Head of Market Risk Modelling

Confidential client

ViennaFull-timefrom € 52,163 gross/year

The position holds the professional responsibility for the strategic direction and governance of market risk models, particularly for behavioral, ALM, IRRBB, liquidity, and stress test models. The goal is to ensure robust and regulatory-compliant models that are consistently applied in both normal and stress scenarios.

Your responsibilities

Disciplinary and professional leadership of the quantitative modeling team
Responsibility for prepayment models in credit portfolios
Responsibility for replication and behavioral maturity models for non-maturing deposits
Management of customer behavior models for liquidity risk and stress tests
Responsibility for IRRBB metrics such as EVE, NII, and VaR approaches
Management of credit spread and CSR-related models in the banking book
Definition and approval of stress test methodologies, assumptions, and overlays
Assessment of model behavior under adverse and reverse stress scenarios
Monitoring of model governance including monitoring, recalibration, and change management

Your profile

Master's or PhD degree in a quantitative field
Extensive experience in quantitative risk modeling within the banking environment
Deep understanding of ALM and IRRBB
Solid knowledge in liquidity risk and stress tests
Experience with behavioral modeling for loans and deposits
Knowledge of credit spread and CSR models in the banking book
Familiarity with regulatory expectations for ICAAP/ILAAP and stress tests
Proven experience in personnel management and stakeholder management
Strategic thinking and strong governance orientation
Excellent English skills

Benefits

50% of working time at the office at Vienna Central Station
Modern and easily accessible office
Support for personal development
Support in career planning
Individual and attractive training program
Access to an internal academy
Access to an e-learning platform
Opportunities to use learning resources for professional and personal development
Various interesting and valuable additional benefits
Equal opportunities regardless of age, gender, sexual orientation, physical impairment, religion, and origin

About the company

The recruiting company is seeking to strengthen its team at the Vienna location.

The client is treated confidentially in this process. You will learn the name during the application process.

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Your contact person

Julia Steiner

Talent Acquisition Specialist

If your profile matches, your contact person will personally reach out to you.

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