Market Risk Control is a central independent risk control unit within Strategic Risk Management of Erste Group Bank AG.
The main responsibilities of the unit are
- VaR model development and risk calculation
- Liquidity Risk Management
- Banking Book Risk Management
for Erste Group.
The goal of the data generation process is to ensure the availability of a quality controlled set on a daily basis by the end of day. Quality control is done by means of data analysis to detect outliers of specific instruments quotes as well as inconsistencies among data points (e.g. points of a curve). Clarification of the reasons, corrections and documentation are important elements for a sound operation. Some data is not direct observable but needs to be generated, e.g. zero and credit curve stripping, constant maturities generation or volatility surfaces - for which the performance of several calculation steps and the administration of instrument sets (e.g. issuer bond sample) is necessary. Furthermore the history generation of market data and the performance of a similar quality control is as well part of the job. Here in addition specific procedures to fill up missing data by proxy rates are an important part of the overall concept.
… analyse and administer market data of financial instruments (equities, interest rates, credit spreads, fx rates, commodities and all related volatilities) needed for valuation and risk analysis of Erste Groups positions in financial instruments.
… ensure the availability of all necessary data for the market risk (VaR-) system and to take care for the fulfilment of all related requirements (quality assurance, generation logic, reporting and documentation)
… cooperate and share tasks with other colleagues who are engaged in the market data collection process for other systems and contribute towards the setup of renewed, as much as possible streamlined and merged workflows within a Central Market Data System
… take over responsibility for a dedicated market data subset - with a primary focus on the process of credit spread generation
… guide a team of younger part time colleagues, who supports us in operations, having a focus on market data generation and quality assurance particular during the end of day process. For this reason regular later working hours - Monday to Friday till 19:00 - are required
... are a graduate with background in financial markets, statistics, mathematics, IT or specific experience in financial markets
... have a strong interest in financial markets, products and related financial time series analysis
... have a strong affinity to work with data and the specific working hours match to your private life
… possess of advanced IT knowledge, which should cover SQL, VBA
... have ideally related previous work experience, knowledge of market information systems (Bloomberg, Reuters) and front office systems
... speak English fluently, German is beneficial
… have a cooperative working style, good organisation skills to foster the collaboration among diverse team members in an environment where workflows are newly created;
… hold a work permit for Austria/EU
… offer you a challenging opportunity to work with us on the development and implementation of best practice risk methodologies in the area of market risk. Data management for financial risk management offers you a diverse insight into financial markets and constitutes a foundation and key prerequisite for high quality risk analysis
… support your professional and personal development
… guarantee payment according to your personal qualifications and experience, but definitely a minimum of EUR 27.260,- gross annual income based on the official national "Kollektivvertrag" (independent of number of school years, final degrees and former employment). A market competitive based salary is taken for granted
- vor 17 Monaten