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HDFC Bank
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Derivative Pricing and Market Risk Model Validator

Derivative Pricing and Market Risk Model Validator

HDFC Bank

6 - 9 years

0 Lacs

mumbai metropolitan region

Posted:1 week ago| Platform:

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Skills Required

pricing risk model validator development volatility simulation testing deployment monitoring support governance inventory analysis reports finance engineering mathematics python

Work Mode

On-site

Job Type

Full Time

Job Description

Position: Derivative Pricing and Market Risk Model Validator

Experience: 6-9 years of experience in model validation/ model development (MFE/CQF/MBA preferred).

This role requires strong quantitative and practical experience in model development or validation in any of the areas below

🔸 Treasury Pricing Models

Curve bootstrapping and Volatility surface construction

Pricing and validation of vanilla & exotic IR/FX products (Local Vol, Vanna-Volga, Hull-White 1F, etc.)

🔸 Market Risk Models

Historical Simulation VaR

PFE (factor-based or Monte Carlo)

Stress testing and backtesting frameworks

🔸 ALM Risk Models

IRRBB and behavioural models (NMD, prepayment, early redemption)

Role Overview:

- Independently lead model validation projects and guide junior team members

- Perform pre-deployment validation, model monitoring, and performance testing

- Support model risk quantification, governance, and inventory management

- Develop and benchmark challenger models and ensure comprehensive documentation.

- Conducting in-depth scenario analysis and sensitivity testing for model robustness.

- Collaborating with cross-functional teams to enhance model performance and accuracy.

- Preparing and presenting detailed reports on model validation findings to senior management.

We’re seeking professionals with a strong quantitative foundation (MBA/PGDM Finance, Engineering, Mathematics, or similar) and hands-on experience in pricing, market risk, or ALM model validation/development. Proficiency in Python/R is desirable.

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