Senior Data Scientist for Stress Test and Strategic Risk Steering

Portfolio Intelligence is responsible for the stress test calculation on loan losses in Danske Bank. This includes maintaining and operating a suite of expected loss, concentration risk and stress test models used in the bank. The team also supports the strategic risk steering of the bank with quantitative analysis – this includes the challenge of commercial plans, setting of risk tolerance levels to safeguard the bank against severe losses and various ‘what if’ analyses – examples of such analysis could be: Impact of Covid 19 lockdowns, increased natural gas and electricity prices, customer resilience to increasing interest rates, decreasing house prices and more.

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

In this job, you will need to use your analytical powers in unison with your ability to communicate technical information in a non – technical and concise manner. Having a natural drive to take ownership of tasks is key to succeeding in the role.

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

You will:

  • Have a joint ownership of operating the bank’s stress test models in PySpark on Hadoop including maintenance and implementation of changes
  • Participate in the nearby migration of models to AWS cloud
  • Drive process optimization across different tasks with a focus on continuous improvement and cost effectiveness
  • Engage in inquiries used for strategic steering
  • Answer requests from senior managers
  • Deliver input to dialogue with the banks auditors, model validators, external audit or the regulatory authorities

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 English skills

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 30.09.2022. 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