Model Risk Analyst
IDFC FIRST Bank · Mumbai
- Experience1–2 yrs
- SalaryNot disclosed
- Work modeonsite
- Leveljunior
- Posted16 Sept 2026
About IDFC FIRST Bank
IDFC FIRST Bank is hiring in Mumbai in financial services. This role looks for around 1+ years of experience.
Skills
- Statistical and mathematical modeling
- Python
- R
- SAS
- Risk modeling frameworks
- Regulatory expectations
- Retail lending scorecards
- Wholesale credit risk models
- Market risk models
- Value at Risk
- PD calibration
- Discriminatory power analysis
- Sensitivity analysis
- Rating migration testing
- Derivative valuations
- Fixed income valuations
- Bootstrapping
- Interest rate simulations
- Foreign exchange simulations
The role
A model risk analyst at a financial services bank validates statistical and mathematical models for retail lending scorecards, wholesale credit, and market risk, applying Python, R, and SAS to automate validation workflows and assess model performance. The role also applies risk modeling frameworks and regulatory expectations to present findings and recommendations.
Full 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 testingPD calibrationDiscriminatory power analysisSensitivity analysisRating migration testingValidate market risk models such as:Derivative and fixed income valuationsBootstrappingValue at Risk (VaR)Sensitivity and capital charge modelsInterest 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 fieldsPost-graduation: Master’s degree or higher in a relevant field (preferred)
Experience
Minimum 1 year of experienceRelevant 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 techniquesProficiency in tools such as Python, R, SAS, or similar statistical softwareFamiliarity with risk modeling frameworks and regulatory expectationsAnalytical mindset with attention to detail and problem-solving skillsAbility to work independently and manage multiple validation projectsStrong communication skills to present findings and recommendations effectively