FAM-ily  

Financial and Actuarial Mathematics  
at Vienna University of Technology, Austria  

 
2013-07-18

Bei diesem Inserat bitte nicht mehr bewerben!

Please do not apply for this position!
It is out of date.

This is an invitation to challenge us. To question routines, to not accept things at face value, to share if you are of a different opinion. We wel­come productive change and sound new ideas. And if you come up with better solutions, you will find support in implementing them. What we will keep is this attitude.

Senior Risk Manager - Internal Market Risk Model Development (f/m)

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 groupwide infrastructure, supported by bright and talented people sharing a common strategy.

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

For further development of our market risk model with the target of mastering regulatory challenges, best practice in risk management and supporting the business model of Erste Group we are looking for strengthening our team with an Internal Model expert.

You:

  • take responsibility for methodological development of the risk management environment with respect to pricing functions, market data requirements, risk analysis and reporting.
  • contribute to the project of replacing Erste Groups current internal model infra-structure
  • support risk management and business units with know-how on risk management best practice
  • are a graduate with quantitative background in financial markets or statistics or mathematics or IT
  • have a minimum of 3 years experience in a similar position in market risk model development or in a position with comparable requirements
  • possess profound expert knowledge in the fields of financial products and risk methodologies as well as advanced IT skills which need to cover JAVA, C++, Unix, SQL, VBA.
    Ideally experience with front office system Calypso and Murex
  • speak English fluently, German is beneficial
  • have a cooperative working style, good organisation skills to foster the collaboration in projects with front office developers, traders, IT; ability to work under pressure.

We:

  • offer you an exciting and challenging opportunity to work with us on the development and implementation of best practice risk methodologies in the area of trading book risk management
  • enable you to work in a team with focus on establishing group wide methodologies and solutions
  • give you the opportunity to become a widely respected market risk management specialist in Erste Group
  • support your professional and personal development
  • guarantee a competitive and performance-related salary dependent on your professional and personal qualifications. We are obliged by law to quote the minimum wage of EUR 33.639,-- gross per year for this position, in accordance with the respective collective agreement.

Interested?
We are looking forward to receiving your complete online application.

Bei diesem Inserat bitte nicht mehr bewerben!

Please do not apply for this position!
It is out of date.

Bei der Bewerbung bitte auf die FAM-jobs Seite verweisen.