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

Education (no licenses / certifications)

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.