2018-03-12 Involvement in the development, calibration and documentation of a Merton-style portfolio model for credit risk; Developing proficiency in manipulating

Quantitative Modeler – Risk Methods and Analytics (f/m)

Dienstort Wien Wien Unternehmen Raiffeisen Bank International AG
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Beschäftigungsart Vollzeit Position ohne Personalverantwortung Gehaltsangabe 46.500,00 € /brutto Jetzt online bewerben

International business requires an international corporate philosophy. Are you open to new ideas and do you value cultural diversity? At Raiffeisen Bank International, we are pleased to have more than 14 million customers in 14 CEE countries. And our journey continues – with exciting new issues for us to tackle such as digitalisation and changing customer needs. Join us on our journey.

Quantitative Modeler – Risk Methods and Analytics (f/m)

The department Risk Methods and Analytics uses statistical and mathematical methods to develop predictive models used primarily in credit risk management within the Basel & IFRS 9 framework. Team members have diverse numerical backgrounds ranging from mathematics and statistics to business with a strong quantitative focus. Typical applications are development of credit rating models, macro-economic stress testing models or the credit portfolio model. Additionally, we use our predictive modelling competence on a number of (big) datasets to develop decision models for a wider range of business problems. Key success factors in our modelling projects are analytical skills, fast understanding of the business context and project execution.

We are looking for an ambitious quant with excellent academic background and sound business acumen. The ideal candidate has already gained several years of relevant experience; however exceptionally strong junior candidates can also be taken into consideration. The main activity of the candidate will be the improvement and further development of our Merton-style credit portfolio model.

What you can expect:
  • Involvement in the development, calibration and documentation of a Merton-style portfolio model for credit risk
  • Developing proficiency in manipulating data and knowledge of relevant internal and external databases
  • Training and consulting of model end users
  • Calculation of Standard Risk Cost Charges and Economic Capital Charges for Pricing and Performance Measurement
  • Maintaining state of the art knowledge on relevant regulatory and modelling issues

What you bring to the table:
  • University degree in mathematics, statistics, econometrics or business/economics with strong quantitative focus (Master, PhD)  
  • At least 2 years of work experience in quantitative finance, ideally with a credit/market risk or IT focus
  • Excellent programming skills in Matlab and/or R and readiness to learn further. Know-how in SQL, low level programming languages and general IT affinity is highly appreciated
  • Experience with analyzing and manipulating large datasets, model development for quantitative finance, application of statistical techniques to real life problems and Monte Carlo simulations
  • Knowledge regarding Basel II / Basel III is appreciated
  • Ability to communicate complex matters in an understandable manner
  • You are self-motivated, focused, result-oriented, resilient and communicative

What we offer:
  • You’ll work in an international team at a leading bank
  • You’ll benefit from flexible working arrangements and determine your own work-life balance
  • You’ll benefit from the very latest in tailored professional development
  • You’ll earn an appropriate salary starting at EUR 46.500,- gross p.a. excluding overtime

RBI AG is committed to creating a diverse environment and is proud to be an equal opportunity employer. All qualified applicants will receive consideration for employment without regard to age, ethnicity, race or color, national origin, religion, political or other opinion, sex, sexual orientation or disability.

We are looking forward to receiving your online application!

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