Financial and Actuarial Mathematics  
at Vienna University of Technology, Austria  



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..

Risk Manager - Market Risk Model (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
  • 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 Groupís positions in financial instruments.
  • The goal of the data generation process is to ensure the availability of a quality controlled market data set on a daily basis by the end of day and a high quality market data history as basis for risk analysis.
  • Quality control is done by several means of data analysis and supported by a dedicated Central Data Management system (Asset Control). Furthermore calibration routines for more complex parameters like volatility surface models are embedded in an internal model linked into the process.
  • Key success factors are a detailed understanding of markets and products in order to asses market data movements or derive more complex data (such as fittings of volatility data) - along with a technical skill set which enables you to work with data in an efficient way

You ...

... ensure the operation as such from a risk point of view, be operatively responsible for a certain market data subset

... provide guidance to and coordinate a number of part time colleagues specializing in the end of day process

... collaborate in operations of the market risk model and support project activities

... have relevant business experience / a quantitative background in financial markets

... gained advanced knowledge in the fields of financial products and risk methodologies as well as advanced IT skills which need to cover SQL, VBA and ideally R

... possess experience with market data systems like Reuters, Bloomberg; ideally - Asset Control and FO/risk systems such as Calypso and Kondor+

... have a cooperative working style, good organization skills to foster the collaboration in a specialized team

... have good communications skills in English, German and/or CEE language of advantage

We ...

... offer you a challenging opportunity to work with us on the development and implementation of best practice risk methodologies in the area of market risk

... 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 30.143,- gross per year for this position, in accordance with the respective collective agreement.


We are looking forward
to receiving your complete
online application.

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