Senior Statistical Analyst in Market Risk Modelling

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Do you want to join an innovative risk modelling environment at Danske Bank and contribute to the continued development of Danske Bank’s market risk management? Do you have an analytical and mathematical mind-set and interest in financial risk modelling? Join now, and you will get a unique opportunity to use and further develop your skills.

Risk Modelling is part of Market & Liquidity Risk based in Copenhagen with +50 employees who all share the interest in market, liquidity and counterparty risk, financial markets and financial products. Our main task is to model, quantify, monitor and report the Group’s market, liquidity and counterparty risks, including development of our internal risk models.

You will be part of the Market Risk Modelling team in Risk Modelling. The team is responsible for developing and maintaining the bank’s internal models for market risk that are used for calculation of regulatory capital requirements as well as for internal risk management. The models use advanced financial modelling performed by the team in collaboration with the quant and IT departments. The models cover the market risk in the bank’s trading area as well as the non-trading area.

The position could be based in Copenhagen, Denmark or Vilnius, Lithuania.

We offer an attractive development opportunity among highly competent and experienced colleagues. We work with a high degree of freedom with responsibility and support each other in our efforts to constantly become better at helping the team create results. Furthermore, we offer you:

Opportunities to grow your expertise
A culture of inclusion that values each employee’s unique perspective
Rewarding work with the flexibility to work partly from home
An informal environment where collaboration is prioritized
An exciting job combining the fields of programming, mathematical finance modelling and practical application

You will:

Contribute to the development and implementation of market risk models especially within the treasury area
Develop and maintain advanced market risk models especially within the treasury area (IRRBB)
Follow EU regulation within the area and secure regulatory compliance
Liaise with the trading and non-trading areas, IT and the quant area
Sometimes work on your own, sometimes in close collaboration with the rest of the team and the neighbour teams in Risk Modelling
Work in strongly specialized department profiting from a high degree of knowledge sharing, with the opportunity to develop a high level expertise within financial risk modelling

About you:

Hold a MSC or PhD within economics with a strong mathematical focus
Have a good knowledge of financial product and financial modelling techniques
Have good knowledge and experience working with standard programming tolls like Python, SQL, VBA, R and SAS
Curious and eager to learn, able to work systematically and able to solve complex problems
Proactive, eager to take ownership of your work
You have advanced communication skills, high level of English language

We offer:

Monthly salary range from 2680 EUR to 4020 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.