Job Requirements
Job Description

Primary Role.

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. The models used by the Bank are 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 different business. The unit maintains oversight of all the models from implementation to usage to retirement.

Models Under Coverage
Expected Credit Loss (ECL) Model (IFRS 9 / Ind AS 109):
Comprehensive validation of ECL credit risk models, including thorough evaluation of model methodology, underlying assumptions, and overall design. Activities include preparing audit‑ready documentation, supporting business decision-making,



ensuring alignment with regulatory expectations (RBI/Basel), and maintaining best‑in‑class coding and model development standards.

Key Responsibilities
- Independently validate PD, LGD, EAD, SICR/staging models and macro‑economic overlays for ECL (12‑month & lifetime).
- Assess model methodology, underlying assumptions, segmentation, variable selection, calibration approaches, and forward‑looking integration.
- Conduct benchmarking, adverse selection/reject inference analysis, and model risk tiering.
- Review SICR thresholds, cure/redefault logic, overrides, and qualitative adjustments.
- Participate in initial sign‑off and periodic re‑validation of ECL models.
- Develop monitoring dashboards and performance indicators (Python/R/Power BI).
- Maintain validation code controls, data traceability, and model inventories.
- Issue management: identify gaps, raise findings, and track remediation.

📌 Model Risk Analyst (Mumbai)
🏢 IDFC FIRST Bank
📍 Mumbai