Senior Data Analyst for Credit Risk Model Validation

Are you motivated and skilled enough to contribute significantly to the Model Risk Governance team within Danske Bank's Model Risk Management department? MRM is a crucial component of Danske Bank's risk management, offering an independent assessment of model performance across all areas, including credit risk models (LGD, PD, CF) and IFRS9. With a team of 50, MRM supports significant personal and professional growth, empowering you to shape your workday, select tools, and apply innovative validation approaches. As a member of MRM, you will collaborate closely with a diverse and skilled team in Copenhagen, Vilnius, and now Warsaw, advising on model design, implementation, and performance. This collaboration enhances your experience and influence within the bank.

Your role includes coordinating and actively participating in projects, conducting comprehensive analyses using quantitative methods, and assisting less experienced colleagues. You will interpret data analysis results, write conclusions, and present findings to key stakeholders such as senior management and the Danish FSA. With gained experience, you will also contribute to optimising the validation process.

We are seeking a skilled Senior Data Analyst to specialise in the data-centric aspects of credit risk model validation. In this critical role, you will ensure the integrity, accuracy, and robustness of the data used in our credit risk models, in alignment with regulatory compliance and industry best practices. This position offers the opportunity to influence risk assessment strategies and enhance the financial stability of our operations.

“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. And you will have the opportunity to work closely with colleagues in the entire MRM department.”

You will:

• Develop and implement robust data analysis methodologies to identify discrepancies, anomalies, and trends impacting model performance.
• Collaborate closely with model developers and risk managers to ensure models are built on a solid data foundation by understanding data collection processes.
• Design and execute data quality controls and validation rules using advanced data analysis tools.
• Prepare detailed validation reports and documentation clearly outlining data issues, analysis results, and remediation steps.
• Work with IT and data governance teams to enhance data quality and system improvements for model validation.
• Provide expert guidance on how data findings affect model performance and risk predictions.
• Stay updated with the latest developments in data processing technologies and risk modelling techniques to continuously refine data validation processes.

About You

• Bachelor’s degree in data science, Statistics, Economics, or a related quantitative field.
• 5+ years of experience in data analysis, with a preference for backgrounds in credit risk environments.
• Possess expertise in managing large datasets and performing complex data validations.
• Proficient in SQL, Python, R, or other data analysis software.
• Good understanding of regulatory frameworks related to credit risk, such as Basel Accords, IRB, and EBA guidelines.
• Analytical and problem-solving skills, coupled with strong organisational and project management capabilities.
• Independent, proactive, and motivated to enhance data-driven decision-making.
• Upper-intermediate level English skills.

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

Has this opportunity caught your attention?
If you have any questions, please feel free to contact Alex Oleinikov at aole@danskebank.dk.

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Danske Bank is a Nordic bank with bridges to the world around us. For 150 years, we have supported people and businesses in releasing their potential. A career with us is an opportunity to join a community of 22,000 colleagues in a culture where we are committed to Teaming Up, Owning It and Being Open. Together, we are on a journey to transform Danske Bank into a better bank. For our customers, our employees and the societies around us.