Se­nior ­Ex­per­t* ­Mar­ke­t ­Ris­k ­Mo­del­ling

• 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 modellingALM, IRRBB, liquidity risk, and stress testing frameworksAdvanced programming skills (e.g. Python, R, SQL)Solid understanding of regulatory expectationsExcellent English skills
• Key CompetenciesStrong sense of model ownership across baseline and stress usageHigh analytical rigour and attention to methodological consistencyAbility to clearly explain base and stress test model impacts

• 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.
• Development, calibration, and maintenance of:Prepayment models for loan portfoliosReplication and behavioural maturity models for NMDCustomer behaviour models for liquidity risk and stress testingIRRBB 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 inputsDevelopment of stress‑specific overlays and expert judgementsAnalysis 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 performancePreparation of comprehensive model documentation, including stress test usage, limitations, and assumptions
• Primary technical interface to:Internal model validationStress testing reviews and remediation processesSupport supervisory examinations, ICAAP/ILAAP submissions, and ad‑hoc stress analyses

• 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.

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.