Job description
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.
Skills
Refer to the Job Description
About HDFC Bank
HDFC Bank is one of India’s leading private banks.
The Housing Development Finance Corporation Limited or HDFC Ltd was among the first financial institutions in India to receive an “in principle” approval from the Reserve Bank of India (RBI) to set up a bank in the private sector.
This was done as part of RBI’s policy for liberalization of the Indian banking industry in
1994. HDFC Bank was incorporated in August 1994 in the name of HDFC Bank Limited, with its registered office in Mumbai, India.
The bank commenced operations as a Scheduled Commercial Bank in January
1995.
As of March 31, 2026, the Bank’s distribution network was at 9,689 branches and 21,172 ATMs across 4,175 cities / towns as against 9,455 branches and 21,139 ATMs across 4,150 cities / towns as of March 31,
2025. 50% of the branches are in semi-urban and rural areas.
In addition, the Bank has 14,400 business correspondents, which are primarily manned by Common Service Centres (CSC).
The Bank’s international operations comprise five branch
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