Senior Risk Manager and Stress Test Expert (m/f)

SBERBANK Europe AG
  • Wien
  • Vollzeit
  • Berufserfahrung
  • 15.5.2019

Sberbank Europe AG, headquartered in Vienna, is a banking group that is 100% owned by Sberbank Russia. Since Sberbank Russia acquired Volksbank International (VBI) in 2012 and rebranded it into Sberbank Europe, major steps have been taken to gradually transform Sberbank Europe into a fully-fledged, self-funded and profitable universal bank with a strong focus on retail and corporate customers. Sberbank Europe is present in 8 markets in Central and Eastern Europe: Austria, Bosnia and Herzegovina (Sarajevo and Banja Luka), Croatia, Czech Republic, Germany, Hungary, Slovenia and Serbia. Sberbank Europe operates 190 branches and has over 4,000 employees across CEE. As an integral part of one of the largest, fastest growing and most dynamic financial providers in the world, Sberbank Europe aims to build sustainable bridges between Russia and the European markets.

We are looking for people who are energetic about developing their talents with us. As a young European bank, we offer opportunities for people who like to roll their sleeves up and advance their career. We are looking for people like you. Become part of our international team located in a modern office in Vienna 1010.

Senior Risk Manager and Stress Test Expert (m/f)

Vienna

Job Summary

The Senior Risk Manager and Stress Test Expert is responsible for the Group and country level stress testing, across all risk types and product lines, integrating function between strategic risk and capital. His/her main tasks are identification, analysis, design and implementation of risk models and parameters and conducting ICAAP and regulatory stress test exercises. Development and back testing of IFRS9 parameters used within the provisioning and stress testing process fall also under the scope of his/her responsibilities.

Interested? Read on!

You will be working within a great team and supporting them in their daily activities and projects.

Your Tasks and Responsibilities

  • Develops and performs stress test calculations using internal credit risk models and stress testing methods for Sberbank Europe AG and its subsidiaries' portfolios across diverse asset classes
  • Develops and executes regulatory and supervisory stress test processes and related calculations required by EBA and national regulatory authorities
  • Monitors and understands macroeconomic environment, identifies risk factors, interprets their economic and statistical characteristics, desigs and develops corresponding scenarios based on macroeconomic data and forecasts for Sberbank Europe AG and its subsidiaries'
  • Responsible for model development and back testing of risk parameters (PD, LGD) within the IFRS 9 framework, yearly update of IFRS 9 models and implementation of model parameters onto the IFRS 9 impairment tool, ensure model correctness via various statistical tests
  • Implements and performs reverse stress testing, supports for accomplishing recovery and resolution plan
  • Provides comprehensive documentation about ICAAP Stress Test methodologies and procedures, risk parameter developments, model results and analysis
  • Provides presentation, interpretation and explanation of risk models, methods and stress testing results to management board, as well as to internal and external stakeholders, who rely on model results, prepare management board applications
  • Supports data requests, code design and development for colleagues within the department
  • Acts as point of contact for validators, auditors and regulators as well as colleagues at various departments and countries in credit risk related projects, exercises and parameters
  • Close cooperation with and active support of various departments in the group and subsidiary banks, such as Market Risk, Operational Risk, ALM, Capital Planning, Business Intelligence, Workout and Controlling

Your Profile

  • University degree (preferably master's) in economics, econometrics, finance or applied mathematics
  • At least 5 years as a risk manager at a financial institution, preferably in a field of ICAAP, quantitative model development or validation experience is an advantage
  • Work experience in risk management areas at banks or insurance companies is preferred
  • All-round understanding of banking business lines, processes and products
  • Knowledge of risk management regulatory requirement, CRR, CRD, EBA guidelines, capital ratios, IFRS 9, stress testing
  • Modeling experience in various credit risk parameters, such as PD, LGD, CCF, econometric and quantitative modeling methods
  • Fluent in English, German and other CEE languages are advantageous
  • General IT skills, MS Office, Programming skills in SQL and SAS required, other programming languages, such as VBA, R and Matlab advantageous
  • Ability to communicate with stakeholders at various levels of seniority, such as auditors, supervisors or senior management

Your Chance

  • We acknowledge and reward good performance
  • We offer personal and professional development through your career
  • Be part of the committed and successful Sberbank Europe team
  • Gather international experience in a dynamic and forward-moving environment

Annual Gross salary starting from EUR50.000,- based on our collective bargaining agreement (for 38,5 hours/week) - additional payment according to skills and experience. The position can be filled as soon as possible.

Interested?

We`re looking forward to your online application!

Sberbank Europe AG
Schwarzenbergplatz 3, 1010 Vienna, Austria
Tel.: +43 1 22732 0
https://www.sberbank.at

SBERBANK Europe AG

Banken, Finanz, Versicherung
101 - 500 Mitarbeiter

Über uns

Sberbank Europe AG, headquartered in Vienna, is a banking group that is 100% owned by Sberbank Russia. Since Sberbank Russia acquired Volksbank International (VBI) in 2012 and rebranded it into Sberbank Europe, major steps have been taken to gradually transform Sberbank Europe into a fully-fledged, self-funded…

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