Head of Market Risk Modelling

Head of Market Risk Modelling

BAWAG Group is the listed holding company of BAWAG, one of Austria´s largest banks with more than 4 million customers.
As a dynamic employer, we promote talent and drive technological innovation forward at a rapid pace.
Flat hierarchies, a flexible working environment and equal opportunities for our employees are particularly important to us.

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.

Your 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

Your Profile

• Degree in Business Informatics, Economics, or a comparable qualification
• Good understanding of financial mathematics and familiarity with treasury products; experience in market and/or liquidity risk
• Strong knowledge in reporting, data analysis, and data preparation; experience with risk systems (e.g., OneSumX, QRM, Ambit) and/or treasury front‑office systems (e.g., Kondor+, Front Arena)Solid IT skills, especially SQL and MS Office (Excel); additional programming skills (e.g., Java, VBA, batch scripting) are an advantage
• High interest in modern data‑driven technologies and the ability to leverage AI/ML tools where beneficial
• Willingness to learn, excellent analytical skills, and a structured, goal‑oriented working style
• Fluency in English, both written and spoken; German is an advantage

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 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 EUR 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: Jutta Durstberger +43 664 80998 22099

• 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.

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Vienna

BAWAG Group