- Skelbimas
- Atlygis/Miestas
- Apie įmonę
Area
Do you want to join an innovative risk modelling environment at Danske Bank?
Do you have an analytical mind-set and interest in financial modelling of derivatives? Join now, and you will get an original opportunity to use and further develop your skills.
Our main task is to quantify, monitor and report the Group’s market, liquidity and counterparty risks, including maintaining and development of our internal risk models.
As a part of Group Market & Liquidity risk, the Counterparty Exposure Modelling team is responsible for developing, utilising and monitoring the advanced models (Monte Carlo models for calculating EE and PFE, IMM model, CVA risk charge etc.) used by the Danske Bank Group in quantifying counterparty risks in both the bank’s internal risk management and in the regulatory capital calculation.
*Depending on your qualifications, you may be offered a different seniority of the role.
Skills
- You hold a MSC or PhD in either mathematics, statistics, physics or finance with a high mathematical focus and a have a proven academic record
- You have some years of practical experience with IT programming (Python, C#, Java or similar, the analytics software SAS and SQL)
- You have a keen interest in, or experience working with financial markets
- You have practical experience within valuation and risk modelling of OTC derivatives from a large international financial institution
- You work systematically and with your analytical and goal-oriented mind-set, you are able to analyse and solve complex problems.
- Experience with modelling of counterparty risk will be consider as advantage
- You have good communication skills, written and oral, and you are fluent in English
Mission
- Develop and maintain the advanced simulation models for counterparty risk exposure
- Participate in the ongoing model performance monitoring and model adjustments
- Liaise with Trading, IT, Credit risk and Quant departments on the advanced models
- Utilise, develop and maintain the counterparty model analytics library
- Participate in development project of new counterparty risk model IT and model infrastructure
- Implement, improve and operate the infrastructure for reporting and control of counterparty risk
- Develop and maintain interactive reporting tools
We offer
We will ensure that exact salary offered for you will be based on your qualifications, competencies, professional experience and requirements for the corresponding job function (salary range from 2240 EUR to 3360 EUR gross EUR/monthly).
We care about your well-being and work-life balance, so we offer a whole package of benefits for you in addition! Check this out
Vietovė
- Vilnius, Vilniaus apskritis, Lietuva
Laikas
- Visa darbo diena
Kalbos
- Anglų
- Lietuvių
Lars Gammelgaard
+4545139511
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.