Market Risk Manager (m/f)
Vienna

Job Summary
Ensuring a prudent control, management and monitoring function related to the market risks of Sberbank Europe. This position includes tasks related to the market risk management of the trading book and limit monitoring, as well as functional lead of FX risk management within Sberbank Europe AG and Sberbank Europe. Core tasks are the periodic monitoring of all market risk limits and P&L reporting, including escalation process in case of limit breaches. In addition, development of new models and processes in the area of trading book and FX risk is covered by this role.

Your Tasks and Responsibilities

  • Daily reporting of market risk limits (under the trading portfolio) and continuous maintenance/improvement of the framework (including documentation)

  • Daily counterparty limit monitoring (according CRR and the internal view) and providing subject matter expertise in the related methodology on exposure calculation

  • Taking the lead in risk budgeting and the annual market risk limit review process of the trading portfolio with stakeholders across the group and divisions (including liaison with Global Markets and Risk teams across Sberbank Russia and the CEE network)

  • Knowledge and support with various new regulatory topics, e.g. Basel IV (FRTB, SA-CCR)

  • Maintenance and continuous development of the economic capital model for currency risks (including model validation and documentation)

  • Regular contribution to various committees, e.g. ALCO, RICO, MB etc.

  • Performing independent price verification (IPV) and its reporting to ALCO

  • Project lead/participation in projects driven by external (regulatory) or internal (business) requirements


Your Profile

  • Master's degree in natural sciences (mathematics, physics) or finance (quantitative, statistics, econometrics)

  • FRM, CFA or equivalent beneficial

  • At least 3-5 years in banking (Market Risk or ALM and Treasury)

  • Deep knowledge of financial market products, their pricing and risk characteristics

  • Technical skills required: SQL, VBA

  • Knowledge of Bloomberg / Reuters is an advantage

  • English mandatory, German and CEE language beneficial


Your Chance

  • Annual Gross salary 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.

  • 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