Senior Expert* Market Risk Modelling

BAWAG Group; Wien; On-site; EUR 34,279 - 41,059; Full time

Benefits offered by this job

Vienna office near Central Station

BAWAG Academy training program

GoodHabitz e-learning platform

Additional benefits

Job summary

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

Qualifications

• 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.

Responsibilities

• 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.

Skills

ALM

IRRBB

Liquidity risk

Stress testing

Statistical modelling

Behavioural modelling

Python

R

SQL

Education

Master’s or PhD in a quantitative field

Tools

Python

R

SQL

Job description

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 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 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 € 3,375.40 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.