Erste Group Bank AG is the corporate headquarter for a group of leading banks in Central and Eastern Europe (CEE). Enjoying
continued growth and stability in one of the most interesting and promising regions in Europe. We provide strategic leadership,
central business functions and group-wide infrastructure, supported by bright and talented people sharing a common strategy.
Werkstudenten- Market Risk Management (m/f)
The team "Internal Model Market Risk Control" is part of the Department Group Market, Bank Book and Liquidity Risk Management within Group Strategic Risk Management of Erste Group Bank AG. The main responsibilities of the unit are:
- Running and developing a VaR model for regulatory purposes (Internal Model) and risk steering
- Calculation of capital requirements for market risk for Pillar 1 and Pillar 2 using the internal model
- Stress Testing and ad-hoc analysis for Trading Book positions of Erste Group
We are offering to 2 part time positions for support activities in the Market Risk Management process.
Market Risk Management: Market Data Analysis
The key focus of the position is on financial instruments market data analysis and administration (e.g. equities, interest rates, credit spreads, fx rates, commodities and all related volatilities) needed for valuation and risk analysis of Erste Groups positions in financial instruments.
Your task would be to take over the responsibility for a dedicated market data subset and to ensure together with other colleagues the generation of risk factors for the internal market risk model.
The goal of the data generation process is to ensure the availability of a quality controlled set on a daily basis by the end of day.
Quality control is done by means of data analysis to detect outliers of specific instruments quotes as well as inconsistencies among data points (e.g. points of a curve). Clarification of the reasons, corrections and documentation are important elements for a sound operation.
Some data is not direct observable but needs to be generated, e.g. zero and credit curve stripping, constant maturities generation or volatility surfaces - for which the performance of several calculation steps and the administration of instrument sets (e.g. control of volatility smile fits, administration of issuer bond samples) is necessary.
Furthermore the history generation of market data and the performance of a similar quality control is as well part of the job. Here in addition specific procedures to fill up missing data by proxy rates are an important part of the overall concept.
The position is part time - 50%- and due to the fact that the workflow is part of specific end of day routines there is a strict requirement of working hours from 15:00 to 19:00, Monday to Friday
- are undergraduate or a graduate looking for part time employment with background in financial markets, statistics, mathematics, IT or specific experience in financial markets
- have strong interest in financial markets and products and a strong affinity to work with data
- possess of some advanced knowledge in capital market products (bond valuation, options), IT skills in VBA and SQL.
- speak English fluently, German is beneficial
- like to work during later hours of the day 15:00- 19:00 on a regular basis (daily). Due to training requirements we are searching for candidates, who are looking for an employment with a minimum horizon of about 1year.
- hold a work permit for Austria
- …offer you a position in Data management for financial risk management, which provides you a diverse insight into financial markets and constitutes a key prerequisite for high quality risk analysis
- support your professional and personal development
- …guarantee payment according to your personal qualifications and experience, but definitely a minimum of EUR 998,71 (= 50%) gross monthly income based on the official national "Kollektivvertrag" (independent of number of school years, final degrees and former employment). A market competitive based salary is taken for granted
Please send your application and CV by e-mail to
Please include a short motivation later, in which you outline your skills and experience with respect to the above requirements.
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