is for a desk that is being setup. Candidate will be key founding member of the team. Own end-to-end market risk for a multi-strategy prop desk. Design / enforce limit frameworks, monitor intraday Greeks, run VaR / ES and stress programs, validate pricing models, and operate RMS / OMS controls with rapid incident response (kill-switch).

Core Responsibilities

Intraday Risk & Limits : Real-time delta / gamma / vega / theta; cross-gamma / vol-of-vol; IV shifts, skew / term stresses. Calibrate hierarchical limits (gross / notional, net, single-name, sector, beta, vega buckets , drawdown, liquidity). Operate RMS / OMS (fat-finger, price bands, OTR, throttles, kill-switch & escalation).

Risk Measurement : Daily VaR (hist / MC) & Expected Shortfall ; back-testing and exceptions. Structured stress : IV ±X%, skew twist, term-structure shifts, jump / gap, correlation breakdown, liquidity haircuts, exchange-margin hikes. Funding & margin forecasting (SPAN / VAR, ELM, ad-hoc), peak / intraday calls.

OTC Exotics Risk : Barriers (KI / KO), autocallables, cliquets, digitals (single / dual), quanto, Asians, variance / vol swaps. Method choice (lattice / trees, Monte Carlo, local / stochastic vol). Model-risk governance, reserves, P&L explain . Counterparty / collateral (ISDA / CSA), XVA awareness (CVA / DVA / FVA) as applicable.

Surveillance & Compliance : Market-abuse surveillance; algo guardrails (clock sync, stale-quote, runaway-algo). Adhere to SEBI and NSE / BSE risk / algo norms (peak margin, OTR, trade / position limits). Own RCSA, incident post-mortems, audit closure.

Data & Tooling : Dashboards for Greeks, VaR / ES, stress heatmaps, limit consumption; automate intraday P&L explain . Partner with Quants / Tech to validate pricers / Greeks and data pipelines; enforce data quality (corp actions, IV surfaces, auctions, borrow / SLB).

Governance & Stakeholders : Run risk forums; publish daily risk packs; deliver 30 / 60 / 90 control uplifts; train traders on limit hygiene, scenario discipline, margin economics.

Must-Have Experience & Skills

5–8 years in market risk with 3–5 years hands-on coverage of listed options and OTC exotics / structured products on a prop or sell-side trading desk.

Strong options theory (smile / skew / term), vol dynamics, scenario design, Greek aggregation, VaR / ES, and back-testing.

Solid grasp of Indian market microstructure (NSE / BSE; auctions, lot sizes, timings) and exchange / SEBI risk & algo requirements.

Tooling : Python (NumPy / Pandas / SciPy), SQL, advanced Excel; comfort with Jupyter / BI dashboards and version control (Git). (Bonus : kdb+ / q, C++ / Rust for pricer validation; cloud for risk jobs.)

Education (no licenses / certifications)

Bachelor’s in Engineering (CS / EE / ME / IE) or STEM (Mathematics, Statistics, Physics, Economics), and

One of :

Master’s in Statistics / Applied Mathematics / Financial / Computational / Quantitative Finance / Data Science , or

MBA (Finance) from a recognized institution with demonstrable derivatives / risk coursework and hands-on options exposure.

Evidence of quant foundation expected : probability / statistics, time-series / econometrics, stochastic processes / Itô calculus (working intuition), numerical optimization, Monte Carlo, and PDE-based pricing methods.

KPIs

Zero material regulatory breaches; limit-breach rate & time-to-contain; VaR back-testing exceptions within policy; incident MTTR; model-risk findings closed on time; % automated checks / alerts; stability of P&L explain residuals.