Job Title

IRM-Model Risk Management-Analyst-Treasury & Market Risk

Business Unit

Integrated Risk Management - Model Risk Management

Reporting To

Unit Head-Model Risk Management-Treasury and Market Risk

Job Function and Role Type

Validation of Treasury and Market Risk Models, Individual Contribution, Moderate Travel Required

Version No

1

Job Purpose

Responsible for independent review and validation of derivative pricing models and risk models, including market risk, counterparty credit risk, ALM behavioral studies, and IRRBB models. Ensure compliance with model governance and regulatory requirements while managing a portfolio of models.

Key Responsibilities

Independent review and validation of different derivative pricing models and

Independent Review and Validation of Different Derivative Pricing Models
Perform validation of pricing models, analyzing suitability, shortcomings, and missing risks
Develop internal tools, benchmark models with industry practices, and assess model quality
Risk Model (Market Risk, Counterparty Credit Risk, ALM Behavioral Studies, and IRRBB Models)
Validate sensitivity analysis and risk measurement metrics such as PV01, Delta, Gamma, and Vega
Evaluate theoretical frameworks, model design, and documentation adequacy




Validate risk models including VAR, counterparty credit risk, and ALM behavioral studies
Develop and maintain programming libraries for model analysis and accuracy
Reporting and Communication
Prepare high-quality validation reports and present findings to committees
Engage with colleagues, front office quants, traders, and senior management
Process Enhancement and Automation
Automate structured processes to reduce manual efforts and streamline execution
Compliance and Research
Ensure adherence to bank policies and regulatory requirements
Conduct scenario analysis, sensitivity analysis, and backtesting as needed.

Risk Model (market risk, counterparty credit risk, ALM

Education:

Post-graduation in Statistics, Mathematics, Physics, Quantitative Finance, or MBA from a reputed institution (e.g., IIM, ISI, IIT).

Certifications:

FRM, CFA, CQF.

Key Competencies

Quantitative analysis, financial mathematics, Python programming, risk management, robust communication skills.

Major Stakeholders

Treasury, Market Risk, ALM Risk, Internal Audit, Compliance, Finance, IT, and other business units.

Required Skills

Refer to the

📌 Irm Model Risk Mgmt Analyst Treasury & Mr Mumbai
🏢 HDFC Bank
📍 Mumbai