With the beginning of the 1990s started the transition process in the region of Eastern Europe to take place. This process included the transformation from a centrally planned economy to a market oriented economy. Also, the process of privatization begun to take place and those markets became open for the inflow of foreign capital. In this regard, the banking markets in those national economies became privatized and foreign-owned to different extents. Austrian banking groups have built up a respectable portfolio in the Eastern European market. Bank Austria, Raiffeisen Bank International and Erste Group together possess a total value of assets of 275 billion in 2014 which places the three banking groups among the key players in the Eastern European market. This research work is focused on the three previously mentioned Austrian banking groups and their portfolio in Eastern Europe. The goal of the research work is to shed light on the properties of the Portfolio of the banking groups in Eastern Europe in regard to the return-risk profile and to estimate the probability of defaults of the operating Banks. Moreover, the choice of the banking groups in regard to the chosen entry mode, organizational form and business model has been thoroughly analysed on the case of the three Austrian banking groups. Additionally, the economic development of the region and the success in the transitional process has been in the focus of the attention as well. The historic stock returns showed significant serial autocorrelations and the distribution of the returns within the analysed time frame clearly follow a leptokurtic distribution. In order to account for serial autocorrelations in the stock returns, an ARIMA Model has been applied in accordance with the Box-Jenkins Methodology (1976). The risk-averse Probability of Defaults of the three banking groups have been estimated by the Merton model (1974).