Senior Analyst for Probability of Default Modelling For Credit Risk Modeling, Risk Analytics

Danske Bank

Fuldtidsjob
Storkøbenhavn
Udlandet (øvrige)

Do you want to participate in developing the next generation of models for measurement of Probability of Default (PD) in Danske Bank? Join us for a exciting job that will provide you with possibilities for professional development at a leading Nordic financial institution.

You will be working in Credit Risk Modelling– a global team located in both Copenhagen and Vilnius. The team is responsible for developing and operating Danske Bank's PD models for all customers within the Danske Bank Group.

As part of Risk Analytics, a department consisting of approximately 120 dedicated employees, you would be responsible for modelling and quantifying credit risk for corporate and retail customers.

Combine business needs and data driven analytics to build and maintain PD models for the future.
You will work in close collaboration with key stakeholders across various risk management and business functions in order to gain the necessary business understanding and ensure the business case of the final models in implementation.

Furthermore you will:

  • Be a part of projects developing various statistical models, from data collection, validation, segmentation, modelling, implementation and documentation. This includes working closely with internal stakeholders and regulators.
  • Support the business in their day-to-day workings with the models through analysis and communication on all model aspects.
  • Build up new methodology and contribute to on-going improvements in the PD model landscape as part of the harmonization to EBA regulatory requirements.

The role covers a range of skillsets around differing programming languages, mathematical approaches in solving problems, business processing solutions to support statistical model requirements, and the need for in depth data analysis in supporting the quantification of problems and their resolutions.

Given the broad range of skill-sets and interactions across Danske Bank, this role offers a unique opportunity towards maintaining and improving an individual’s understanding across an array of disciplines.

Good collaborative mind-set, appetite for value creation and solid programming skills.
Danske Bank is on an exciting journey with a focus on becoming a better bank and our costumers most trusted advisor. Therefore, it will be vital that you have the curiosity to understand how your work influences and creates value. It will be important, that you have the ability to navigate in a changing regulatory environment.

As you will be interacting with various stakeholders and working in close collaborating with the team, you must possess strong communication skills and capability to cooperate across a broad range of stakeholders.

Your background:

  • University education (MSc or PhD) within a quantitative field: Mathematics, Statistics, Physics or Economics with a strong analytical profile
  • Experience in data manipulation and handling, as well as with statistical PD modelling is required
  • Programming skills with knowledge of SQL, SAS, R, C# and Python being an advantage
  • Fluent English, both spoken and written

Knowledge of low default portfolios and regulatory requirements (IRB) and experience in dealing with regulators is preferred, but not a requirement.

Join us!
Send us your CV and application! Please note that we are processing applications on a continuous basis so please apply as soon as possible.

If you have any questions please contact Sebastian d’Elboux on +45 20698906.

Send application and CV no later than 02-05-2020.


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Ansøgningsfrist d. 05.02.2020
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Fuldtidsjob
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Udlandet (øvrige)
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