Hea­d of ­Mar­ke­t ­Ris­k ­Mo­del­ling

• 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

• 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

• 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 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.

Your contact person: Sophie Piehslinger (+43 (0) 59905-22368)

We value people. Would you like to work in a team where good cooperation and diversity are actively practiced? Then you've come to the right place. Equal opportunity is important to us - regardless of age, gender, sexual orientation, physical impairment, religion or origin.