Senior Analyst for Trading Models Validation

The Model Risk Management Department at Danske Bank Group invites applicants for the role of Senior Analyst in the Trading Models Validation Team covering Derivative Pricing, XVA, and Market Risk Models.

The Model Risk Management department, to which your team belongs, covers all models in Danske Bank Group. As part of the team, you will have the unique opportunity to gain a broad insight into many different business areas in a leading financial institution and discuss with your colleagues the use of models in these business areas and the associated risks.

The Trading Models Validation team is responsible for independent validation, including researching, analysing, testing, and evaluating the underlying theory, mathematical methods, and numerical implementation. Your team, among other things, covers models applied for the valuation of OTC derivatives and the calculation of risk sensitivities for fair value positions, XVA, Initial margin, and Internal models for Market and Counterparty Credit Risk. Your team is currently based in Copenhagen and is expanding to Vilnius and Helsinki.

This is a role with a lot of engagement with key parts of the trading floor, the market risk area, and other areas of the Bank where financial products are traded. It will give excellent insights into how our Bank’s trading and market operations work and a chance to significantly boost the skills and understanding of the organisation.

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

"Together, we continue to build an inclusive culture that encourages, supports, and celebrates the diverse voices of our employees."

You will:

  • Actively participate in various validation projects in the Trading models area
  • Run a comprehensive analysis of the specific models and data applied using applicable quantitative methods and tools
  • Perform model validation by doing quantitative and qualitative assessments of the model
  • Handle and analyze a large amount of data using applicable quantitative methods and tools
  • Interpret the results based on the analysis, and write your conclusions as part of a report
  • Report and present your findings together with colleagues to relevant stakeholders, including senior management, business units and the Danish FSA (the regulatory supervisor of Danske Bank Group)
  • Participate in maintaining relevant validation framework and ensure compliance with relevant policies, standards, and regulatory requirements

About you:

  • An MSc or PhD in either Economy, Finance, Mathematics, or Physics with a solid mathematical background
  • Previous experience with model validation or development is preferable
  • An analytical and goal-oriented mindset enables you to solve complex problems
  • Proven communication skills, both written and oral, in English (Upper-intermediate English skills). Danish is not a requirement.
  • A clear sense of prioritization
  • Great collaboration skills and the ability to build relationships across the bank with model developers and model owners
  • The ideal candidate will also have previous experience working with Derivative pricing or Market risk models
  • Knowledge of trading products and financial instruments such as derivatives or fixed income is advantageous

We offer:

Monthly salary range from 3040 EUR to 4560 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.

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

Snehasish Mahapatra, Head of Trading Models Validation

Apply via:

Send your CV

If you are interested, please send your CV in English no later than 10.04.2023. Confidentiality guaranteed.

Your title in job contract will be Specialist - Risk, Senior.