Model Risk Analyst-ALM & IRRBB Model Risk Management

Function: Model Risk Management / Model Validation

Experience:4-7 years

About the Role

We are looking for an experienced skilled 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 Responsibilities

ALM & IRRBB Model Validation

- Independently 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 approaches




- Assess 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 forums
- Mentoring junior team members

What We Are Looking For

Core 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 modelling
- Deposit decay modelling
- Prepayment or early redemption models
- IRRBB Methodologies
- ALM behavioural modelling and monitoring
- Strong 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 Background A 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.

📌 Model Risk Mgmt-Analyst-Treasury & MR (Mumbai)
🏢 HDFC Bank
📍 Mumbai