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Data Scientist in the IRB Team

Do you enjoy data and modelling as much as we do? Are you fascinated by owning modelling solutions, which are used in the financial world? Yes! Connect with us at Danske Bank A/S!

Combine your data and maths skills and become an expert of our credit risk models for the Internal Ratings-Based (IRB) approach in Danske’s IRB team. The IRB team consists of approx. 30 employees working in Vilnius and Copenhagen with different educational backgrounds ranging from economists and regulatory experts to model specialists having mathematical/data expertise. What combines us is not only an informal atmosphere and a flat organisation but also a very close collaboration across geographic locations.

Most of your daily work will be related to data, programs and analyses in one or the other way, but the highest on the agenda are team efforts, development and empowerment. With a colleague as your buddy to support you during your first months, you will quickly gain responsibility, which will then enable you to perform different analyses and define solutions to our IRB credit risk models in production. As part of this, you will also collaborate with key stakeholders across the Group in order to obtain the necessary understanding and acceptance of the results as well as make the models appear transparent across all units.

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

As a Data Scientist in Danske, you will be working as an integrated part of our international team in Vilnius and Copenhagen. If you think that your core values align with ours (team up, own it and be open), we are waiting for your application now! The position is based in Vilnius and we are already looking forward to welcoming you!

You will:

  • Become the technical expert of 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 as well as data preparation for various purposes
  • Implement model changes, when necessary, following the IRB governance process
  • Presentation of your findings to relevant stakeholders in an easily understandable language and gathering of clarification of business needs
  • Drive improvements and simplifications of the processes within the modelling area

About you:

  • Higher education in quantitative sciences (i.e. mathematics, physics, economics, engineering, statistics or similar)
  • Experience in data science and modelling
  • Experience in combining business knowledge and needs with model development skills;
  • Experience with SQL, Python and/or similar
  • Experience with the credit risk parameters PD, EaD and LGD will be considered an advantage
  • High focus on collaboration
  • Advanced English skills (spoken and written)

We offer:

Monthly salary range from 2240 EUR to 3360 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

Canteen services and free fruits

Health insurance from the first day of employment

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

See all the benefits HERE.

If you have any questions, please contact me @LinkedIn

Mark Thomas, Head of Credit Risk Modelling Team

Apply via:

Send your CV

If you are interested, please send your CV in English no later than 13.12.2022. Confidentiality guaranteed.

Your title in job contract will be Data Scientist.