Area

Are you interested in how a bank effectively measures and manages the risk on its balance sheet? We are looking for a Senior Risk Analyst with quantitative skills to help us make sure that the models used for asset and liability risk management (ALM) work as intended.

The ALM models covers models used for measuring liquidity risk and interest rate risk in the banking book. Validation of these important models requires both a good understanding of the bank’s business model and balance sheet and the use of advanced econometric and statistical methods on large amounts of data. You will become a part of a small team focused on asset and liability management models within the Model Risk Management (MRM) department.

MRM plays an integrated and central part in Danske Bank’s risk management by providing an independent view of how new and existing models are performing. All model areas in Danske Bank are covered by MRM, and MRM provides many opportunities for both personal and professional development.

We expect you to be interested in applying your investigative skills in order to assess if the models are fit for their purpose and work as intended. You should be proficient with data handling and be able to transform insights from statistical analysis into actionable findings. You will work in close collaboration with a diverse and highly skilled group of colleagues across various functions in MRM (both in Vilnius and Copenhagen) and key stakeholders (model developers and models).

We work with 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.

Depending on your experience, you may be offered a different seniority of the role.

Mission

• Organize and run a comprehensive analysis of the specific models, understanding the use of the models based on the business context, regulations, best practices, and empirical evidence
• Handle and analyse large amounts of data using applicable quantitative methods and tools
• Interpret the results and summarise your findings based on these analyses
• Report and present your findings, together with colleagues, to relevant stakeholders, including business units and senior management
• Develop new approaches to the validation of the models by gaining experience

Skills

• A university degree in a quantitative field (e.g., economics, mathematics, physics, engineering, statistics)
• At least 2-3 years of experience working with asset and liability management, model validation, or model development
• Team-oriented person with motivation and commitment to deliver high quality on time
• Upper-Intermediate English, both spoken and written, and an interest in the communication of complex issues
• Able to see the big picture while also paying attention to the finer details
• Experience with programming with analytical tools such as Python, R or SQL would be beneficial

We offer:

We will ensure that exact salary offered for you will be based on your qualifications, competencies, professional experience and requirements for the corresponding job function (salary range from 3120 EUR to 4680 EUR gross EUR/monthly).

Your title in job contract will be Specialist – Risk, Senior.

Agnethe Korreman