Financial and Actuarial Mathematics, TU Wien, Austria TU Wien FAM

Credit Portfolio Model and Risk Integration

Advertisement no.: FH8330

Our unit covers ICAAP/Pillar2 Risk Integration issues and Credit Portfolio Model issues for UniCredit Bank Austria Group. You will be expected to be a member of either the Pillar 2 team or the Credit Portfolio Model team for several months, and will be assigned tasks related to ongoing projects that enable you to follow through specific issues in risk integration or credit portfolio model with continuity.

Place: Vienna
Period: 1st term 2012

Job description:

Pillar 2 - Risk Integration:

  • Develop consistent methodology for risk integration and ICAAP across all risk types and asset classes.
  • Regular calculation of aggregated Economic Capital/Risk Appetite; Support the planning/budgeting process.
  • Set up of consistent integrated stress testing framework and policies for different asset classes.
  • ICAAP Support for CEE Subsidiaries; Reference/contact point to regulators regarding ICAAP and risk integration.

Credit Portfolio Model (CPM):

  • Design, prototyping CPM for BA SubGroup; Portfolio Model Analysis and Controlling.
  • Parameterization of CPM for BA SubGroup as input for UniCredit Holding CPM Model.
  • Economic Capital calculation for Credit Risk; Stress Testing Credit Risk; Transfer Pricing for Credit Risk.
  • Reference/contact point to regulators regarding CPMand Stress testing.

Student requirements:

  • Strong interest in risk issues with educational background in either iT, mathematics or finance.
  • Fluent communication in English to be in the position to communicate with our CEE subsidiaries.
  • Good analytical skills, ability to grasp things quickly and eagerness to learn.
  • Strong commitment to contribute to the team.

We offer a monthly gross salary of EUR 1.050,-.

In case of interest send your application per mail to Christoph Konvicka ( or to Christian Mücke (

UniCredit Bank Austria AG

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