Senior Quantitative Analyst for Credit Model Validation

Model Risk Management (MRM) is a crucial component of Danske Bank's risk management, offering independent assessment of model performance across all areas, including credit risk models (LGD, PD, CF) and IFRS 9. 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 will enhance 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 highly skilled Senior Quantitative Analyst to specialise in the statistical methods of credit risk model validation. In this critical role, you will ensure the integrity, accuracy, and robustness of the approach used in our credit risk models, aligning 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 at 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 also have the opportunity to work closely with colleagues across the entire MRM department.”

Work Across the Function in Model Risk Management
As a member of the Credit Risk Model Validation (CRMV) team, you will collaborate 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. You will:

• Coordinate projects and play a focused role in completing the work
• Organise and conduct comprehensive analysis of specific models and data using applicable quantitative methods and tools
• Assist less experienced colleagues on assignments/projects
• Interpret data analysis results and write conclusions

Upon conclusion, you will report and present your findings with colleagues to relevant stakeholders, including senior management, business units, and the Danish FSA (the regulatory supervisor of Danske Bank Group). As you gain experience, you will provide input to optimise the validation process.

Can You Handle Data with High Quality?
We are looking for a team-oriented person with the motivation and commitment to deliver high quality on time. You are able to take on assignments 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 also hope you bring to the team:

• A university degree in a quantitative field (e.g. mathematics, physics, economics, engineering, statistics)
• Experience in validating IRB models, solid knowledge of the relevant regulation, and ability to interpret the requirements
• A minimum of 5-6 years of model validation or model development experience, preferably using analytical tools such as Python and/or SQL
• Thorough understanding of data quality and key sources of data
• Upper-intermediate English, both spoken and written, and solid communication skills

You have an interest in motivating and guiding less experienced colleagues, while paying attention to detail. If you also have the ability to meet deadlines under tight time constraints, we cannot wait to hear from you!

Caught Your Attention?
If you have any questions, please feel free to contact Alex Oleinikov at aole@danskebank.dk.

We look forward to hearing from you!

#LI-NORDICS

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.