Head of Market Risk Modelling (m|f|x) Vienna

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

The Head of Market Risk Modeling is responsible for the strategic direction, governance, and methodological soundness of behavioral, ALM, IRRBB, liquidity, and stress testing models.

The role ensures that models are robust, compliant with regulatory requirements, and consistently applied across baseline measurement and stress testing frameworks, supporting both risk management and balance sheet management.

Tasks

• Disciplinary and functional leadership of the quantitative modeling team, covering:

• Prepayment models for loan portfolios
• Replication and behavioral maturity models for Non-Maturity Deposits (NMD)
• Customer behavior 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 under both normal and stressed conditions, including:

• Definition and approval of stress testing methodologies, assumptions, and overlays
• Assessment of model behavior 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

• Serve as the senior point of contact for:

• Internal model validation
• Internal audit
• Supervisory reviews and stress test assessments (ECB/SSM, national authorities)

• Prioritization of model development and remediation initiatives, including stress test-driven enhancements

Profile / Your qualification / Your personality

Requirements

• Master’s or PhD degree in a quantitative discipline
• Extensive experience in quantitative risk modeling within a banking environment
• Deep understanding of ALM, IRRBB, liquidity risk, stress testing, and behavioral modeling
• Strong familiarity with regulatory requirements related to ICAAP/ILAAP and stress testing
• Proven experience in people management and working with senior stakeholders
• Excellent English skills
  

Key Competencies

• Strategic thinking and a strong focus on governance
• Ability to link stress testing outcomes to management actions and risk appetite
• High credibility in interactions with supervisory authorities

That awaits you

• 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 a personalized and attractive training program. Visit our BAWAG Academy and use our GoodHabitz e-learning platform to further both your professional and personal growth.
• In addition, we offer a range of interesting and valuable additional benefits.

For this position, the collective bargaining 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.

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Contact

Location

Wiedner Gürtel 11, AT-1100 Vienna