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0196 0767 / Quant Specialist (f/m) for Market and Liquidity Risk Models, in Bratislava

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.

The Risk Division of Erste Group Bank AG has set up a group wide service center (Erste Group Service Center, EGSC) in Bratislava. It is supposed to offer services for the Risk Division in Vienna related to the operations quantitative methods and validation, compliance, projects and reporting. We are looking for flexible personalities who are eager to learn and bring in their competencies and engagement to create with the new colleagues an efficient and excellent working organization.

Within Erste Group Risk Management the business area Risk Methods and Models is responsible for methodological and modelling aspects of the management of credit, market and liquidity risk group-wide. It combines the units of Model Risk Framework, Market and Liquidity Risk and Credit Risk Methods and Models.

This offered position is located in Market and Liquidity Risk Methods and Models. The main responsibilities of the unit are:

  • Development of models for market risk liquidity risk used for internal steering and regulatory use
  • Running and developing an internal market risk model for risk steering and regulatory purposes
  • Calculation of capital requirements for market risk for Pillar 1 and Pillar 2 using the internal model.

The key focus of the position is to support the banks development of models for banking book and liquidity risk management.

This includes:

  • Statistical models for estimating potential outflows of different product classes
  • Models for the integration of liquidity risk into the internal capital adequacy
  • Models relevant for interest rate risk management in the banking book – IRRBB (market value/duration of equity, interest rate and liquidity profiles, prepayment risks, etc.)
  • Models for Fair Value measurement under IFRS 13/IFRS 9
  • Regular benchmarking of existing models against regulatory standards and market best practice
  • Strong co-operation with other departments responsible for risk steering, liquidity management, model validation and subsidiaries

Besides the close integration and communication within the immediate team members Market and Liquidity Risk Modelling Expert directly interacts closely and regularly with the banks steering.


  • have a profound expert knowledge in the fields of IRRBB, liquidity risk management, financial products and risk methodologies
  • have an advanced knowledge of risk regulations relevant for banking book risk management and liquidity risk
  • hold a university degree in quantitative finance, physics, mathematics/statistics or equivalent relevant to banking and finance or IT
  • have at least 3 years’ experience in model development for liquidity risk and/or market risk of the banking book
  • have ability to translate result of mathematical models and quantitative analyses into decision relevant information
  • have advanced IT skills covering VBA, C++, SQL
  • have excellent English skills in written and verbal communication - German and/or CEE language of advantage


  • offer a challenging opportunity to work with us on the development and implementation of best practice risk methodologies in the area of market and liquidity risk
  • support your professional and personal development in gaining experience in quantitative risk management in a financial institution
  • guarantee a competitive and performance-related salary dependent on your professional and personal qualifications.


You will be directly employed under Slovak labour conditions and will be integrated in the team in Erste Group Bank AG.


We are looking forward to hearing from you!