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.