Senior Software Engineer (.Net) in Derivatives and Risk IT – Counterparty Credit Risk

Application period has expired.

As a part of Derivatives & Risk IT organization, we are responsible for the development and maintenance of the system used for Counterparty Credit Risk modelling within Danske Bank. The system ensures that the Counterparty Credit Risk – meaning risk of losses caused by counterparties defaulting – is understood, managed and checked against client limits.

To determine the Counterparty Credit Risk we have an internal risk model measuring and reporting the risk. The model generates market future scenarios based on historical data. It consists of a number of parts:

  • Potential Future Exposure (PFE) – determines the maximum expected credit exposure over a specified period at multiple confidence levels.
  • Effective Expected Positive Exposure (eEPE) – determines the weighted average over time of the effective expected exposure over the next year.
  • Stress test – determines the current exposure to predetermined risk factors.

Currently, we are a team of four developers working agile in DevOps roles in close collaboration with our business. Our responsibility is to work with business to enhance the system with new functionality to comply with regulation and improve the business efficiency.

You will:

  • Work as DevOps in an agile development team
  • Engage with stakeholders and be proactive when solving problems
  • Take ownership of tasks and make sure they are successfully implemented
  • Keep system running on production, including on-call schedule

About you:

  • Proven experience in developing in Microsoft object-oriented software development.
  • Proven experience of designing and building APIs
  • Knowledge in using Docker, Kubernetes and other technologies
  • Good problem solving and delivery using Micro service approach
  • Good understanding of design patterns and SOLID design principles
  • Experience with relational databases
  • Experience with agile development, using code review, automated testing, and Continues Integration and Continues Delivery
  • Good communication skills in English
  • Passionate about software development
  • Highly effective teamwork


  • Financial domain expertise
  • Microsoft tools for creating web application with graphical user interfaces
  • Experience in *nix environments
  • Experience with source control systems
  • Experience with collaboration and repository management tools

We are growing and looking for reinforcement to our organization.
Up for a challenge?
Apply or reach out to me if you have any questions.

Edita Navicke, Talent Acquisition Consultant

Application period has expired.

If you are interested, please send your CV in English no later than 28.01.2021. Confidentiality guaranteed.

Your title in job contract will be IT Software Engineer.