Model Risk Analyst

Job Description

Job Requirements

About the Role

The Model Risk Analyst in the Model Risk Management (Market Risk) team under the Risk function is responsible for validating and enhancing the bank’s risk models. This includes improving the accuracy, coverage, and automation of model validation processes, and independently validating statistical and mathematical models, particularly for retail lending scorecards. The role also involves supporting the validation of wholesale and market risk models, ensuring robust risk management practices across the organization.

Key Responsibilities

Primary Responsibilities

Lead initiatives to enhance the accuracy, granularity, and coverage of existing model validation processes.
Develop tools to automate model validation workflows and improve process efficiency.
Independently perform statistical and mathematical model development or validation, with a focus on retail lending scorecards.

Secondary Responsibilities

Conduct validation of wholesale rating models, including:
Quantitative and qualitative testing
PD calibration
Discriminatory power analysis
Sensitivity analysis
Rating migration testing
Validate market risk models such as:
Derivative and fixed income valuations
Bootstrapping
Value at Risk (VaR)
Sensitivity and capital charge models
Interest rate and foreign exchange simulations

What We Are Looking For

Education

Graduation: Bachelor’s degree in a quantitative discipline such as Mathematics, Statistics, Engineering, Economics, or related fields
Post-graduation: Master’s degree or higher in a relevant field (preferred)

Experience

Minimum 1 year of experience
Relevant experience in model development or validation, particularly in retail lending, wholesale credit, or market risk models

Skills and Attributes

Strong understanding of statistical and mathematical modeling techniques
Proficiency in tools such as Python, R, SAS, or similar statistical software
Familiarity with risk modeling frameworks and regulatory expectations
Analytical mindset with attention to detail and problem-solving skills
Ability to work independently and manage multiple validation projects
Strong communication skills to present findings and recommendations effectively

Frequently Asked Questions

What are the eligibility criteria for the Model Risk Analyst job at IDFC FIRST Bank?

Eligibility typically includes the qualifications and experience outlined in the job description above, with around 0-2 Years years of relevant experience expected for this role.

What are the primary responsibilities of a Model Risk Analyst at IDFC FIRST Bank?

The key responsibilities for this role are detailed in the Key Responsibilities section above, covering the core duties expected of a Model Risk Analyst at IDFC FIRST Bank.

Is prior experience required for this position?

This role requires around 0-2 Years years of relevant experience, as specified in the job listing. Please refer to the Qualifications & Experience section above for full details.

What skills are important for this role?

Skills relevant to this position are outlined in the Qualifications & Experience section above. In general, strong communication, domain knowledge, and the ability to meet role-specific targets are valued across similar BFSI positions.

How do I apply for the Model Risk Analyst role at IDFC FIRST Bank?

You can apply directly using the Apply Now button on this page, which will take you to IDFC FIRST Bank's application process for this role.

IDFC FIRST Bank — Mumbai, MUMBAI