Market and Liquidity Risk Model Validation

vor 1 Woche

Wien, Wien, Österreich Erste Group Bank AG Vollzeit

Location:

Wien

Working hours:

Full-time

Occupational Area:

Risikomanagement

Company:

Erste Group Bank AG


Erste Group was founded in 1819 as the first Austrian savings bank and today it is one of the largest banking groups in Central and Eastern Europe (CEE).

As an attractive employer, Erste Group offers interesting career opportunities in an international environment.


Market and Liquidity Risk Model Validation is responsible for the independent review and validation of VaR and VaR related market risk methods and models, as well as any model for measuring market and liquidity risk (including the interest rate or the credit spread risk of the trading and banking book).

The unit is also responsible for validating models for derivatives or securities valuation and related functionalities (e.g., CVA, interpolators, bootstrappers) and all liquidity risk and IRRBB related models (e.g., non-maturity deposits model, prepayments) either internally or externally developed.

Furthermore, all market and liquidity risk related acquired software is verified.

Your Tasks:

  • Performing validation of different models used for risk measurement and steering of market and liquidity risk
  • Reviewing pricing code of securities and derivatives and validate the numerical methods used (e.g., interpolator, bootstrapper)
  • Independently concluding on the appropriateness of the models, the quality of the implementation, and the overall accuracy
  • Development of validation methodologies and increase of report automatization
  • Document and communicate results to the model owners/developers/users

Your Background:

  • Having minimum 2 years of experience in model development or validation and respective quantitative background
  • Holding a PhD or a master's degree in Finance, Mathematics, Statistics, Physics or similar
  • Possessing good knowledge in R and SQL, having strong analytic and problemsolving skills
  • Knowledge about regulatory framework of advantage
  • Speaking English fluently; German or other CEE language is a plus

Our Offer:

  • We offer an exciting and challenging responsibility area with significant individual responsibility
  • We commit to support you in your professional and personal development and stand out as a familyfriendly workplace and offer our employees, flexible working time and modern workplace options, company kindergarten, health centre, actively promote parental leave and many more familyfriendly measures
  • Discover and enjoy the benefits of Erste Group
  • The minimum wage for this fulltime position in accordance with the collective agreement with complete fulfillment of the functional profile is EUR 36.514;
- gross per year. But this is just a formality - we would be happy to talk about your actual salary in person

  • We offer our employees the opportunity to divide their hours between working from home and at the office.
  • Erste Group considers the diversity of its employees as key to innovation and success. As employer we are proud to offer everyone equal chances, irrespective of age, skin colour, religious belief, gender, sexual orientation or origin.

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