Internship Market and Liquidity Risk Model

vor 3 Wochen

Wien, Österreich Erste Group Bank AG Vollzeit

**Location***:
Wien**Working hours***:
Part-time**Occupational Area***:
Risikomanagement**Company***:
Erste Group Bank AGErste 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 risk (including the interest rate or the credit spread risk of the trading and banking book). They are also responsible for Models for derivatives or securities valuation and related functionality (e.g., CVA, interpolators, bootstrappers) and all liquidity risk and IRRBB related models (e.g., non-maturity deposits model, prepayments etc.) either internally or externally developed as well as all liquidity risk and IRRBB related acquired software units.

**Your Tasks**:

- conduct analysis of model input data, methodological approaches, and processes related to models
- perform the validation of models used for risk measurement and steering
- support assessment of data quality, data integrity and reliability

**Your Background**:

- currently enrolled at a University/University of Applied Sciences with focus on Finance, Mathematics, Statistics, Physics or similar
- gained solid experience in R and / or Matlab
- have analytical skills in the area of banking/finance or business intelligence
- have good interpersonal and communication skills, like to work in an international team, enjoy challenges and speak English fluently

**Our Offer**:

- we offer you an exciting and challenging part-time internship in an interesting and dynamic field for 5 months (19,25h/week) as of August 2023
- we support your professional and personal development
- we guarantee an internship allowance of minimum EUR 1.850 gross per month (on a full-time basis) and **benefits** of Erste Group
- 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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