Ashutosh Gupta
| Risk Management | Proprietary Risk | VaR & Stress Testing | NISM XV |
- Role
- Deputy Manager - Proprietary Desk Risk Management at HDFC securities
- Location
- Mumbai, MH, IN
- LinkedIn followers
- 500 followers
About Ashutosh Gupta
I am a risk management professional with experience in the brokerage industry, specializing in market risk with a focus on derivatives and trading strategies.Currently, I work with proprietary trading risk desk at HDFC Securities, where I support risk oversight across derivatives trading. My role includes maintaining the approved list of securities accepted as collateral, calculating Expected Credit Loss (ECL) for the Margin Trading Facility (MTF) book, and managing allocation and short allocation reporting to ensure effective risk control and compliance.Previously, I was associated with Kotak Securities, where I worked closely with proprietary trading desks to monitor exposures and enforce disciplined risk management frameworks.I hold a degree in Banking and Finance from BSE Institute and am currently pursuing the RAI certification to further strengthen my expertise in financial markets and risk assessment.
Experience
Deputy Manager - Proprietary Desk Risk Management
Feb 2024 — Present · Mumbai, IN
Calculating VaR for option strategies & equity portfolios using BSM & historical IV models tomonitor tail risk and enforce exposure limits.• Analyzed Cost of liquidation for top proprietary positions by monitoring bid-ask spreads andmarket depth to mitigate exit risk.• Evaluated and maintained eligible collateral lists to manage concentration risk, exposure limits,and applicable haircuts• Credit risk mitigation computing Expected Credit Loss (ECL) and Exposure at Default (EAD) forMTF book, supporting credit risk oversight.• Manage enterprise relevant market risk across proprietary and retail books using TCS RMS andGreeksoft platforms.• Setting daily exposure & MTM limits for traders and supervising client risk limits.• Running Net Liquidation Value (NLV) multiple times daily to monitor shortfalls.• Maintaining SA03/SA04 peak margin files to ensure compliance and avoid penalties.• Performed stress testing and scenario analysis on proprietary and MTF portfolios, includingevent-specific stress ahead of the 2024 Lok Sabha elections
Education
FinX Institute Limited ( Formerly BSE Institute Limited)
Post Graduation Program In Banking And Finance
2021 — 2022
Tilak College Of Education
HSC, Commerce
University of Mumbai
Bachelor Of Banking And Insurance, Banking, Corporate, Finance, and Securities Law
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