Company: Sberbank Europe AG
Location: Wien, W


Wien, W

The Senior Risk Manager and Stress Test Expert is responsible for the Group and country level stress testing, across all risk types and product lines, integrat… 1 Senior Risk Manager and Stress Test Expert (m/f)

Your Tasks and Responsibilities

+ Develops and performs stress test calculations using internal credit risk models

and stress testing methods for Sberbank Europe AG and

its subsidiaries’ portfolios across diverse asset classes

+ Develops and executes regulatory and supervisory stress test processes

and related calculations required by EBA and national regulatory authorities

+ Monitors and understands macroeconomic environment, identifies risk factors, interprets their economic

and statistical characteristics, desigs and develops corresponding scenarios based on macroeconomic data

and forecasts for Sberbank Europe AG and its subsidiaries’

+ Responsible for model development and back testing of risk parameters (PD, LGD)

within the IFRS 9 framework, yearly update of IFRS 9 models

and implementation of model parameters onto the IFRS 9 impairment tool,

ensure model correctness via various statistical tests

+ Implements and performs reverse stress testing, supports for accomplishing recovery and resolution plan

+ Provides comprehensive documentation about ICAAP Stress Test methodologies and procedures,

risk parameter developments, model results and analysis

+ Provides presentation, interpretation and explanation of risk models, methods

and stress testing results to management board,

as well as to internal and external stakeholders, who rely on model results,

prepare management board applications

+ Supports data requests, code design and development for colleagues within the department

+ Acts as point of contact for validators, auditors and regulators as well

as colleagues at various departments and countries in credit risk related projects,

exercises and parameters

+ Close cooperation with and active support of various departments in the group and subsidiary banks,

such as Market Risk, Operational Risk, ALM, Capital Planning, Business Intelligence,

Workout and Controlling

Your Profile

+ University degree (preferably master’s) in economics, econometrics, finance or applied mathematics

+ practical knowledge as a risk manager at a financial institution, preferably in a field of ICAAP,

quantitative model development or validation experience is an advantage

+ Work experience in risk management areas at banks or insurance companies is preferred

+ All-round understanding of banking business lines, processes and products

+ Knowledge of risk management regulatory requirement, CRR, CRD, EBA guidelines, capital ratios,

IFRS 9, stress testing

+ Modeling experience in various credit risk parameters, such as PD, LGD, CCF, econometric

and quantitative modeling methods

+ Good in English, German and other CEE languages are advantageous

+ General IT skills, MS Office, Programming skills in SQL and SAS required,

other programming languages, such as VBA, R and Matlab advantageous

+ Ability to communicate with stakeholders at various levels of seniority, such as auditors,

supervisors or senior management

Your Chance

+ We acknowledge and reward good performance

+ We offer personal and professional development through your career

+ Be part of the committed and successful Sberbank Europe team

+ Gather international experience in a dynamic and forward-moving environment

Annual Gross salary starting from €50.000,- based on our collective bargaining agreement (for 38,5 hours/week) – additional payment according to skills and experience. The position can be filled as soon as possible.

Das Mindestentgelt für die Stelle als Senior Risk Manager and Stress Test Expert (m/f) beträgt 50.000,00 EUR brutto pro Jahr auf Basis Vollzeitbeschäftigung. Bereitschaft zur Überzahlung.