Head of Market Risk Modelling Stellendetails

Head of Market Risk Modelling

BAWAG Group is the publicly listed holding company of BAWAG, which, with more than 4 million customers, is one of the largest banks in Austria. 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.

Key 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

Requirements

Master’s or PhD degree in a quantitative discipline
Extensive experience in quantitative risk modelling within a banking environment
Deep understanding of ALM, IRRBB, liquidity risk, stress testing, and behavioural modelling
Strong familiarity with regulatory expectations related to ICAAP/ILAAP and stress testing
Proven people‑management and senior stakeholder experience
Excellent English skills

Key Competencies

Strategic thinking and strong governance mindset
Ability to link stress testing outcomes to management actions and risk appetite
High credibility in supervisory interactions

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 € 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: 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.