Model Risk Analyst

IDFC FIRST Bank; Mumbai; On-site; INR 1,200,000 - 1,800,000; Full time

Job summary

IDFC FIRST Bank seeks an experienced model risk validator to oversee ECL model validation, oversee methodology and calibration, and deliver governance-ready reports. The role requires strong Python/R skills and knowledge of Basel IFRS9/IndAS109.

You will work with cross‑functional teams to ensure robust risk measurement. Ideal candidates have 2–5 years in model validation, a relevant postgraduate degree, and professional certifications such as FRM/PRM/CFA.

Qualifications

• 2-5 years of experience in model validation, quantitative risk, or financial modelling.
• Postgraduate degree such as MBA, MSc/Statistics, CA, Economics.
• Certifications preferred: FRM, PRM, CFA.

Responsibilities

• Independently validate PD, LGD, EAD, SICR/staging models for ECL.
• Assess model methodology, segmentation, variables and forward‑looking integration.
• Produce validation reports and support governance with dashboards.

Skills

Python

R

Statistical skills

Basel knowledge

IFRS 9 / IndAS109

RBI guidelines

ECL modelling

Model validation

Education

MBA or MSc/Statistics

CA

FRM/PRM/CFA

Tools

Python

R

Power BI

Job description

Job Description

Model risk relates to the risk of inaccurate assessment of underlying risks arising from inappropriate model development, calibration weaknesses or incorrect application of the model and includes the risk of under‑estimation or over‑estimation of risk. The models used by the Bank are being governed under the Model Risk Management framework for the model lifecycle. The model lifecycle involves working in all phases including development, validation, monitoring, issue identification, resolution, documentation, and governance.

The role involves working independently overseeing the management of model risk exposures across different businesses. The unit maintains oversight of all the models from implementation to usage to retirement.

Models Under Coverage

Expected Credit Loss (ECL) Model (IFRS 9 / Ind AS 109): Comprehensive validation of ECL credit risk models, including thorough evaluation of model methodology, underlying assumptions, and overall design. Activities include preparing audit‑ready documentation, supporting business decision‑making, ensuring alignment with regulatory expectations (RBI/Basel), and maintaining best‑in‑class coding and model development standards.

Key Responsibilities

• Independently validate PD, LGD, EAD, SICR/staging models and macro‑economic overlays for ECL (12‑month & lifetime).
• Assess model methodology, underlying assumptions, segmentation, variable selection, calibration approaches, and forward‑looking integration.
• Conduct benchmarking, adverse selection/reject inference analysis, and model risk tiering.
• Review SICR thresholds, cure/redefault logic, overrides, and qualitative adjustments.
• Participate in initial sign‑off and periodic re‑validation of ECL models.
• Develop monitoring dashboards and performance indicators (Python/R/Power BI).
• Maintain validation code controls, data traceability, and model inventories.
• Issue management: identify gaps, raise findings, and track remediation.
• Produce high‑quality validation reports, monitoring packs, and support governance.
• Strengthen model risk frameworks and provide regulatory and best‑practice guidance.

Technical & Domain Skills

• Proficiency in Python or R for ECL model development/validation.
• Strong statistical skills.
• Good understanding of Basel, IFRS 9 / Ind AS 109, and model risk concepts.
• Knowledge of RBI’s draft ECL guidelines and regulatory expectations.
• Exposure to ECL modelling (PD, LGD, EAD, staging, overlays).

Behavioural Skills

• Ability to work independently on complex problems from solution to implementation.
• Eagerness to learn continuously and work on new domains/problems.
• Ability to undertake research and produce solutions for problems.
• Upholding ethical standards and maintaining objectivity in model validation and risk assessments.

Required Qualifications & Experience

• 2‑5 years of experience in model validation, quantitative risk, or financial modelling, preferably within the IFRS 9 domain.
• Postgraduate degree such as MBA, master’s in science/mathematics, CA, Statistics or Economics.
• Professional certifications preferred: FRM, PRM, CFA.