Senior Data Scientist in IRB Framework

Application period has expired.

Do you enjoy data and modelling as much as we do? Are you fascinated by owning modelling solutions that are used in the financial world? Yes! If you think that your core values align with ours (team up, own it, and be open), we are waiting for your application now!

Combine your data and math skills and become an expert in our credit risk models for the Internal Ratings-Based (IRB) approach in Danske’s IRB Framework. The IRB Framework team consists of approximately 25 employees working in Vilnius and Copenhagen with different educational backgrounds, ranging from economists and regulatory experts to model specialists with mathematical or data expertise. What combines us is not only an informal atmosphere and a flat organisation but also a very close collaboration across geographic locations.

Most of your daily work will be related to data, programs, and analyses in one or the other way, but team efforts, development, and empowerment are at the top of the agenda. You will also collaborate with key stakeholders across the Group to obtain the necessary understanding and acceptance of the final results. As well as make the models appear transparent across all units.

The IRB credit risk models are of key importance to Danske Bank. They are widely used across the whole Group, and the key application is in the calculation of own funds capital requirements. The models are highly regulated in the different markets, and there is a heavy focus on strong governance, which ensures the high quality of the models in production.

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

"We know through experience that different ideas, perspectives and backgrounds create a stronger and more creative work environment that delivers better results."

You will:

  • Become the technical expert of our IRB models in production (i.e., PD models, LGD models, EaD models, etc.) and provide expertise and insights to stakeholders and model users;
  • Perform data analyses, model monitoring, validation tasks, and data preparation for various purposes
  • Implement model changes, when necessary, following the IRB governance process
  • Present your findings to relevant stakeholders in an easily understandable language and gather clarification of business needs
  • Drive improvements and simplifications of the processes within the modelling area
  • Be a mentor and support less experienced colleagues

About you:

  • At least 2-3 years of experience in data science and modelling
  • Higher education in quantitative sciences (i.e. mathematics, physics, economics, engineering, statistics or similar)
  • Proven experience in combining business knowledge and needs with model development skills
  • Experience with SQL, Python or similar
  • Advanced English skills (spoken and written)
  • High focus on collaboration
  • Experience with the credit risk parameters PD, EaD and LGD or AVM is desirable

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

Kotryna Paulauskiene, Head of IRB Framework

Application period has expired.

If you are interested, please send your CV in English no later than 27.03.2023. Confidentiality guaranteed.

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