- Skelbimas
- Atlygis/Miestas
- Apie įmonę
Area
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 organization and the market risk area. It will significantly boost the understanding of how banks trading and market operations work and give excellent insight on how mathematical models are key for succeeding in this business 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 used in derivative pricing, xVA and Market Risk
- Use the solid mathematical background to critically assess conceptual soundness, model assumptions, methodologies, and data inputs to ensure alignment with industry best practices and regulatory requirements
- Collaborate intensively with Quants, traders, and the Market Risk department 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 significant quantitative background, for example a MSc or PhD in either Economy, Finance, Mathematics or Physics with a good mathematical knowledge
- Knowledge of derivative pricing models and techniques, alternatively, the candidate should exhibit a clear interest into learning more on the subject
- Preferably 2-3 years of pertinent experience within derivative pricing or market risk models. Candidates lacking industry experience but with academic background are also encouraged to apply
- 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
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
- Additional health insurance package
- Free parking & charging ports - cars, bicycles, e-scooters
Vietovė
- Vilnius, Vilniaus apskritis, Lietuva
Laikas
- Visa darbo diena
Kalbos
- Anglų
- Lietuvių
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.