Job Summary

Ensuring control, management and monitoring related. This position includes tasks related to the MRM of the trading book and limit monitoring, as well as functional lead of FX risk management. Core tasks are the periodic monitoring of all market risk limits and P&L reporting, including escalation process in case of limit breaches. In addition, development of new models and processes in the area of trading book and FX risk is covered by this role.

Your Tasks and Responsibilities

  • Daily reporting of market risk limits (under the trading portfolio) and continuous maintenance/improvement of the framework (including documentation)
  • Daily counterparty limit monitoring (according CRR and the internal view) and SME in the related methodology on exposure calculation
  • Taking the lead in risk budgeting and the annual market risk limit review process of the trading portfolio with stakeholders across the group and divisions
  • Knowledge and support with various new regulatory topics, e.g. Basel IV (FRTB, SA-CCR)
  • Maintenance and continuous development of the economic capital model for currency risks (including model validation and documentation)
  • Regular contribution to various committees
  • Performing independent price verification (IPV) and its reporting to ALCO
  • Project lead/participation in projects driven by external (regulatory) or internal (business) requirements

Your Profile

  • Master’s degree in mathematics, physics or finance
  • FRM, CFA or equivalent beneficial
  • At least 3 years in Market Risk
  • Deep knowledge of financial market products, their pricing and risk characteristics
  • Technical skills required: SQL, VBA
  • Knowledge of Bloomberg / Reuters is an advantage
  • English mandatory, German and CEE language beneficial

Seniority: 5-8 yrs
Job Type: Permanent
Job Location: Vienna

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