Manager - Model Risk Analyst

2 weeks ago

Mumbai, India IDFC FIRST Bank Full time

Role/ Job Title:  Model Risk Analyst

Function/ Department:  Market Risk

Job Purpose:

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. All the models used by the Bank is being governed under Model Risk Management framework for model lifecycle. The model lifecycle involves working in all phases including development, validation, monitoring, issue identification, resolution, documentation and governance.
Role involves working independently overseeing the management of model risk exposures across business lines covering Retail, Wholesale, Fraud, Market Risk, Counterparty Risk, Liquidity Risk. The unit maintains oversight of all the models from implementation to usage to retirement.

Roles & Responsibilities:

Lead initiatives to improve the accuracy, availability, granularity and coverage of our existing model validation process and build tools for process automation. Performing statistical and mathematical model development or validation independently for Retail Lending Scorecards. Conduct validation of Wholesale Rating Models covering quantitative and qualitative tests on PD Calibration, Discriminatory Power of the models, Sensitivity of parameters, Rating Migration test. Conduct validation of Market Risk Models – Derivative & Fixed Income Valuations, Bootstrapping, VaR, Sensitivity, Capital Charge Models, Interest Rate and FX Simulations. Conduct report using programing skills and using packages such as Python, R, SAS and SQL or other programing language. Maintain Database management using - SQL, Hive, NoSQL or any other relational databases and data warehouse (SAS Viya, Power BI). Understanding of parallel and distributed computing framework like Hadoop/Spark/H2O. Understanding of Statistics, Differential Mathematics, Probabilities, Machine Learning, Database Management, Big Data, Cloud Computing. Prepare data with visualization application (. – tableau) development using Python Dash or R Shiny is preferred.

Education Qualification: 

Graduation: Bachelor’s in Engineering / Technology / Commerce / Accounts / Management

Post-graduation: MBA / PGDM / Mtech / MSC- Computer, Statistics, Mathematics, Operation Research, Engineering, Physics

Experience:  0 to 2 years of relevant experience.

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