FAM-ily  

Financial and Actuarial Mathematics  
at Vienna University of Technology, Austria  

 
2007-02-19

The bank is as good as people making it.
For that we are looking for ....

2 part-time administrators of a time series database for Value at Risk calculations

Erste Bank der Oesterreichischen Sparkassen AG is a leading financial institution in Central Europe (CEE). With our excellent product range – from investments to financing and insurance – we focus our business on retail, medium-sized enterprises as well as institutional clients.

Our banking group is expanding in the economically dynamic markets of Central Europe. Our goal is to offer unparalleled service and a wide range of products to more than fifteen million clients.

To reach this goal, we use all existing and new distribution channels to be as close as possible to our clients. The benchmark for our success is the expectation of our clients and shareholders.

Group Market Risk Control is a central independent risk control unit of Erste Bank Group. Its main responsibilities are:

  • Calculation of all market risks of Erste Bank Group based on value at risk. Operation and development of the group's internal model for trading book activities (central risk management and local operation of the internal model in subsidiaries and branches).
  • Risk Control of Group's banking book and insurance subsidiaries with respect to integrated risk measurement on a financial conglomerate level.
  • Risk Control Structured Finance: Quantitative analysis (deal valuation, risk analysis, risk aggregation) and group wide reporting on all investments in Collateralized Debt Obligations, ABS and Managed Funds

We are looking for two graduates or undergraduates who want to work part-time in market risk management and are particular interested in the processing and analysis of financial instruments market data and derived or associated valuation parameters.

The main responsibilities will be:

  • Data management, administration and quality control of our time series database of risk factors used in Value at Risk calculations (historical simulation approach).
  • Further development of current tools and workflow-processes
  • Contribute to introduce new kind analysis and extend the current state of time series analysis
  • Systematic constitution of data for new asset classes in credit markets
  • Assistance of the team in various fields of daily business

Requirements:

  • Graduates or undergraduates (in their 2nd term) University degree (business administration, operations research, statistics, mathematics, computer science, actuarial or other quantitative studes)
  • Affinity to financial markets, product valuation and especially time series analysis/modelling and related applied statistics.
  • Strong IT skills especially with respect to VBA and SQL preferentially also in Unix, Java, R
  • Ability to work well within a team and communicate well with others, flexible approach to working hours, ability to work to tight deadlines
  • English is used in daily work, however knowledge of German is considered to be an advantage.

The minimum period of part time employment is one year. Ideally, we would expect periods of about two years or similar terms which are in line with your research work or studies. As stated, we are looking for two candidates sharing one full time position, one half each.
Besides gaining experience in risk management of a large institution, we offer competent candidates a working environment within a professional infrastructure with respect to data sources, IT- , trading- and risk- systems. We are looking forward to support synergies through a combination of your research ideas (probably from your thesis) and questions which arise in current practice.

Interested candidates should send their application to
Günther Smisch
Head of Group Market Risk Control
Erste Bank der oesterreichischen Sparkassen AG
OE 382 Group Market Risk Control
A-1030 Vienna, Traungasse 12,
Tel: +43 (0)5 0100 - 19052
guenther.smisch@erstebank.at
Information concerning Erste Bank group can be found at www.erstebank.at.