Danske Bank A/S Lietuvos filialas
Danske Bank A/S Lietuvos filialas

Senior Quantitative Specialist for Credit Model Validation

3.120 - 4.680 €
Neatskaičius mokesčių
11 Peržiūrų

Area

The Model Risk Management (MRM) department is integral to Danske Bank’s risk management strategy, providing independent assessments of model performance across various domains, including credit risk models like LGD, PD, CF, and IFRS9. You will collaborate with a diverse and skilled team located in Copenhagen, Vilnius, and Warsaw, advising on model design, implementation, and performance, which will enhance your experience and influence within the bank.

In your role, you will coordinate and participate in projects, conduct comprehensive analyses using quantitative methods, and assist less experienced colleagues. You will interpret data analysis results, draw conclusions, and present your findings to key stakeholders such as senior management and the Danish FSA. With experience, you will also contribute to optimising the validation process.

We are seeking a skilled Senior Quantitative Specialist with a focus on statistical methods in credit risk model validation. You will ensure the integrity, accuracy, and robustness of our credit risk models, aligning with regulatory compliance and industry best practices. This role offers an opportunity to influence risk assessment strategies and enhance the financial stability of our operations.

Our team of 50 professionals supports both personal and professional growth. We offer a high level of empowerment, allowing you to influence and structure your workday and choose the tools and innovative approaches to model validation. If you are ready to enhance our risk assessment strategies and contribute to the financial stability of our operations, we look forward to hearing from you!

Depending on your experience and knowledge, a different seniority level may be offered.

Mission

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 with key stakeholders (model developers and model owners), advising on model design, implementation, and performance.

  • Coordinate projects and actively participate in their implementation
  • Conduct comprehensive analyses of models and data using quantitative methods
  • Assist less experienced colleagues with assignments and projects
  • Interpret data analysis results, write conclusions, and present findings
  • Report and present findings to stakeholders, including senior management and the Danish FSA
  • Contribute to optimising the validation process

Skills

  • Team-oriented with a focus on delivering high-quality work on time
  • Possess a university degree in a quantitative field (e.g. mathematics, physics, economics, engineering, statistics)
  • Have experience in validating IRB models, with solid knowledge of relevant regulations
  • Minimum of 3-4 years of experience in model validation or development, ideally using tools like Python and/or SQL
  • Understand data quality and key data sources
  • Capable of motivating and guiding less experienced colleagues while paying attention to detail
  • Able to meet deadlines under tight time constraints
  • Upper-Intermediate in English, both spoken and written, with strong communication skills

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.

City:

Vilnius

Remote work:

No

Working time:

Full time

Valid till:

2025-03-03

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