FAM-ily  

Financial and Actuarial Mathematics  
TU Wien, Austria  

 
2022-02-16

STELLE NICHT MEHR VAKANT - BITTE NICHT MEHR BEWERBEN!!!

Erste Bank

Working at Erste Group 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.

Stresstesting & Credit Risk Simulations Specialist (all genders)

Location: Vienna
Working hours: Full-time
Occupational Area: Risk management
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.

The Stress Testing and Credit Risk Simulations unit is part of the Group Enterprise Wide Risk Management. 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

  • Development and enhancement of the stress testing infrastructure and Credit Risk portfolio simulation platforms
  • Support in Governance, research and development of the credit risk models used for stress tests, risk management and portfolio simulations
  • Maintain data bases used for credit risk simulations and scenario based modeling of client behavior and loss parameters
  • Perform computations for stress testing, credit risk sensitivities, historical and scenario-based exercises
  • Facilitate risk-based steering by devising innovative solutions for uncovering insights into the bank's portfolios from stress test results and the translation of these insights into recommendations for front-office and senior management
  • Contribution to all team activities regarding the performance of group-wide stress tests both for external stakeholders (mainly EBA) and for internal steering purposes, integration of new requirements in the context of ESG
  • Provide support to the team's agenda of continuously improving the methodological stress testing framework of the group

Your Background

  • A degree in a quantitative field, e.g. Mathematics, Computer Science, Statistics, Physics, Engineering, Business Informatics or Quantitative Finance
  • Good knowledge of mathematics and statistics with strong affinity for modelling dependencies in risk and economics
  • Understanding principles of economics, ideally with previous exposure to either portfolio management, credit risk management, insurance, asset-liability management or macro-economic research
  • 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 an advantage
  • Focused and analytically minded individual with a problem-solving mentality and the ability to work in a team oriented environment while having a preference for individual engagement.
  • Fluent in German and English. Knowledge of one 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 the Erste Group
  • Discover and enjoy the benefits of Erste Group
  • The minimum wage for this full-time position in accordance with the collective agreement with complete fulfillment of the functional profile is EUR 35.365,26 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 individual remote work options.
  • 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.

Apply Now!
(direct link to the job offer)

Bei der Bewerbung bitte auf die FAM-jobs Seite verweisen.