Head of Market Risk Modelling

BAWAG Group; Wien; Vor Ort; EUR 46.946 - 57.379; Vollzeit

Benefits dieser Stelle

Individual training program

Career planning support

Access to BAWAG Academy

Additional benefits

Zusammenfassung

BAWAG Group in Vienna is looking for a Head of Market Risk Modelling. This role includes leadership of a quantitative modelling team, ensuring the robustness of ALM, IRRBB, and stress testing models. You will be responsible for model governance and act as a senior contact for internal validations and supervisory reviews.

The ideal candidate holds a Master’s or PhD in a quantitative discipline and has extensive experience in a banking environment. A competitive salary and attractive benefits are offered.

Qualifikationen

• Extensive experience in quantitative risk modelling within a banking environment.
• Deep understanding of ALM, IRRBB, liquidity risk, stress testing, and behavioural modelling.
• Strong familiarity with regulatory expectations related to ICAAP/ILAAP and stress testing.

Aufgaben

• Lead the quantitative modelling team and oversee model governance.
• Ensure consistent application of models across ALM and IRRBB frameworks.
• Act as a senior point of contact for internal validation and supervisory reviews.

Kenntnisse

Quantitative risk modelling

ALM

IRRBB

Liquidity risk

Stress testing

Ausbildung

Master’s or PhD degree in a quantitative discipline

Jobbeschreibung

Role Purpose

The Head of Market Risk Modelling is responsible for the strategic direction, governance, and methodological soundness of behavioural, ALM, IRRBB, liquidity, and stress testing models. The role ensures that models are robust, regulatorily compliant, and consistently applied across baseline measurement and stress testing frameworks, supporting both risk management and balance‑sheet steering.

Key Responsibilities

• Disciplinary and functional leadership of the quantitative modelling team covering:
  • Prepayment models for loan portfolios
  • Replication and behavioural maturity models for Non‑Maturity Deposits (NMD)
  • Customer behaviour models applied in liquidity risk and stress testing
  • IRRBB metrics including EVE, NII, and VaR‑based approaches
  • Credit spread and CSR‑related models in the banking book
• End‑to‑end accountability for model usage across normal and stressed conditions, including:
  • Definition and approval of stress testing methodologies, assumptions, and overlays
  • Assessment of model behaviour under adverse and reverse stress scenarios
• Ensure consistent model application across:
  • ALM and IRRBB measurement
  • ICAAP and ILAAP stress testing frameworks
  • Recovery‑relevant and idiosyncratic stress scenarios
• Oversight of model governance, including:
  • Model approval, monitoring, recalibration, and change management
  • Definition of model limitations, stress‑specific constraints, and fallback approaches
• Act as senior point of contact for:
  • Internal model validation
  • Internal audit
  • Supervisory reviews and stress test assessments (ECB/SSM, national authorities)
• Prioritisation of model development and remediation initiatives, including stress test‑driven enhancements

Requirements

• Master’s or PhD degree in a quantitative discipline
• Extensive experience in quantitative risk modelling within a banking environment
• Deep understanding of ALM, IRRBB, liquidity risk, stress testing, and behavioural modelling
• Strong familiarity with regulatory expectations related to ICAAP/ILAAP and stress testing
• Proven people‑management and senior stakeholder experience
• Excellent English skills

Key Competencies

• Strategic thinking and strong governance mindset
• Ability to link stress testing outcomes to management actions and risk appetite
• High credibility in supervisory interactions

Our Offer

• 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 élarning 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 annual gross salary of € 52,163.02 on a full‑time basis. Depending on your experience and qualifications, we are willing to offer a higher salary.

Equal opportunity is important to us – regardless of age, gender, sexual orientation, physical impairment, religion or origin.