Quantitative Risk Model Developer for Asset Management

2 weeks ago

København V, Denmark Danske Bank Full time
Are you looking for the opportunity to combine your academic background, programming skills and experience in quantitative financial risk modelling with the desire to work in an analytical environment? Then join some talented colleagues in this perfect opportunity as Quantitative Risk Model Developer in the Risk Modelling & Advisory team


The Risk Modelling & Advisory team has three areas of responsibilities within model development, risk challenge of investment strategies and risk/return advice to institutional clients and internal stakeholders.

The team consist of ten quantitative risk model developers and investment analysts all with a dedicated quantitative risk mindset to support our stakeholders and our customers in understanding the risks that comes with investing.

The open position is within risk model development. The team is responsible for the investment risk models used across the Asset Management value chain.

The models cover primarily market risks and all related risk figures across asset classes, but also other risk types like liquidity and counterparty risk.


The model library includes among others VaR, Expected Shortfall, various keyfigures such as duration, spread durations, ESG metrics, stress-test scenarios across various horizons and assumptions.

Our model library is written in python and is using an internal cloud infrastructure. In addition, we work with selected external vendors that are integrated into our risk platform.

Develop and integrate quantitative risk desk tools


The models have multiple purposes across Asset Management users covering portfolio management within hedge-fund strategies, multi-asset portfolios, asset class specific strategies, risk management in our Danske Invest branches as well as risk analysis used in dialogue and advice with larger clients.


In summary, your focus will be on:

  • Ongoing development of the AM Risk Model library to ensure that it adequately capture the risk across a continuously increasing universe of portfolios and instruments
  • Bridge the work across quantitative finance methodologies, business needs, model implementation in Python and the technical platform
  • Prepare material for the Model Risk Council
  • Model validation and audits aligned with Danske Bank Group requirements


Furthermore, you will contribute to the future development of the asset management investment risk platform using your financial know-how and implementation skills.

Shape the Future of Asset Management with your financial expertise and Python skills


We are looking for a new colleague with a good understanding of how mathematical modelling is used in finance combined with strong programming skills.

You have an understanding of financial markets and how to understand and measure investment risks – furthermore, you:

  • Are an experienced programmer in Python and preferable other languages and finds joy in code development
- bring a genuine curious mind and show enthusiasm for your subject matter

  • Simplify complex matters to facilitate decision making and progress
  • Have a relevant academic background in math, finance or similar
You can effectively communicate, engage in dialogue, and establish close collaboration with stakeholders across Asset Management.

"You can either be a younger and talented candidate looking for a great opportunity for developing - or a more experienced quantitative developer looking for a new challenges. Eitherway, we will help you succeed in the positions as long, as you bring the right mindset"

Send us your application


Please note, that we are processing applications on a continuous basis, so we encourage you to apply as soon as possible.

To learn more about the position, please do not hesitate to contact Jens Bay Christensen,

We look forward to hearing from you

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