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Quantitative analyst for ALM Model Validation
Quantitative analyst for ALM Model Validation
Quantitative analyst for ALM Model Validation
Danske Bank Lithuania
Quantitative analyst for ALM Model Validation
Quantitative analyst for ALM Model Validation

Quantitative analyst for ALM Model ValidationDanske Bank Lithuania

Area

Are you interested in how a bank effectively measures and manages the risk on it’s balance sheet? We are looking for quantative analyst to support us make sure that the models used for assets and liabilities risk management (ALM) works as intended.

The ALM models covers models used for measuring liquidity risk and interest rate risk in the banking book. Validation of these important models requires both a good understanding of the banks business model and balance sheet but also use of advanced econometric and statistical methods on large amount of data.

You will become a part of a small team focused on assets and liabilities management models, within the Model Risk Management (MRM) department.

MRM plays an integrated and central part in Danske Banks’ risk management by providing an independent view of how new and existing models are performing. All models areas in Danske Bank are covered by MRM, and MRM provides many opportunities for both personal and professional development.

We expect you to be interested in applying your investigative skills in order to assess if the models is fit for their purpose and works as intended. You should be proficient with data handling and be able to transform insights from statistical analysis into actionable findings.

You will work in close collaboration with a diverse and highly skilled group of colleagues across various functions in MRM (both in Vilnius and Copenhagen) and key stakeholders (model developers and model).

We work by a high level of empowerment, so to a large extent, you will be able to influence and structure your workday and choose the tools and innovative approaches to model validation.

You will:

  • You will organize and run a comprehensive analysis of the specific models understanding the use of the models based on the business context, regulations, best practices and empirical evidence
  • You will handle and analyze a large amount of data using applicable quantitative methods and tools
  • Based on these analyses, you will interpret the results and summarize your findings
  • Report and present your findings together with colleagues to relevant stakeholders, including business units and senior management
  • Gaining experience you will develop new approaches to validation of the models

About you:

  • University degree in a quantitative field (e.g. economics, mathematics, physics, engineering, statistics)
  • Previous experience with validation or development of any models would be considered a bonus
  • Experience with programming with analytical tools such as R, Python or SQL would be considered a bonus
  • Team-oriented person with motivation and commitment to deliver high quality on time
  • Upper-intermediate English, both spoken and written – and an interest in the communication of complex issues
  • Able to see the big picture but also give attention to the finer details

We offer

Monthly salary range from 1840 EUR to 2760 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; health insurance from the first day of employment; 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
  • Health insurance from the first day of employment
  • Third pillar pension fund

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