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Would you like the opportunity to work in a challenging and collaborative environment while contributing to the overall risk management framework of our organization? If you are excited about market risk, derivative pricing, and model validation, we invite you to apply and be part of our innovative team.
Danske Bank is one of Europes leading financial institutions, with approximately half a trillion euros in assets. As our new Model Validator, you will be responsible for evaluating and ensuring the accuracy, reliability, and effectiveness of our organizations market risk and derivative pricing models.
The Model Risk Management department, to which our team belongs, covers all models in Danske Bank Group, and your role will be critical in identifying potential risks and providing valuable insights to enhance our risk management strategies.
This is a role with a lot of engagement with key parts of the trading floor, the market risk area, and other areas of the bank where financial products are traded. It will give excellent insights into how our banks trading and market operations work and a chance to significantly boost the skills and understanding of the organization, says your future Manager.
Can you identify potential risks?
Our team covers models applied for the valuation of OTC derivatives and the calculation of risk sensitivities for fair value positions, XVA, Initial margin, Internal models for Market and Counterparty Credit Risk.
Danske Bank supports a high degree of workplace flexibility (we currently use a hybrid work model, where we work at least 3 days in the office).
*Depending on your experience and knowledge, we may offer you a different seniority for the role.
You will:
- Execute comprehensive validation of Trading models, including various derivative pricing models as well as Value at Risk (VaR), Incremental Risk Charge (IRC) and Counterparty Credit Risk (CCR) models
- Critically assess model assumptions, methodologies, and data inputs to ensure alignment with industry best practices and regulatory requirements
- Collaborate intensively with model developers, traders, and risk managers to comprehend model specifications, identify limitations, and pinpoint potential enhancements
- Utilize advanced statistical and quantitative methods to evaluate model performance, validate model results, and unearth opportunities for refinement
- Engage in model validation projects, which encompass documenting validation procedures and results, presenting findings to key stakeholders and regulatory authorities, while staying current with the latest trends in the market, financial products, and regulatory changes that affect market risk and derivative pricing models
About you:
- A MSc or PhD in either Economy, Finance, Mathematics or Physics with a good mathematical knowledge
- At least 2-3 years of pertinent experience in model validation, development, or other similar analytical roles is anticipated
- Familiarity with trading products and financial instruments like derivatives or fixed income will be beneficial
- Exhibit an analytical and target-oriented mindset to identify and resolve intricate problems
- Possess robust communication skills, upper-intermediate level both written and spoken, in English – proficiency in Danish is not mandatory
- Exhibit a clear sense of prioritization
- Demonstrate significant collaboration abilities and the capacity to cultivate relationships across the bank with model developers and model owners
- The optimal candidate will also have previous experience working with Derivative pricing/valuation and/or Market risk models
We offer
Monthly salary range from 3120 EUR to 4680 EUR gross (based on your competencies relevant for the job).
Additionally, each Danske Bank employee receives employee benefits package which includes:
- Growth opportunities: professional & supportive team, e-learnings, numerous development programs; (incl. professional certificates); 100+ professions for internal mobility opportunities.
- Health & Well-being: a diverse, inclusive, work & life balance work environment; additional health insurance; mental well-being practices; partial psychologist counselling compensation; silence and sleep zones at the office; game rooms.
- Hybrid working conditions: home office budget (after the probation period); modern Danske Campus workplace developed with anthropologist for the best employee experience.
- Additional days of leave: for rest, health, volunteering, exams in higher education institutions, and other important activities. Moreover, for seniority with Danske Bank.
- Monetary compensation package: accidents & critical diseases insurance; financial support in case of unfortunate events, travel insurance; IIIrd Pillar Pension Fund contribution.
- Additional days of vacation
- Canteen services and free fruits
- Third pillar pension fund
- Free parking & charging ports - cars, bicycles, e-scooters
Location
- Vilnius, Vilniaus apskritis, Lithuania
Time of work
- Full-time
Languages
- English
- Lithuanian
Senior Analyst Trading Models Validation
Consider us as “the engine of the bank” – while we do not provide banking services to customers in Lithuania, we are the brain and muscle behind many of Danske Bank’s services to our global customers. Our high-quality delivery and can-do approach led us to becoming a strategic site for Danske Bank, an international community of 22,000+ colleagues worldwide.
Danske Bank Lithuania is Danske Bank’s strategic unit, providing finance, IT and global business services to serve our customers worldwide. We are on a journey to push the banking boundaries and make constant improvements in how we operate. We aim to do this by combining the best of two worlds: the strengths of what Danske Bank has built over 150 years and the approach of start-ups to what we are going to create in the future.
We see diversity as our potential, and the cornerstone of our company’s success, that will ensure our continued competitiveness and innovative strength.
We try to create an inclusive workplace where differences are our strengths and where people feel valued and can realise their full capabilities.
Because of that, the critical focus point for us is to be able to recruit, develop and retain employees without attaching any specific labels to them.