Area

Do you want to join an innovative risk modelling environment at Danske Bank and contribute to the continued development of Danske Bank’s market risk management? Do you have an analytical and mathematical mind-set and interest in financial risk modelling? Join now, and you will get a unique opportunity to use and further develop your skills.

Risk Modelling is part of Market & Liquidity Risk based in Copenhagen with +50 employees who all share the interest in market, liquidity and counterparty risk, financial markets and financial products. Our main task is to model, quantify, monitor and report the Group’s market, liquidity and counterparty risks, including development of our internal risk models.

You will be part of the Market Risk Modelling team in Risk Modelling. The team is responsible for developing and maintaining the bank’s internal models for market risk that are used for calculation of regulatory capital requirements as well as for internal risk management. The models use advanced financial modelling performed by the team in collaboration with the quant and IT departments. The models cover the market risk in the bank’s trading area as well as the non-trading area.

The position could be based in Copenhagen, Denmark or Vilnius, Lithuania.

We offer an attractive development opportunity among highly competent and experienced colleagues. We work with a high degree of freedom with responsibility and support each other in our efforts to constantly become better at helping the team create results. Furthermore, we offer you:

• Opportunities to grow your expertise
• A culture of inclusion that values each employee’s unique perspective
• Rewarding work with the flexibility to work partly from home
• An informal environment where collaboration is prioritized
• An exciting job combining the fields of programming, mathematical finance modelling and practical application

Mission

• Contribute to the development and implementation of market risk models especially within the treasury area
• Develop and maintain advanced market risk models especially within the treasury area (IRRBB)
• Follow EU regulation within the area and secure regulatory compliance
• Liaise with the trading and non-trading areas, IT and the quant area
• Sometimes work on your own, sometimes in close collaboration with the rest of the team and the neighbour teams in Risk Modelling
• Work in strongly specialized department profiting from a high degree of knowledge sharing, with the opportunity to develop a high level expertise within financial risk modelling

Skills

• Hold a MSC or PhD within economics with a strong mathematical focus.
• Have a good knowledge of financial product and financial modelling techniques.
• Have good knowledge and experience working with standard programming tolls like Python, SQL, VBA, R and SAS.
• Curious and eager to learn, able to work systematically and able to solve complex problems
• Proactive, eager to take ownership of your work.
• You have advanced communication skills, high level of English language

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 2680 EUR to 4020 EUR gross EUR/monthly).

Your title in job contract will be Analyst - Statistical, Senior.