Senior Market Risk Manager (f/m/x)

Your role at RBI:

• Analyse outputs from daily risk measurement, stress testing and back testing across market risk types (e.g., FX, structural FX, interest rate, credit spread, equity option and correlation risks) for main HO portfolios.
• Monitor market risk limits (e.g., VaR, BPV, sensitivities, stop-loss) and document recommendations for handling limit breaches.
• Review market risk limit applications and contribute to risk appetite, limit frameworks, strategies and scenario design; discuss exposures and assumptions with stakeholders (e.g., traders, treasury, business units).
• Prepare regular and ad-hoc regulatory and management reporting (e.g., RWA analysis, back testing exceptions, prudent valuation, stress testing, portfolio analyses) and explain results to senior stakeholders and regulators where applicable.
• Support Network Banks on market risk topics (e.g., Basel IV, stress testing, FX and interest risk measurement, product introductions) and collaborate with internal/external partners such as auditors, regulators, local treasurers and risk teams.
• Contribute to new product approval by assessing market and counterparty risk implications and coordinating with model developers/analysts to integrate products into risk calculations and monitoring.
• Coordinate with partners across RBI (e.g., Credit Portfolio Management, Business Units, Treasury) to align inputs, resolve dependencies and deliver risk analyses.
• Take ownership of project work (projects, sub-projects or workstreams): define deliverables, manage stakeholders and track outcomes through to completion.
• Share knowledge within the team and support colleagues through coaching and peer review.

Your core competencies:

• Bachelor’s degree, preferably in Finance, Mathematics, Statistics, Engineering, or a related quantitative field; advanced degree is a plus.
• Practical experience in market risk management, risk analytics or a comparable quantitative risk function (typical background 7–10 years) within a financial institution, consulting or a related environment.
• Working knowledge of financial instruments such as bonds, derivatives, options and structured products, and how their risks are measured and reported.
• Practical experience with market risk measures and methods (e.g., VaR, Expected Shortfall, stress testing, sensitivities/Greeks) and how they are applied to portfolios.
• Knowledge of regulatory market risk topics (e.g., FRTB, Standardised Approach, Open FX Risk) and ability to translate requirements into monitoring and reporting practices.
• Quantitative modelling and validation capability; experience using Python (or similar) for data analysis, automation and risk metric calculations.
• Interest in using automation and AI-enabled tools to improve risk monitoring, controls and reporting workflows.
• Excellent communication skills; able to present complex risk findings clearly to traders, desk heads, and senior non-technical stakeholders
• Collaborative working style and experience coordinating across functions to deliver outcomes under time-sensitive conditions.

What's in it for you:

• Flexible work week: Flexible hours, work-from-home options from Austria, and 30 days/year remote work from any EU country.
• Global community: 75+ nationalities, English as the company language, and work permit support. Find out more about international applications here.  
• Career growth: We believe in continuous learning and proactive career development. Take on challenging work that stretches your abilities, attend trainings, and use new technologies to make a lasting impact.
• Stay healthy: Subsidized canteen, well-being programs, check-ups, and sport allowances.
• Save money: Discounts, exclusive banking terms, and a heavily subsidized public transport pass.
• Family support: Child allowances, gender-neutral parental leave, bilingual company kindergarten, and holiday childcare.
• Competitive salary: Starting at EUR 67.400,- gross p.a. including overtime, with market-compliant overpayment based on experience and qualifications. We are happy to discuss your actual salary in person.