Senior Market Risk Manager (m|f|x) Vienna

This position is part of the Market Risk Management agile organization (Tribe) within Product HO Market Risk Management. Working in an agile environment, the Tribe manages market and counterparty risks at the Group level through measurement, monitoring, reporting, and control across all asset classes and entities. The team maintains regulatory frameworks and risk methodologies, supports relevant risk committees, and contributes to standards; it also implements all models and systems for market risk, valuation, and counterparty risk management.

Tasks

• Analyze outputs from daily risk measurement, stress testing, and back testing across market risk types (e.g., FX, structural FX, interest rate, credit spread, equity option, and correlation risks) for the main HO portfolios.
• Monitor market risk limits (e.g., VaR, BPV, sensitivities, stop-loss) and document recommendations for handling limit breaches.
• Review market risk limit applications and contribute to risk appetite, limit frameworks, strategies, and scenario design; discuss exposures and assumptions with stakeholders (e.g., traders, treasury, business units).
• Prepare regular and ad-hoc regulatory and management reports (e.g., RWA analysis, back-testing exceptions, prudent valuation, stress testing, portfolio analyses) and explain results to senior stakeholders and regulators where applicable.
• Support Network Banks on market risk topics (e.g., Basel IV, stress testing, FX and interest rate risk measurement, product introductions) and collaborate with internal/external partners such as auditors, regulators, local treasurers, and risk teams.
• Contribute to new product approval by assessing market and counterparty risk implications and coordinating with model developers/analysts to integrate products into risk calculations and monitoring.
• Coordinate with partners across RBI (e.g., Credit Portfolio Management, Business Units, Treasury) to align inputs, resolve dependencies, and deliver risk analyses.
• Take ownership of project work (projects, sub-projects, or workstreams): define deliverables, manage stakeholders, and track outcomes through to completion.
• Share knowledge within the team and support colleagues through coaching and peer review.

Profile / Your qualification / Your personality

• Bachelor’s degree, preferably in Finance, Mathematics, Statistics, Engineering, or a related quantitative field; an advanced degree is a plus.
• Practical experience in market risk management, risk analytics, or a comparable quantitative risk function (typical background: 7–10 years) within a financial institution, consulting firm, or a related environment.
• Working knowledge of financial instruments such as bonds, derivatives, options, and structured products, and how their risks are measured and reported.
• Practical experience with market risk measures and methods (e.g., VaR, Expected Shortfall, stress testing, sensitivities/Greeks) and how they are applied to portfolios.
• Knowledge of regulatory market risk topics (e.g., FRTB, Standardized Approach, Open FX Risk) and the ability to translate requirements into monitoring and reporting practices.
• Quantitative modeling and validation skills; experience using Python (or similar) for data analysis, automation, and risk metric calculations.
• Interest in using automation and AI-enabled tools to improve risk monitoring, controls, and reporting workflows.
• Excellent communication skills; able to present complex risk findings clearly to traders, desk heads, and senior non-technical stakeholders
• A collaborative work style and experience coordinating across functions to deliver results under time-sensitive conditions.

That awaits you

• Flexible work week: Flexible hours, work-from-home options from Austria, and 30 days/year of remote work from any EU country.
• Global community: 75+ nationalities, English as the company language, and work permit support. Find out more about international applications here.
• Career growth: We believe in continuous learning and proactive career development. Take on challenging work that pushes your limits, attend training sessions, and use new technologies to make a lasting impact.
• Stay healthy: Subsidized cafeteria, wellness programs, health screenings, and fitness allowances.
• Save money: Discounts, exclusive banking terms, and a heavily subsidized public transit pass.
• Family support: Child allowances, gender-neutral parental leave, a bilingual company daycare, and holiday childcare.
• Competitive salary: Starting at EUR 67,400 gross per year, including overtime, with market-competitive compensation based on experience and qualifications. We’d be happy to discuss your actual salary in person.

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Contact

Location

Am Stadtpark 9, AT-1030 Vienna