Quantitative Risk Model Developer for Asset Management
Danske Bank Lithuania
Quantitative Risk Model Developer for Asset Management
Danske Bank Lithuania
Quantitative Risk Model Developer for Asset Management
Danske Bank Lithuania

Quantitative Risk Model Developer for Asset Management

Danske Bank Lithuania


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 experienced colleagues in this perfect opportunity as Quantitative Risk Model Developer in the Risk Modelling and Advisory team!

The Risk Modelling and Advisory team has three areas of responsibility within model development: risk challenge of investment strategies and risk/return advice to institutional clients and internal stakeholders. The team consists 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 come 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 key figures such as duration, spread durations, ESG metrics, stress-test scenarios across various horizons, and assumptions. Our model library is written in Python and uses an internal cloud infrastructure. In addition, we work with selected external vendors that are integrated into our risk platform.

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

You will:

  • Contribute to the ongoing development of the Asset Management Risk Model library to ensure that it adequately captures 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
  • Be responsible for model validation and audit alignment with Danske Bank Group requirements

About you:

  • Experienced programmer in Python and other languages
  • Curiosity and enthusiasm for your subject matter
  • Ability to simplify complex matters to facilitate decision-making and progress
  • Relevant academic background in math, finance, or similar
  • Good understanding of how mathematical modelling is used in finance, combined with good programming skills
  • Understanding of financial markets and measurement of investment risks
  • Advanced English language skills

We offer

Monthly salary range from 2000 EUR to 3000 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
  • 24/7 gym services and group trainings
  • Free parking & charging ports - cars, bicycles, e-scooters
Mėnesinis bruto atlyginimasBruto/mėn.  € 2000 - 3000


    Vilnius, Vilniaus apskritis, Lietuva


  • Visa darbo diena


  •  Anglų
  •  Lietuvių
Kontaktinis asmuo
Jens Bay Christensen
In Danske Bank Lithuania we gathered smart, innovative and open colleagues with can-do mindset, who are reimagining banking services and creating an ingenious product portfolio, and at the same time – ensure smooth daily operations of the entire Danske Bank Group.

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.

Įmonės tinklalapishttps://job.danskebank.lt/

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