Data Scientist in IRB Framework

Do you enjoy data and modelling as much as we do? Are you fascinated by owning modelling solutions that are used in the financial world? Yes! If you think that your core values align with ours (team up, own it, and be open), we are waiting for your application now!

Combine your data and math skills and become an expert in our credit risk models for the Internal Ratings-Based (IRB) approach in Danske’s IRB Framework. The IRB Framework team consists of approximately 25 employees working in Vilnius and Copenhagen with different educational backgrounds, ranging from economists and regulatory experts to model specialists with mathematical or data expertise. What combines us is not only an informal atmosphere and a flat organization but also a very close collaboration across geographic locations.

Most of your daily work will be related to data, programs, and analyses in one way or another, but team efforts, development, and empowerment are at the top of the agenda. You will also collaborate with key stakeholders across the Group to obtain the necessary understanding and acceptance of the final results. As well as making the models appear transparent across all units.

The IRB credit risk models are of key importance to Danske Bank. They are widely used across the whole Group, and the key application is in the calculation of own fund capital requirements. The models are highly regulated in the different markets, and there is a heavy focus on strong governance, which ensures the high quality of the models in production.

Depending on your experience and knowledge, we may offer you different seniority of the role.

"We believe that the most valuable asset is human potential."

You will:

  • Become the technical expert for our IRB models in production (i.e., PD models, LGD models, EaD models, etc.) and provide expertise and insights to stakeholders and model users;
  • Perform data analyses, model monitoring, validation tasks, and data preparation for various purposes
  • Implement model changes, when necessary, following the IRB governance process
  • Present your findings to relevant stakeholders in an easily understandable language and gather clarification of business needs
  • Drive improvements and simplifications of the processes within the modelling area
  • Be a mentor and support less experienced colleagues

About you:

  • At least 2 years of experience in data science and modelling
  • Proven experience in combining business knowledge and needs with model development skills
  • Experience with SQL and Python
  • Advanced English skills (spoken and written)
  • Higher education in quantitative sciences (i.e., mathematics, physics, economics, engineering, statistics, or similar)
  • High focus on collaboration
  • Experience with the credit risk parameters PD, EaD, LGD, or AVM would be desirable

We offer:

Monthly salary range from 2600 EUR to 3900 EUR gross (based on your competencies relevant for the job).

Additionally, each Danske Bank employee receives employee benefits package which includes:
    • Growth opportunities: professional & supportive team, e-learnings, numerous development programs; (incl. professional certificates); 100+ professions for internal mobility opportunities.
    • Health & Well-being: a diverse, inclusive, work & life balance work environment; health insurance from the first day of employment; mental well-being practices; partial psychologist counselling compensation; silence and sleep zones at the office; game rooms.
    • Hybrid working conditions: home office budget (after the probation period); modern Danske Campus workplace developed with anthropologist for the best employee experience.
    • Additional days of leave: for rest, health, volunteering, exams in higher education institutions, and other important activities. Moreover, for seniority with Danske Bank.
    • Monetary compensation package: accidents & critical diseases insurance; financial support in case of unfortunate events, travel insurance; IIIrd Pillar Pension Fund contribution.

Additional days of vacation

Health insurance from the first day of employment

Third pillar pension fund

Free parking & charging ports - cars, bicycles, e-scooters

See all the benefits HERE.

Join my team!

If you're interested in this role and joining my team, feel free to contact me via LinkedIn, and I will answer your questions!

Greta Dalangauskaite, Head of IRB Framework LGD/CF/AVM

Apply via:

Send your CV

If you are interested, please send your CV in English no later than 12.10.2023. Confidentiality guaranteed.

Your title in job contract will be Data Scientist.