Senior Risk Analyst to ALM Model Validation

Are you interested in how a bank effectively measures and manages the risk on its balance sheet? We are looking for a Senior Risk Analyst with quantitative skills to help us make sure that the models used for asset and liability risk management (ALM) work as intended.

The ALM models covers models used for measuring liquidity risk and interest rate risk in the banking book. Validation of these important models requires both a good understanding of the bank’s business model and balance sheet and the use of advanced econometric and statistical methods on large amounts of data. You will become a part of a small team focused on asset and liability management models within the Model Risk Management (MRM) department.

MRM plays an integrated and central part in Danske Bank’s risk management by providing an independent view of how new and existing models are performing. All model areas in Danske Bank are covered by MRM, and MRM provides many opportunities for both personal and professional development.

We expect you to be interested in applying your investigative skills in order to assess if the models are fit for their purpose and work as intended. You should be proficient with data handling and be able to transform insights from statistical analysis into actionable findings. You will work in close collaboration with a diverse and highly skilled group of colleagues across various functions in MRM (both in Vilnius and Copenhagen) and key stakeholders (model developers and models).

We work with 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.

Depending on your experience, you may be offered a 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:

  • Organize and run a comprehensive analysis of the specific models, understanding the use of the models based on the business context, regulations, best practices, and empirical evidence
  • Handle and analyse large amounts of data using applicable quantitative methods and tools
  • Interpret the results and summarise your findings based on these analyses
  • Report and present your findings, together with colleagues, to relevant stakeholders, including business units and senior management
  • Develop new approaches to the validation of the models by gaining experience

About you:

  • A university degree in a quantitative field (e.g., economics, mathematics, physics, engineering, statistics)
  • At least 2-3 years of experience working with asset and liability management, model validation, or model development
  • Team-oriented person with motivation and commitment to deliver high quality on time
  • Upper-Intermediate English, both spoken and written, and an interest in the communication of complex issues
  • Able to see the big picture while also paying attention to the finer details
  • Experience with programming with analytical tools such as Python, R or SQL would be beneficial

We offer:

Monthly salary range from 3120 EUR to 4680 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; additional health insurance; 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

Additional health insurance package

Third pillar pension fund

Free parking & charging ports - cars, bicycles, e-scooters

See all the benefits HERE.

Free to be me

Feel free to contact me @LinkedIn if you have any questions

Agnethe Korreman, Head of ALM Model Validation

Apply via:

Send your CV

If you are interested, please send your CV in English no later than 05.06.2024. Confidentiality guaranteed.

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