Financial and Actuarial Mathematics  
TU Wien, Austria  



Erste Bank

Working at Erste Bank means pursuing a common goal and being enthusiastic about shared values. We always treat one another with respect, empathy, and understanding for our diverse backgrounds. This applies to our customers as well as to our employees.

Credit Risk Model Development Specialist (all genders)

Location: Wien
Working hours: Full-time
Occupational Area: Risikomanagement
Company: Erste Bank Oesterreich

Erste Bank Oesterreich is a leading domestic financial institution. As part of the international Erste Group, we are an attractive employer who offers interesting career opportunities.

The department Model Methodology & Development is the central function responsible for the development and maintenance of models used in the analysis of credit risk, in particular regulatory Pillar 1 IRB models (e.g. credit scorecards, PD, LGD, ELBE and CCF parameter models), Pillar 2 and IFRS 9 models. It is also responsible for the definition of group-wide model development standards.

Your Tasks

  • Responsibility for the development and maintenance of credit risk models by applying advanced statistical techniques with focus on the non-retail segment and the probability of default (PD) parameter in Pillar 1 IRB, Pillar 2 economic capital and IFRS 9 impairment models
  • Contribution to the continuous further development of Group-wide credit risk model development standards to ensure state-of-the-art methodology, reflecting research and regulatory provisions
  • Supporting Erste Group subsidiaries in the consistent implementation of such methodology
  • Reporting and presentation to the relevant decision bodies the outcome of modeling activities
  • Demonstrate compliance of models and methodology to validators, auditors and supervisors

Your Background

  • Advanced academic degree in natural or economic science with focus on mathematics, statistics, econometrics or banking and finance
  • Profound knowledge in applied statistics with focus on predictive modelling and computation (Machine Learning)
  • Professional experience in the development or validation of statistical models, preferably in the area of internal credit risk models
  • Excellent skills in a statistical programming language (e.g. Python, R, SQL, SAS)
  • Knowledge about the regulatory framework for credit risk management and banks' internal credit risk models desirable
  • Proficient in communicating complex matters in both spoken and written English
  • High social competencies incl. team-orientation with strong ability to cooperate
  • Resilience, high commitment and ability to work independently

Our Offer

  • Be an integral part of a successful high-performance team that is working on exciting and challenging tasks in an international environment
  • Excellent professional and personal development opportunities
  • Discover and enjoy the benefits of Erste Bank
  • Erste Bank 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.
  • 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 39.357,00 gross per year

Jetzt bewerben!
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