Overview
Job Description:
The candidate would be responsible for the following:
Market & Trading Risk Oversight:
– Monitor exposures across equity derivatives (futures, options, spreads, volatility trades, etc.).
– Track key risk metrics: Greeks, Value-at-Risk (VaR), stress/scenario exposures, concentration risk.
– Implement real-time risk monitoring tools (Mark-to-Market limits, position limits, drawdown limits, P&L attribution).
Stress Testing & Scenario Analysis:
– Design and run market shock scenarios (volatility spikes, liquidity crunch, gap moves).
– Conduct backtesting and sensitivity analysis on models used by different pods.
– Recommend hedging strategies or capital buffers for extreme tail risks.
Margin Risk Oversight:
– Monitoring of Margin Posted, margin utilization levels, buffers availability in stress scenarios.
– Monitor liquidity conditions in derivatives markets to avoid forced unwinds.
Governance & Controls:
– Develop policy framework, processes & systems for effective risk management of the trading desk including defining position and exposure limits by strategy/pod/fund manager.
– Ensure compliance with SEBI/Exchange risk guidelines, including management of exit from F&O banned securities, etc.
Risk Reporting:
– Produce daily risk reports (PnL attribution, Greeks, VaR, exposures).
– Present weekly/monthly risk reviews to senior management.
– Highlight emerging risks and propose mitigation strategies.