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Market and Liquidity Risk Modeller (m/f), Bratislava

Erste Group Bank AG is the corporate headquarter for a group of leading banks in Central and Eastern Europe (CEE), enjoying continued growth and stability in one of the most interesting and promising regions in Europe. We provide strategic leadership, central business functions and groupwide infrastructure, supported by bright and talented people sharing a common strategy.

The Risk Division (Holding) has set up a Service center (Erste Group Service Center, EGSC) in Bratislava. The EGSC will supplement the existing structure of the Risk Division. The Bratislava service center is supposed to offer services for the Risk Division in Vienna related to the operations quantitative methods and validation, compliance, projects and reporting. The unit “Market and Liquidity Risk Methods and Models” is responsible for:
• development of models for market risk liquidity risk used for internal steering and regulatory use,
• running and developing a VaR-model for regulatory purposes ("Internal Market Risk Model"),
• calculation of capital requirements for market risk for Pillar 1 and Pillar 2 using the internal model,
• continuous review and quality assurance of market and liquidity risk models,
• oversight of group wide consistent implementation of market and liquidity risk models,
• performing impact analysis for regulatory changes and best practice developments on the covered risk types.

The key focus of the position is to support the banks development of existing and new methods and models for measuring liquidity risk. This includes
• Models for the integration of liquidity risk into the internal capital adequacy and common currency of risk framework
• Development of models for estimating potential outflows of different product classes and other parameters used in cash-flow based liquidity risk models
• Define data requirements and processes for setting model parameters and model calibration
• Regular benchmarking of existing models against regulatory standards and market best practice
• Strong co-operation with other departments responsible for liquidity risk steering, liquidity management, model validation and subsidiaries

YOU:
  • are a graduate with quantitative background in statistics, mathematics or IT
  • have knowledge in at least one of the following fields: financial products valuation, risk methodologies for Trading and Banking Book, liquidity risk management
  • have 1+ years of experience in model development for capital markets products or experience in a comparable role (Market Risk, ALM, Liquidity Management, Financial engineering)
  • have advanced IT skills covering VBA, C++, SQL,
  • have a cooperative working style, good organization skills to foster the collaboration with other members of the team and related departments
  • have ability to work under pressure
  • are proficient in English language. German and/or CEE language of advantage
WE:
  • offer a challenging opportunity to work with us on the development and implementation of best practice risk methodologies in the area of market and liquidity risk
  • offer a very diverse job in an interesting and dynamic field with excellent perspectives
  • offer to work in an international team
  • support your professional and personal development
You will be directly employed under Slovak labour conditions and will be integrated in the Holding team

INTERESTED?
We are looking forward
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ID: 2217416  Dátum zverejnenia: 11.8.2015