Senior Expert* Market Risk Modelling

Senior Expert* Market Risk Modelling

BAWAG Group ist die börsennotierte Holdinggesellschaft der BAWAG, die mit mehr als 4 Mio. Kunden eine der größten Banken in Österreich ist.
Als dynamischer Arbeitgeber fördern wir Talente und treiben technologische Innovationen schnell voran.
Flache Hierarchien, ein flexibles Arbeitsumfeld und Chancengleichheit für unsere Mitarbeiterinnen und Mitarbeiter sind uns dabei besonders wichtig.

Role Purpose

The Senior Expert serves as technical lead and model owner for behavioural, ALM, and stress testing models, ensuring methodological robustness, stability under stress, and regulatory defensibility across their full lifecycle.

Key Responsibilities

• Development, calibration, and maintenance of:
• Prepayment models for loan portfolios
• Replication and behavioural maturity models for NMD
• Customer behaviour models for liquidity risk and stress testing
• IRRBB and VaR‑based interest rate and credit spread risk models
• Design and implementation of stress testing methodologies, including:
• Translation of macroeconomic and rate shock scenarios into model inputs
• Development of stress‑specific overlays and expert judgements
• Analysis of non‑linearities and behavioural shifts under stress
• Execution of:
• Backtesting, sensitivity analyses, and stability testing (baseline vs stressed)
• Periodic recalibration triggered by stress test findings or model performance
• Preparation of comprehensive model documentation, including stress test usage, limitations, and assumptions
• Primary technical interface to:
• Internal model validation
• Stress testing reviews and remediation processes
• Support supervisory examinations, ICAAP/ILAAP submissions, and ad‑hoc stress analyses

Requirements

• Master's or PhD degree in a quantitative field
• Several years of hands‑on experience in quantitative modelling within a banking context
• Strong expertise in:
• Statistical and behavioural modelling
• ALM, IRRBB, liquidity risk, and stress testing frameworks
• Advanced programming skills (e.g. Python, R, SQL)
• Solid understanding of regulatory expectations
• Excellent English skills

Key Competencies

• Strong sense of model ownership across baseline and stress usage
• High analytical rigour and attention to methodological consistency
• Ability to clearly explain base and stress test model impacts

Our Offfer

• You will spend 50% of your working time in our modern and easily accessible office at Vienna Central Station
• We support your personal development and career planning with an individual and attractive training program. Visit our BAWAG Academy and use our GoodHabitz elearning platform for both your professional and personal growth
• In addition, we offer a range of interesting and valuable additional benefits

For this position, the collective agreement stipulates a minimum monthly gross salary of EUR 3.375,40 on a full-time basis. Depending on your experience and qualifications, we are willing to offer a higher salary.

Your contact person: Sophie Piehslinger (+43 (0) 59905-22368)

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