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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:1 week ago| Platform: Shine logo

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Skills Required

statistical modeling mathematical modeling model validation process automation var sensitivity analysis retail lending scorecards wholesale rating models pd calibration discriminatory power 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

As a Model Risk Analyst in the Risk department at Mumbai, you will have the exciting opportunity to lead initiatives that enhance the existing model validation process. Your main responsibilities include: - Leading initiatives to enhance the accuracy, availability, granularity, and coverage of the model validation process - Developing tools for process automation to streamline the validation process In this role, you will independently perform statistical and mathematical model development or validation for Retail Lending Scorecards. You will also conduct validation exercises for Wholesale Rating Models, including quantitative and qualitative tests on PD Calibration, Discriminatory Power of the models, Sensitivity of parameters, and Rating Migration tests. Additionally, you will validate Market Risk Models related to Derivative & Fixed Income Valuations, Bootstrapping, VaR, Sensitivity, Capital Charge Models, Interest Rate, and FX Simulations. Your key responsibilities will include successfully completing end-to-end validation exercises for the models allocated as quarterly deliverables. You will also 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