Model Risk Analyst IDFC FIRST Bank
IDFC FIRST Bank
Office Location
Full Time
Experience: 3 - 3 years required
Pay:
Salary Information not included
Type: Full Time
Location: Maharashtra
Skills: 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
About IDFC FIRST Bank
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.,