FAM-ily  

Financial and Actuarial Mathematics  
at Vienna University of Technology, Austria  

 
2011-06-01

Market Risk Modeller/Analyst/Validator

Career level: Professional
Org. Unit Name: Market Risk Management

Job Summary

The principal task is to develop, maintain and provide state-of-the-art risk measurement and management tools and methods to cover the dynamic nature of capital market and treasury activities and to comply with the regulatory requirements. To actively support the market risk managers in the risk management processes. To identify, know and throroughly asses all types of market and counterparty risks in the product application process.

Tasks and Responsibilities

  • Develop and implement group wide market and counterparty risk measurement methods and tools
  • Maintain and develop the Groups Internal Model. (regulatory requirement)
  • Support Network Banks in the different areas e.g Basel II, Stress testing, FX and Interest risk measurement, Product introduction, Methods for Product Valuations
  • Together with the risk managers perform an independent assessment of market and treasury counterparty risks.
  • Prepare written reports and limit reports and communicates the finding to Network Units, Head Office, Market Risk Committee or Management Board
  • Support daily risk measurement, stresstesting and backtesting of market risks including Foreign Exchange, Interest rate, Credit Spread, Equity, Commodity Option and correlation risks for all market risky portfolios of RZB group.
  • Together with the risk manager approve new products. To check that the product must be correctly represented in the subledger front office systems for this class of instrument (this includes correct cashflow generation and the containment of all relevant properties) as well as the interfacing of all relevant data to the market risk management system. The method of calculating counterparty risk for this class of instrument may not underestimate counterparty risks.
  • To validate pricing models of the front office systems. This includes a theoretical review of the model as well as a technical validation in the front office systems.
  • To implement the pricing function to the risk engine to measure risks accordingly.
  • Required new market parameters must be maintained in the information systems and have to be setup in the market database including the timeseries for correct risk measurement together with risk manager.
  • Cooperate with other RBI Teams to secured additional functional support (e.g. Credit Portfolio Management, Business Units, Treasury) as needed.
  • To test the implemented methods and tools thoroughly.
  • To keep the model documentations up to date.
  • To support the risk managers when analyzing complex portfolios and limit applications.
  • To validate the measurement methods developed quantitatively, statistically and econometrically.

Job Qualifications

  • 3-5 Years of Experience in Market Risk Management or Quantitative Financial engineering
  • Quantitative background (physics, mathematics, statistics with some exposure to banking and finance;)
  • Advanced academic degree (MSc, PhD, Dr.)
  • Scientific Programming Skills, Numerical and data handling skills e.g., Matlab, C++, SAS, R, SQL, Python
  • Strong analytical skills, but at the same time practical, problem-solving attitude required
  • Ability to communicate to a non-technical audience including negotiation with internal and external parties (audit, regulators, traders, Org/IT)
  • Deep Financial product knowledge
  • Experience in implementing models for bank wide risk management
  • Basel II and Economic capital concept knowledge
  • Resultorientation, Assertiveness
  • Team player
  • Ability to work under pressure and flexibility
  • Business level command of English


Raiffeisen Bank International AG
Am Stadtpark 9
1030 Vienna, Austria
Tel.: +43 1 71707-1492
Fax: +43 1 71707-761492
alexander.tsorlinis@rbinternational.com, http://www.rbinternational.com/

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