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


Credit 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.

Credit Risk Methods & Risk Integration is responsible for model development with focus on credit risk: e.g. Parameters (PD, LGD, EAD) and the Credit Portfolio Model in cooperation with Holding Company (HC). To support our Credit Risk Methods & Risk Integration team in Vienna, we are looking for a Credit Risk Modeling Analyst for the Loss Given Default Model (LGD) with strong quantitative background, who ideally has some years of experience in credit risk area.

Key tasks and responsibilities

  • Further development and refinement of the Credit Risk Parameter Model for ‘Loss Given Default (LGD)’ as basis for RWA calculation and for internal purposes (Expected loss) in an IRB-Advanced bank.
  • Data preparation, programming and data mining via SAS to support the development and refinement process.
  • Regular credit risk methods monitoring – identification of risks and opportunities.
  • Ongoing communication with business divisions, support of reviews by the validation unit, internal audit, external regulators and UniCredit Holding functions.Ongoing communication and credit risk methods development support in CEE.

Qualifications and Competencies

  • Some experience in LGD modelling and some years of experience in data mining (SAS).
  • Excellent programming skills (SAS preferred, additionally preferred SQL) and solid quantitative methods knowledge - university degree in quantitative area (Statistics, Mathematics, Physics) is preferred.
  • Experience in credit risk model development or validation and know How in Basel III and Economics and Banking Business.
  • English – fluent, knowledge of German would be appreciated.
  • Willingness to do both: close work with data handling (understanding and management of interaction of different data sources as well as data preparation and programming) and support the conceptual development process by quantitative analysis and analytical thinking.

Our offer to you

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

Application details:
Location: Vienna
Entry Date: 01.05.2015
Time Factor: Full-time
Contact: Susanne Hillebrand / HR-Recruiting / +43(0)5 05 05-55422
Additional Information:

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