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IDFC FIRST Bank
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Model Risk Analyst

Model Risk Analyst

IDFC FIRST Bank

3 - 7 years

0 Lacs

maharashtra

Posted:2 weeks ago| Platform: Shine logo

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Skills Required

statistical modeling mathematical modeling model validation process automation quantitative analysis qualitative analysis var sensitivity analysis retail lending scorecards pd calibration rating migration market risk models derivative valuations fixed income valuations capital charge models interest rate simulations fx simulations

Work Mode

On-site

Job Type

Full Time

Job Description

You will be working as a Model Risk Analyst in the Risk department, specifically in the Model Risk Management (Market Risk) team based in Mumbai. Your primary responsibility will be to lead initiatives aimed at enhancing the accuracy, availability, granularity, and coverage of the existing model validation process. Additionally, you will be expected to develop tools for process automation to streamline the validation process. Your role will involve independently performing statistical and mathematical model development or validation for Retail Lending Scorecards. You will also be responsible for conducting validation exercises for Wholesale Rating Models, which includes quantitative and qualitative tests on PD Calibration, Discriminatory Power of the models, Sensitivity of parameters, and Rating Migration tests. Furthermore, you will be required to validate Market Risk Models related to Derivative & Fixed Income Valuations, Bootstrapping, VaR, Sensitivity, Capital Charge Models, Interest Rate, and FX Simulations. A key part of your role will be to successfully complete end-to-end validation exercises for the models allocated as quarterly deliverables. Additionally, you will be expected to provide smart inputs and initiatives for other team deliverables to contribute to the overall success of the team.,

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IDFC FIRST Bank

Banking and Financial Services

Chennai

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Model Risk Analyst