Chief Quantitative Analyst for Model Risk Management
4 days ago
Do you have the motivation and skills to play an important role in the Credit Risk Model Validation team, a part of the Model Risk Management department in Danske Bank? And would you like to get a solid overview of risk management?
MRM plays an integrated and central part in Danske Banks' risk management by providing an independent view of how new and existing models are performing.
Currently, the 16 people in CRMV are responsible for credit risk models (LGD, PD, CF), IFRS9 and all credit decision models, but MRM covers all model areas in Danske Bank. MRM provides a lot of opportunities for both personal and professional development.
Work across the function in Model Risk Management
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 key stakeholders (model developers and model owners), advising on model design, implementation and performance. You will:
- Coordinate projects, where you will also play a focused participant in getting the work done.
- Organize and run a comprehensive analysis of the specific models and data applied using applicable quantitative methods and tools.
- Assist less experienced colleagues on assignments/projects.
- Interpret the results based on the data analysis and write your conclusions.
Having concluded, you will report and present your findings together with colleagues to relevant stakeholders, including senior management, business units, and the Danish FSA (the regulatory supervisor of Danske Bank Group). As you gain experience, you will provide input to the validation process to optimize this.
Can you handle data with high quality?
We are looking for a team-oriented person with motivation and commitment to deliver high quality on time. You are able to encourage assignments and ensure a high-quality outcome.
Furthermore, we expect you to have experience applying your investigative skills, be proficient with data handling, and be able to transform insights from statistical analysis into actionable findings. We also hope you bring to the team:
- University degree in a quantitative field (e.g., mathematics, physics, economics, engineering, statistics).
- Experience validating IRB models, solid knowledge of the relevant regulation, and ability to interpret the requirements.
- Minimum 6-7 years of model validation or model development experience, preferably using analytical tools such as Python and/or SQL.
- Thorough understanding of data quality and key sources of data.
- Upper-intermediate English, both spoken and written – and solid communication skills.
You have an interest in motivating and guiding less experienced colleagues, while paying attention to detail. If you also have the ability to meet deadlines with tight time constraints, then we cannot wait to hear from you
Caught your attention?
Feel free to contact Morten Gadegaard Jørgensen, Head of Credit Risk Model Validation at Danske Bank +45 29 28 28 62 .
We look forward to hearing from you
Address:
Bernstorffsgade 40
1577 København V
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