Internship in Market and Liquidity Risk Model Validation (f/m/d)

Job Overview

Erste Bank

So do we.
Working at Erste Group means pursuing a common goal and being enthusiastic about shared values. We always treat one another with respect, empathy, and understanding for our diverse backgrounds. This applies to our customers as well as to our employees.

Internship in Market and Liquidity Risk Model Validation (f/m/d)

Erste Group was founded in 1819 as the first Austrian savings bank and today it is one of the largest banking groups in Central and Eastern Europe (CEE). As an attractive employer, Erste Group offers interesting career opportunities in an international environment.

Market and Liquidity Risk Model Validation is responsible for the independent review and validation of VaR and VaR related market risk methods and models, as well as any model for measuring risk (including the interest rate or the credit spread risk of the trading and banking book). They are also responsible for Models for derivatives or securities valuation and related functionality (e.g., CVA, interpolators, bootstrappers) and all liquidity risk and IRRBB related models (e.g. non-maturity deposits model, prepayments etc.) either internally or externally developed as well as all liquidity risk and IRRBB related acquired software units.

Your tasks

  • Conduct analysis of model input data, methodological approaches and processes related to models
  • Perform the validation of models used for risk measurement and steering
  • Support assessment of data quality, data integrity and reliability

Your background

  • Study Finance, Mathematics, Statistics, Physics or similar
  • Gained solid experience in R and / or Matlab
  • Have strong analytical skills in the area of banking/finance or business intelligence
  • Like to work in an international team and enjoy challenges
  • Have good interpersonal and communication skills
  • Speak English fluently

Our Offer

  • We offer you an exciting and challenging internship in an interesting and dynamic field starting in January 2021 for 6 months full-time or 12 months part-time
  • We support your professional and personal development
  • We guarantee an internship allowance of minimum EUR 1.600 gross per month (on a full-time basis)
  • Discover and enjoy the benefits of Erste Group
  • Erste Group considers the diversity of its employees as key to innovation and success. As employer we are proud to offer everyone equal chances, irrespective of age, skin colour, religious belief, gender, sexual orientation or origin.

We are looking forward to filling the position at the earliest possible date – apply now! #believeinyourself

Degree of Employment: Other

Share this job

“By expats for expats” is the first expat friendly job platform in Austria where you can find all English speaking job openings.

[email protected]