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. 1 Head of Market Risk Modelling 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.

• 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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