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Credit Risk Stress Test and Simulations Specialist (m/f)
Erste Group Bank AG
October 2, 2018
Erste Group was founded in 1819 as the first Austrian savings bank and today it is one of the largest banking groups in Central and Eastern Europe (CEE). As an attractive employer, Erste Group offers interesting career opportunities in an international environment.
Credit Risk Simulations is part of the Department „Credit RWA Management and Simulation", which belongs to Enterprise wide Risk Management. Credit Risk Simulations main tasks are proper, timely and high quality computation of all forward looking parts of credit RWAs, primarily Credit risk Stress tests and Group -wide Credit RWA impact calculation. To the responsibilities belongs also communication to the regulator and quantitative support of other colleagues in the department as well as in Austrian subsidiaries. An ideal candidate has a quantitative background, sound credit risk experience and is an excellent team player. You will be supported by a highly performing team to help you to achieve your responsibilities.
contribute to all team activities as regards to the performance of group-wide stress tests both for external stakeholders (mainly EBA and OeNB) and for internal steering purposes
enhance stress testing capabilities and undertake comprehensive (through all risk types) and reverse stress tests, credit risk sensitivities, historical and scenario-based exercises
take over the direct responsibility for the end to end process of a dedicated part of the stress testing programme
are responsible for preparation, computation and reporting of portfolio insights out of stress tests and translation of the results into recommendations to senior management
participate in the maintenance, development and enhancement of the credit risk stress testing infrastructure and RWA simulation platforms
provide support to the team's agenda in continuously improving the methodological stress testing framework of the group
liaise with other groups in the bank to coordinate the stress test process and support the local entities as needed
lead and participate in working groups related to risk-based steering
have sound experience in banking, ideally across the different business segments and types of risks (particularly credit and market risk)
provide excellent understanding of business and economics, ideally with previous exposure to either portfolio management, credit risk management, asset-liability management or macro-economic research
are motivated and able to work under pressure and tight deadlines
possess strong analytical, quantitative and data handling skills and you pay attention to detail
are familiar with statistical analysis/programming languages packages like SAS, SQL and VBA, advanced programming knowledge is an advantage
speak English fluently, knowledge of German and CEE languages is an advantage
offer a great opportunity for a motivated individual to join a highly skilled international team which has a track record in providing the group's management with essential high quality steering and management information
offer an opportunity to enhance the group's risk management platform and framework with your talent
guarantee a competitive and performance-related salary dependent on your professional and personal qualifications. We are obliged by law to quote the minimum wage of EUR 36.926,-- gross per year for this position, in accordance with the respective collective agreement.
Interested? We are looking forward to hearing from you!
Degree of Employment: Full-Time
Primary Location: Vienna
Internal Number: 4625327
About Erste Group Bank AG
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