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.
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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.
#J-18808-Ljbffr
