Senior Analyst Trading Models Validation

Application period has expired.

Would you like the opportunity to work in a challenging and collaborative environment while contributing to the overall risk management framework of our organization? If you are excited about market risk, derivative pricing, and model validation, we invite you to apply and be part of our innovative team.

Danske Bank is one of Europe’s leading financial institutions, with approximately half a trillion euros in assets. As our new Model Validator, you will be responsible for evaluating and ensuring the accuracy, reliability, and effectiveness of our organization’s market risk and derivative pricing models.

The Model Risk Management department, to which our team belongs, covers all models in Danske Bank Group, and your role will be critical in identifying potential risks and providing valuable insights to enhance our risk management strategies.

“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 banks trading and market operations work and a chance to significantly boost the skills and understanding of the organization,” says your future Manager.

Can you identify potential risks?

Our team covers models applied for the valuation of OTC derivatives and the calculation of risk sensitivities for fair value positions, XVA, Initial margin, Internal models for Market and Counterparty Credit Risk.

Danske Bank supports a high degree of workplace flexibility (we currently use a hybrid work model, where we work at least 3 days in the office).

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

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

You will:

  • Execute comprehensive validation of Trading models, including various derivative pricing models as well as Value at Risk (VaR), Incremental Risk Charge (IRC) and Counterparty Credit Risk (CCR) models
  • Critically assess model assumptions, methodologies, and data inputs to ensure alignment with industry best practices and regulatory requirements
  • Collaborate intensively with model developers, traders, and risk managers to comprehend model specifications, identify limitations, and pinpoint potential enhancements
  • Utilize advanced statistical and quantitative methods to evaluate model performance, validate model results, and unearth opportunities for refinement
  • Engage in model validation projects, which encompass documenting validation procedures and results, presenting findings to key stakeholders and regulatory authorities, while staying current with the latest trends in the market, financial products, and regulatory changes that affect market risk and derivative pricing models

About you:

  • A MSc or PhD in either Economy, Finance, Mathematics or Physics with a good mathematical knowledge
  • At least 2-3 years of pertinent experience in model validation, development, or other similar analytical roles is anticipated
  • Familiarity with trading products and financial instruments like derivatives or fixed income will be beneficial
  • Exhibit an analytical and target-oriented mindset to identify and resolve intricate problems
  • Possess robust communication skills, upper-intermediate level both written and spoken, in English – proficiency in Danish is not mandatory
  • Exhibit a clear sense of prioritization
  • Demonstrate significant collaboration abilities and the capacity to cultivate relationships across the bank with model developers and model owners
  • The optimal candidate will also have previous experience working with Derivative pricing/valuation and/or Market risk models

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

Jens Gesser, First Vice President, Model Risk Management

Application period has expired.

If you are interested, please send your CV in English no later than 14.06.2024. Confidentiality guaranteed.

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