Risk Model Engineer & Developer (all genders) - Stress Testing & Risk Planning
1. Location: Wien
2. Working hours: Full-time
3. Occupational Area: Risikomanagement
4. Company: Erste Group Bank AG
5. Culinary delights
6. Health Center
7. Trust-based working hours
8. Learning & Development
9. Employee Share Program
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.
As part of our Group Stress Testing & Risk Planning team, you will contribute to the development and enhancement of methodologies, models, and infrastructure that shape the bank’s strategic steering and capital planning. Our work spans group-wide credit risk stress testing, forward-looking macroeconomic impact analysis, ESG integration, and advanced simulation tools – delivering actionable insights for senior management and supporting key business decisions.
As a Risk Model Engineer & Developer, you will
10. Develop and enhance group-wide stress testing and credit risk simulation models (PD, LGD, ECL, RWA), ensuring they reflect the latest portfolio dynamics, regulatory requirements, and emerging risks such as ESG and forward-looking indicators
11. Modernize, maintain, and optimize the simulation infrastructure, including migration to a modular, Python-based architecture on Databricks, and automate data pipelines and databases supporting regulatory (e.g., EBA, ECB) and internal stress testing exercises
12. Design and execute credit risk sensitivities and scenario-based stress tests – assessing their impact on RWA, provisions, and capital planning
13. Translate simulation outputs and quantitative results into clear, actionable insights for senior management and business units, enabling informed portfolio steering
14. Collaborate with stakeholders across risk management, finance, and IT to ensure methodological soundness, data quality, and governance
15. Prepare model documentation and present technical approaches to auditors, internal committees, and supervisory authorities, while contributing to the continuous improvement of our methodological framework, simulation tools, and governance processes
Your Profile
16. University degree in a quantitative discipline (Mathematics, Computer Science, Quantitative Finance, Statistics, Physics, or similar)
17. Strong coding skills in Python, R, or similar; experience with Databricks, Spark or other cloud-based environments and platforms (e.g., AWS, Snowflake) is an advantage
18. Familiarity with SAS is a plus; SQL and database knowledge is expected
19. Affinity for quantitative modeling, with an understanding of economic and financial principles, as well as credit risk parameters and modeling frameworks (PD, LGD, ECL, RWA) – or the ambition and ability to learn them quickly
20. Structured, hands-on mindset with strong attention to documentation, performance, and automation
21. Ability to work with complex datasets and communicate results effectively to both technical and non-technical audiences
22. Fluent in English; knowledge of German or CEE languages is an advantage
Our Offer
23. We welcome colleagues who are curious, solution-oriented, and eager to grow – whether you bring a track record of experience in risk modeling or a solid foundation with the drive to develop into an expert role.
24. Discover and enjoy the of Erste Group
25. The minimum wage for this full-time position in accordance with the collective agreement with complete fulfillment of the functional profile is EUR 44.860,-- gross per year. But this is just a formality - we would be happy to talk about your actual salary in person!
26. We offer our employees the opportunity to divide their hours between working from home and at the office.
27. We consider the diversity of our 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.