About the role
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, strong communication skills.
Major Stakeholders
Treasury, Market Risk, ALM Risk, Internal Audit, Compliance, Finance, IT, and other business units.