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Senior Data Scientist for Impairment Stress Test Models

Portfolio & Loss Intelligence is responsible for the impairment stress test calculation in Danske Bank. This includes maintaining and operating a suite of expected loss, concentration risk and stress test models used in the bank.

You will join a team of 7 employees with solid quantitative backgrounds and be situated in our office in Vilnius. Half of the team works out of Denmark, and the other half works out of Lithuania. The team is centrally placed in Group Risk Management and works closely with other risk teams, Technology and Services, the CFO area, Risk Tribe, and Business Units.

In this job, you will need to use your analytical powers in unison with your knowledge of models to maintain and implement changes to our expected loss and stress test models. The models are crucial for the bank to safeguard the bank as part of the internal risk appetite. The ability to communicate technical information in a non-technical and concise manner and the natural drive to take ownership of tasks are key to succeeding in the role.

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

You will:

  • Have joint ownership of operating the bank’s stress test models, including maintenance and implementation of changes to the bank’s models running in PySpark on Hadoop and a nearby migration of models to AWS cloud
  • Drive process optimization across different tasks with a focus on continuous improvement
  • Be working with the extraction of data from the bank’s systems and use the data to solve requests. These can be specific inquiries from the Banks auditors or model validators, external audits, the Danish FSA, or senior management
  • Be working independently on complex ad-hoc requests, where the knowledge of impairments gained from being part of the team will be put to broader use within the bank

About you:

  • Strong Python skills are key as the models are built and operated in Python/PySpark
  • Prior experience with Hadoop/AWS cloud is plus
  • Similarly, experience from building and/or operating models in a data-driven organisation is highly valued – could be skilled in model governance, version controlling or similar
  • Knowledge of SQL and Tableau or similar tools would be considered an advantage
  • Prior banking experience is not a pre-requisite if you are prepared for a steep learning curve
  • Good collaboration skills and ability to coordinate and communicate well with others
  • A strong quantitative background (preferably with an associated academic qualification)
  • Upper-intermediate skills in written and spoken English

We offer:

Monthly salary range from 2960 EUR to 4440 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

24/7 gym services and group trainings

Health insurance from the first day of employment

See all the benefits HERE.

Apply via:

Send your CV

If you are interested, please send your CV in English no later than 26.08.2022. Confidentiality guaranteed.

Your title in job contract will be Data Scientist, Senior.

Please contact if you have any questions.
Lars Aagaard
Phone number +45 21 55 01 07