Requirements:
· Monitoring & Calculating of Scenario VAR, Greeks- Delta, Gamma, Vega, Theta, Exposures, Hedging Positions and Mark to Market loss.
· Frame Risk Policy Guidelines for organizations as per Management changes
· Calculating daily Value at Risk for Dealers undertaking directional, volatility, and arbitrage trades and monitoring the Deltas online for the trades done throughout the day, daily using the Risk Management System and intimate traders to manage positions accordingly.
· Coordinate with dealer to reduced Exposures, Un hedge Positions, Greeks and MTM if any violation.
· Review PNL MIS for all PROP traders and take required action with Management Decisions.
· Key role player in drafting Risk Policy of Proprietary Trading with PROP. Business Head which includes products like Volatility Trading, Cash Future Arbitrage, Pair trading, SLBM & Index Arbitrage.
· Defining and Capital Allocation, VAR to Dealer level, Member level and capital allocation strategy wise as Short Gamma, Skew etc. and reporting violations.
· Online and Real time monitoring of Member limit, Options Trading, understanding various trading strategies implemented by trader i.e., skew, spread, short gamma, Theta Scalping, IV Trading etc.
· Coordinate with Traders & IT Team, Risk Team, Operational, HR, Compliance Team, and Algo Vendor. (For support any IT issues, RISK issues, Admin issues etc.)
· Check Real-time MTM calculations at dealer wise & Member level
· Monitored Real-Time fund utilization by various Dealers & decide to Re-allocation if not used by others.
· Alerts for Ban scrip traded, MTM, Fund – over utilization, un-hedged positions (for options / cash – futures).
· Responsible for managing Funds & Co-ordination with banks
· MIS Reports maintain for manage firm exposure as per SEBI Regulations.
