Model Risk Analyst

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

Job summary

IDFC FIRST Bank in Mumbai is seeking a Model Risk Analyst to validate and enhance risk models within the Model Risk Management (Market Risk) team. The role focuses on retail lending scorecards, improving accuracy, coverage, and automation of validation processes while ensuring regulatory alignment.

You will develop tools to automate workflows, perform independent statistical validation, and support wholesale and market risk model validation, including VaR, stress tests, and rate/FX simulations.

Qualifications

• 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).
• Minimum 1 year of experience in model development or validation.

Responsibilities

• Lead validation of retail lending scorecards and improve validation processes.
• Develop tools to automate validation workflows and boost efficiency.
• Validate wholesale rating models and market risk models including VaR, calibration, and stress testing.

Skills

Statistical modeling

Mathematical modeling

Analytical thinking

Communication skills

Education

Bachelor’s degree in Mathematics/Statistics/Engineering/Economics

Master’s degree or higher (preferred)

Tools

Python

R

SAS

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