Model Risk Mgmt-Analyst-Treasury & MR
HDFC Bank · Posted Oct 13
Commercial banking, retail banking, credit card, loan, and treasury services
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About the role
The Model Risk Management team at HDFC Bank is responsible for the validation, review, and monitoring of quantitative models used across the bank, with this role focused on ALM Behavioural Models and Interest Rate Risk in the Banking Book (IRRBB) models. The role sits within Treasury and Model Risk and involves independently assessing model methodologies, developing challenger and benchmarking approaches, and engaging with model owners and governance forums. The candidate will also gain exposure to Treasury Pricing, Market Risk Models, and broader Model Risk Management.
What you will do
- 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
Skills used in this role
What the employer is 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.
- 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.
Benefits and support
- Compensation and benefits are detailed in the job posting
About HDFC Bank
HDFC Bank Limited is an Indian banking and financial services company headquartered in Mumbai. It is India's largest private sector bank by assets and market capitalization, offering a wide range of financial products including retail banking, wholesale banking, and treasury operations.
- Industry
- Banking
- Company size
- 211535 employees
- Founded
- August 1994
- Location
- Mumbai, Maharashtra, India
- Funding stage
- Public Company
Leadership
Sashidhar Jagdishan
Managing Director and Chief Executive Officer
Srinivasan Vaidyanathan
Chief Financial Officer
Ramesh Lakshminarayanan
Chief Information Officer
Vibhash Naik
Chief Human Resources Officer
Recent coverage
Businessworld
HDFC Bank May See Nine Senior Executives Reach Retirement Age By 2030October 6, 2026
Stock Titan
HDFC Bank Limited Reports Period-End Advances and Deposits for September 2026October 5, 2026
GlobeNewswire
HDFC Bank Shares Fall on Legal and Regulatory Scrutiny UpdatesOctober 7, 2026