FAM-ily  

Financial and Actuarial Mathematics  
TU Wien, Austria  

 
2019-07-26 (gültig bis max. 2019-09-26)

200 years #believeinyourself
Working at Erste Group means working together on the future of us all: our customers, our company, each individual.
This takes to believe in yourself and the people around you; as well as to meet others with respect, empathy and understanding of diverse life stories.

Credit Risk Stress Test and Simulation Expert (f/m/d)

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. Stresstesting & Credit Risk Simulations is part of the Department “Credit RWA Management and Stresstesting”, which belongs to the division “Enterprise wide Risk Management”.
The main tasks of our unit are the proper, timely and high quality computation of all forward looking parts of credit risk weighted assets (RWAs). Primary focus is on credit risk stress testing and group-wide credit RWA impact calculations. In addition, the unit directly supports other areas of the bank with specialized quantitative support and impact estimates

Your Tasks

  • Support the team’s work in continuously improving the methodological stress testing framework of the group
  • Development and enhancement of the stress testing infrastructure and credit risk portfolio simulation platforms
  • Governance, research and development of credit risk models used for the calculation of stress tests, risk management and portfolio simulations
  • Design and maintain databases used for credit risk simulations and scenario based modeling of client behavior and loss parameters for all types of clients
  • Perform computations for stress tests, credit risk sensitivity analyses, historical and scenario-based exercises
  • Facilitate risk-based steering by devising innovative solutions for reporting of portfolio insights out of stress testing and the translation of these results into recommendations for front-office and senior management
  • Contribute to all team activities dealing with group-wide stress tests both for external stakeholders (mainly the EBA) and for internal steering purpose

Your Background

  • A degree in a quantitative field, e.g. Mathematics, Computer Science, Statistics, Physics, Engineering, Business Informatics and Quantitative Finance
  • Good knowledge of mathematics and statistics with strong affinity for modelling dependencies between risk and economics
  • Strong skills in working with complex data systems (SQL) and proficient use of statistical programing languages (SAS, R, Python), knowledge of general scripting language (Java) is considered advantage
  • Firm grasp of economic principles underlying risk analysis, ideally from previous exposure to either portfolio management, credit risk management, insurance, asset-liability management or macro-economic research (3-5 years relevant experience)
  • Fluent in English, knowledge of German and additional CEE languages is an advantage

Our offer

  • An intense and dynamic job in an interesting and important field with excellent growth perspectives, this is a chance to participate in a core area of Erste Group and to take over responsibility for processes with a large impact on the organization
  • Provide you the opportunity to work with a motivated, diverse multi-national team and to cooperate with many colleagues, functions and units across Erste Group
  • Discover and enjoy the benefits of Erste Group
  • A competitive and performance-related salary dependent on your professional and personal qualifications is granted - the minimum wage for this position in accordance with the respective collective agreement is EUR 38.052,-- gross per year
  • We are proud to be an equal opportunity employer without regard to age, colour, religion, sex, sexual orientation or national origin. We live diversity!

Interested?
We are looking forward to hearing from you!

Degree of Employment: Full-Time
Primary Location: Austria-Vienna

Jetzt bewerben!
(Direktlink zum Stellenangebot)

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