Model Risk Mgmt-Analyst-Treasury & MR

HDFC Bank Share Show more options Model Risk Mgmt-Analyst-Treasury & MR  Mumbai, Maharashtra, India · 2 weeks ago · Over 100 applicants Promoted by hirer · No response insights available yet On-site Full-time Easy Apply Save Save Model Risk Mgmt-Analyst-Treasury & MR  at HDFC Bank Your profile matches some required qualifications Show match details BETA Is this information helpful? Get personalized tips to stand out to hirers Find jobs where you’re a top applicant and tailor your resume with the help of AI. Reactivate Premium: 50% Off People you can reach out to Rajkumar and others in your network Show all Meet the hiring team Kavita Jaishankar 2nd Assistant Vice President -Corporate Business partner-Human Resources- HDFC Bank | SHRM certified | Jombay 40under40 Certified Job poster · 2 mutual connections Message About the job Model Risk Analyst-ALM & IRRBB Model Risk Management Function: Model Risk Management / Model ValidationExperience:4-7 yearsAbout the RoleWe are looking for an experienced professional to join our Model Risk Management team, with a primary focus on ALM Behavioral Models and Interest Rate Risk in the Banking Book (IRRBB) models.This is a specialist role requiring hands-on experience in the development, validation, review, or monitoring of ALM/IRRBB models. The successful candidate will be expected to independently assess model methodologies, challenge assumptions, develop benchmarking/challenger approaches, and engage with model owners and senior stakeholders on model risk issues.While the primary focus will be ALM Behavioural and IRRBB models, the role will also provide opportunities to gain exposure to Treasury Pricing, Market Risk Models, and broader Model Risk Management, allowing the candidate to build expertise across multiple areas of quantitative risk. Key ResponsibilitiesALM & IRRBB Model ValidationIndependently conduct validation and review of ALM behavioural and IRRBB models.Assess conceptual soundness, model methodology, assumptions, data, implementation, limitations, and performance.Perform pre-deployment validation, periodic reviews, model monitoring, and ongoing performance assessment.Developing challenger models and independent benchmarking approachesAssess model limitations and their potential impact on IRRBB measurement and ALM risk management.Review model documentation and ensure that key assumptions, methodologies, limitations, and model-use considerations are appropriately captured.Preparing validation reports and presenting findings to stakeholders and governance forumsMentoring junior team membersWhat We Are Looking ForCore requirement:4-7 years of relevant experience with hands-on exposure to ALM/IRRBB model development, model validation, or model review.Strong practical understanding of ALM behavioural modelling and IRRBB methodologies.Direct experience with one or more of the following would be particularly relevant:NMD behavioural modellingDeposit decay modellingPrepayment or early redemption modelsIRRBB MethodologiesALM behavioural modelling and monitoringStrong quantitative and analytical skills with the ability to understand and challenge statistical/model methodologies.Experience with statistical analysis, model performance testing, benchmarking, and validation techniques.Knowledge of Python is desirable.Ability to work with large datasets and translate quantitative analysis into meaningful model-risk conclusions.Educational BackgroundA postgraduate or undergraduate degree in Engineering, Mathematics, Statistics, Economics, Finance, or a related quantitative discipline is preferred.Professional qualifications such as FRM, CFA, BTRM would be an advantage.