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Quantitative analyst-Model Validation for Market and Counterparty Credit Risk Models

Model Validation Phyton SQL Risk Management

Application period has expired.

Are you good at data crunching and quantitative analysis? Do you like to present your findings to various stakeholders and establish constructive dialogues with model developers? Then join our Market Risk and Stress Test Model Validation team in Group Risk Management.

The team plays an integrated part in the Group’s risk management decisions by providing independent analysis and judgments on core regulatory market risk models applied by traders and analysts.

The team is responsible for validation of internal models used in market risk (Value-at-Risk, IRC), counterparty credit risk (IMM, PFE), impairments (IFRS9), ICAAP and Compliance. These models play an important role in managing risk and making decisions.

We work by a high level of empowerment, so to a large extend you will be able to influence and structure your own workday and choose the tools and innovative approaches to validate models.

With us, you can boost your quantative skills as well as project management, stakeholder management and presentation skills.

As a member of this team, you will work in collaboration with key stakeholders (model developers and model owners), advising on model design, challenging core model components implementation and performance.

This job will challenge your quantitative skills. You should be able to challenge the modelling approaches, be proficient with data handling, coding and be able to transform insights from statistical analysis into actionable findings.

Interviews will take place on ongoing basis. We encourage you to apply as soon as possible.

You will:

  • You will run comprehensive analysis of the specific models using applicable quantitative methods and tools
  • Having reached a performance conclusion, you will report and present your findings to relevant stakeholders, including senior management and Danish FSA (our regulatory supervisor)
  • You will be responsible for writing down the results of your analysis in validation reports, making conclusions about the model’s fit for purpose and presenting the findings to model owners and different Model Risk Management committees.

About you:

  • University degree in a quantitative field (e.g. econometrics, statistics, economics, finance, mathematics, physics, engineering
  • Experience with programming and statistical tools such as R, Python, SQL or SAS
  • Knowledge of market risk and/or counterparty credit risk models or willingness to learn
  • Fluent English, both spoken and written – and strong communication skills
  • Critical thinking, attention to details, ability to meet deadlines under time pressure

Join our team!

Join our international team of 7 dedicated analysts with the passion to quantitative analysis and model validation.
We work with the large variety of the models and use our skills in econometrics, math and finance for their validation.
We are looking for a team member who is interested in models and quantitative analysis, good in communication and collaboration.

Valeriia Dzhamalova, Head of Market Risk and Stress Model Validation

How will your day look like?

You can expect to spend 50% of your time working with data, coding and models in validation projects, 30% - communicate and collaborate with model developers, model owners and model users, 20 % - quarterly and various ad hoc tasks

Application period has expired.

If you are interested, please send your CV in English no later than 19.10.2020. Confidentiality guaranteed.

Your title in job contract will be Specialist - Risk.

Please contact if you have any questions.
Valeriia Dzhamalova
Phone number +45 40 12 39 61

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