Area

If you are fascinated by defining modelling solutions, which are used in the financial world, we can’t wait to connect with you!

In our team, we calculate the financed carbon emissions*, design the climate stress testing models** and find new data sources (both internal and external) to quantify risks related to environmental, social and governance factors – short ESG risks. Our data and modelling solutions are crucial input for many risk management processes in the Group and – at the same time – there is a strong focus from the financial regulators on our work.

We are a team of Data Scientists located in Vilnius and Copenhagen and are set to use our data, programming and risk-management skills. We focus a lot on analysing new ESG data, merging it with our internal data, making various portfolio analysis and also define simple mathematical solutions. Collaboration is an absolute high priority and with a colleague as your buddy to support you during your first months, you will quickly gain experience. As part of this, you will also engage with peers, external data vendors and internal stakeholders across the Group in order to collect & analyse the relevant data and to obtain the necessary understanding of the results.

We hope you are interested in calculating the financial impacts of climate changes and we are looking forward to hearing from you! The position is located in Vilnius.

Depending on your experience and knowledge, we may offer you different seniority of the role.

* cf. PCAF standards (https://carbonaccountingfinancials.com/files/downloads/PCAF-Global-GHG-Standard.pdf)

** cf. ECB’s report on good practices for climate stress testing (https://www.bankingsupervision.europa.eu/ecb/pub/pdf/ssm.202212_ECBreport_on_good_practices_for_CST~539227e0c1.en.pdf)

Mission

• Work with data to support our risk-management efforts. This includes, e.g., various data preparations and analyses mainly using SQL and Python
• Find new data sources (both internal and external) and engage with data vendors to enable necessary ESG data collection
• Develop and refine our modelling approaches to ESG risks, e.g., the calculation of financed emissions
• Become the technical expert of our climate stress-testing engine, which runs in PySpark on Hadoop (models will migrate to AWS cloud soon)
• Provide expertise and insights to stakeholders and model users across the Group for risk-steering and management
• Document and present your findings in an easily understandable language

Skills

• Higher education in a quantitative science (e.g. mathematics, physics, economics, engineering, statistics or similar)
• Experience in data and modelling
• Great Python skills and good knowledge of SQL
• Advanced English skills (spoken and written)
• High focus on collaboration
• Generally, you have a keen interest in working with risk management and enjoy data collection
• Experience with credit risk models (e.g., probability of default, loss given default, exposure at default) and risk management in the financial sector will be considered as 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 2640 EUR to 3960 EUR gross EUR/monthly).

Your title in job contract will be Data Scientist.

Mark Thomas