Lead Market Risk Modelling – Stress & ALM Expert

BAWAG Group; Wien; Vor Ort; EUR 34.279 - 41.059; Vollzeit

Benefits dieser Stelle

Vienna office near Central Station

BAWAG Academy training program

GoodHabitz e-learning platform

Additional benefits

Zusammenfassung

BAWAG Group in Vienna seeks a Senior Expert to act as a technical lead and model owner for behavioural, ALM, and stress testing models across their lifecycle. The role ensures methodological robustness and regulatory defensibility while coordinating with validation, stress testing reviews, and ICAAP/ILAAP processes.

The candidate will design and calibrate models, backtest and recalibrate as needed, and document usage, limitations, and assumptions while maintaining strong interfaces with

Qualifikationen

• Master’s or PhD 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 in Python, R, and SQL.
• Solid understanding of regulatory expectations.
• Excellent English skills.

Aufgaben

• Develop and maintain prepayment models for loan portfolios and behavioural maturity models for NMD.
• Design stress testing methodologies and translate macro scenarios into model inputs.
• Execute backtesting, sensitivity analyses and stability testing (baseline vs stressed).
• Periodically recalibrate models based on stress findings or performance.
• Prepare comprehensive model documentation including stress test usage, limitations and assumptions.
• Serve as the primary technical interface to internal model validation and stress testing reviews.

Kenntnisse

ALM

IRRBB

Liquidity risk

Stress testing

Statistical modelling

Behavioural modelling

Python

R

SQL

Ausbildung

Master’s or PhD in a quantitative field

Tools

Python

R

SQL

Jobbeschreibung

BAWAG Group in Vienna seeks a Senior Expert to act as a technical lead and model owner for behavioural, ALM, and stress testing models across their lifecycle. The role ensures methodological robustness and regulatory defensibility while coordinating with validation, stress testing reviews, and ICAAP/ILAAP processes.

The candidate will design and calibrate models, backtest and recalibrate as needed, and document usage, limitations, and assumptions while maintaining strong interfaces with