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


Market Risk Modeling Analyst (f/m)

As a major financial institution, we strive to think and act in a truly international dimension. We span 50 countries and give growth opportunities to people who share our excitement for constantly building on the diversity of our local roots and strong European presence.

Bank Austria is number one in Austria and Central and Eastern Europe. Since 2005 we have been a member of UniCredit, one of the largest European banking groups. Being the bank with the strongest capital base among the large banks in Austria we aim for excellence and strive to achieve maximum customer satisfaction. Therefore we consistently invest in the development and motivation of our employees.

To support our Risk Methodology team in Vienna, we are looking for a Market Risk Modeling Analyst with strong quantitative background, who ideally has some experience in the market risk area. Joining the team will bring you a large opportunity to work within an international, professional and ambitious team in a motivating and open atmosphere and a possibility to participate in projects in Austria and in the whole CEE region.

In this position you will be facing the following tasks:

The responsibilities cover Risk Measurement of Treasury- and Market Risk-Activities, in particular the analysis of Risk positions and the improvements of Market- and Counterparty Credit Risk calculation methods and in addition in cooperation with UniCredit Holding - the development/refinement of tools for risk calculation.

You will participate in the new product implementation process for Markets/Treasury. In addition you will take care of the improvement and development of backtesting and stresstesting activities, derivative pricing related topics and model maintenance topics.

You are part of a highly motivated team and are ready to take personal responsibility.

We offer a gross monthly salary based on the collective bargaining agreement of EUR 3.750,00 at least, depending on individual qualification and experience.

Your profile:

  • Studies with mathematical/statistical focus.
  • Programming knowledge (e.g. MATLAB, Python, C++, R ).
  • Knowledge of treasury products and Financial Mathematics.
  • Data base Know How advantageous as well as FO System advantageous (Murex,..).
  • Language skills: English fluent, knowledge of German would be appreciated.
  • Strong analytical thinking and well founded knowledge of business.
  • Dedication, commitment and flexibility as well as ability to work under pressure.
  • Strategic, impact and target oriented approach.
  • Ability to work both, in a team and independently.
  • Communication and problem-solving skills.
  • Motivated and fast learning.

Location: Vienna
Entry date: 01.01.2015
Code: AT-EXT-51160382-20141210-142223-EN
HR - Recruiting
Susanne Hillebrand / Renate Vejvar
Recruiting Line: +43 (0)5 05 05-55422

Are you interested in this job? We look forward to receiving your online-application on, indicating the advertisement-no. AT-EXT-51160382-20141210-142223-EN.

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