Development and maintenance of advanced derivatives counterparty risk models
Do you want to join an innovative risk environment at Danske Bank and contribute to the continued development of Danske Bank’s counterparty risk models used for internal risk management and calculation of regulatory capital?
Do you have an analytical mindset and interest in financial modelling of derivatives?
Join now, and you will get a unique opportunity to use and further develop your skills.
Market & Liquidity Risk is a Copenhagen-based department with 50 employees who share the interest for market, liquidity and counterparty risk, financial markets and financial products. Our main task is to quantify, monitor and report the Group’s market, liquidity and counterparty risks, including maintaining and developing our internal risk models.
Counterparty risk modelling
You will be developing and utilising 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 in-house risk management and in calculating capital. Together with your colleagues you will also be assisting in development projects, which you will influence through your specific field of expertise, thereby boosting our high professional standards.
You will be liaising with Danske Bank C&I on deliveries for model calculations and on the introduction of new financial instruments in the models. In collaboration with Group IT and our Quant department you will develope and implement our models, and by applying the risk models you will reach results which you will communicate to the relevant business partners.
Interest in mathematics, finance and IT
We are looking for an ambitious person who would like to pursue a career as a Risk Analyst. Your success will be defined by your ability to demonstrate sharp analytical skills combined with an ability to climb a steep learning curve and work as a team player.
You hold an MSc or PhD in either mathematics, statistics, physics or finance with a mathematical focus. You have a keen interest in, or experience working with, financial markets, IT and programming. Knowledge of SQL and Python or other programming languages is an advantage, but not a requirement. Experience with visualisation tools such as Tableau is also an advantage.
The ideal candidate either has a few years of practical experience within the market or counterparty risk area including knowledge of valuation and risk-assessment of OTC derivatives or has just graduated and is eager to learn. You work systematically and with your analytical and goal-oriented mindset you are able to analyse and solve complex problems. You are curious and you constantly attempt to work smarter. You have strong communication skills, written and oral, and you are fluent in English. Danish is not a requirement.
What we offer
In the Market Risk department you will be challenged daily to constantly learn new skills and will have a dynamic workday. We offer a very good working environment and great colleagues. Our office is located in Danske Bank’s headquarters at Kongens Nytorv in the very centre of Copenhagen.
If you have any questions, please feel free to call Head of Counterparty Exposure Modelling, Lars Gammelgaard on +45 53 60 34 23 or Head of Risk Modelling, Niels Peter Vadstrup, +45 45 12 80 19.
Send application and CV no later than 09.02.2018.
For more information and how to apply, please click here