Financial and Actuarial Mathematics, TU Wien, Austria

Erste Bank Group

Quantitative Specialist – Credit Risk

“Group Credit Risk Control” is part of the department “Group Risk Control” in the Division “Group Risk Management”. Group Credit Risk Control acts as the central and independent risk control unit for identification, measurement and quantification of credit risk.

Your tasks and responsibilities:

Risk Parameter calculations for Basel 2 purposes (PD, LGD, CCF) including

  • Enhancements of risk parameters
  • Quantitative and qualitative validation of risk parameters
  • Documentation of risk parameters methodologies

Your should have:

  • Good knowledge of Basel 2 capital adequacy framework (resp. the EU-directive) with special attention to risk parameter requirements
  • academic background with quantitative focus (e.g. statistics, mathematics, physics, etc.)
  • the ability to work with SQL, VBA, SAS
  • a high analytical capability
  • the ability to communicate fluently in English and German (verbally and in writing)

Our offer:
This job offers you the possibility to work in a highly motivated, successful and dynamic team with state of the art risk management methods

Further information:

Erste Bank Group/Group Credit Risk Control – Mr.Manfred Angel
Phone: +43 5 0100 19071

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