Senior Analyst for Model Risk Management

Who are we in Model Risk Management 

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 optimizing the validation process.

We are seeking a highly skilled Senior Quantitative Analyst to specialize in the statistical methods of credit risk model validation. In this role, you will ensure the integrity, accuracy, and robustness of the approach 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.”

Work across the function in Model Risk Management 

As a member of CRMV, you will work in collaboration 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:

• You will coordinate projects, where you also will play a focused participant in getting the work done
• You will organize and run a comprehensive analysis of the specific models and data applied using applicable quantitative methods and tools
• Assist less experienced colleagues on assignments/projects
• Based on the data analysis, you will interpret the results and write your conclusions

Having concluded, you will report and present your findings together with colleagues to relevant stakeholders, including senior management, business units and the Danish FSA (the regulatory supervisor of Danske Bank Group). And gaining experience, you will provide input to the validation process to optimise this.

Can you handle data with high quality?

We are looking for you, who is a Team-oriented person with motivation and commitment to deliver high quality on time. You are able to encourage 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 – and we also hope, you bring to the team:

• University degree in a quantitative field (e.g. mathematics, physics, economics, engineering, statistics)
• Experience of validating IRB models (THIS IS ABSOLUTELY CRITICAL), solid knowledge of the relevant regulation and ability to interpret the requirements
• Minimum 5-6 years of model validation or model development experience, preferably using such analytical tools as Python and/or SQL
• Throughout 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 – and can - motivate and guide less experienced colleagues, while you pay attention to detail. If you also have the ability to meet deadlines with tight time constraints, then 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. 
Your title in job contract will be tailored to your experience.

We look forward to hearing from you!