Senior Quantitative Analyst for Model Risk Management

ModelRiskManagement QuantitativeAnalysis CreditRiskModels RiskManagement

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Do you have an methodical mindset and feel an interest in getting a solid overview of risk management?

We are looking for a new colleague who has the motivation and skills to play an important role in the Credit Risk Model Validation (CRMV) team, a part of the Model Risk Management (MRM) department.

MRM plays an integrated and central part in Danske Banks’ risk management by providing an independent view of how new and existing models are performing.

Currently, the 16 people in CRMV are responsible for credit risk models (LGD, PD, CF), IFRS9 and all credit decision models, but MRM covers all model areas in Danske Bank. MRM provides a lot of opportunities for both personal and professional development.

As a member of CRMV, you will work in collaboration with a diverse and highly skilled group of colleagues across various functions in MRM and key stakeholders (model developers and model owners), advising on model design, implementation and performance.

We expect you to be able to encourage assignments/projects and ensure a high-quality outcome.

Furthermore, we expect you to have experience applying your investigative skills, be proficient with data handling and be able to transform insights from statistical analysis into actionable findings.

We work by a high level of empowerment, so to a large extent, you will be able to influence and structure your workday and choose the tools and innovative approaches to model validation.

You will have the opportunity to work closely with colleagues in the entire MRM both in Vilnius and Copenhagen.

You will:

You will coordinate projects, where you also will play an focused participant in getting the work done
You will organize and run a comprehensive analysis of the specific models and data applied using applicable quantitative methods and tools
Assist less experienced colleagues on assignments/projects
Based on the data analysis, you will interpret the results and write your conclusions
Having concluded, you will 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)
Gaining experience you will provide input to the validation process to optimise this

About you:

University degree in a quantitative field (e.g. mathematics, physics, economics, engineering, statistics)
Minimum 2-3 years of programming experience with analytical tools such as R, Python or SQL
Previous experience with validation or development of any models is an advantage
Team-oriented person with motivation and commitment to deliver high quality on time
Desire to assist, motivate and guide less experienced colleagues.
Upper-intermediate English, both spoken and written – and solid communication skills
Attention to detail, ability to meet deadlines with tight time constraints

We offer:

Monthly salary range from 2720 EUR to 4080 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.