Counterparty Risk Exposure Analyst

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Job Description

Do you want to join an innovative risk modelling 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 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.

Group Market & Liquidity Risk is a Copenhagen-based department with +50 employees who all 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 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.

Your responsibilities
As our new colleague in the Counterparty Exposure Modelling team, you have a broad area of responsibility and you are encouraged with many different types of tasks and projects. Among other things, you will:

  • Monitor model performance
  • Perform model controls
  • Enhance and develop automated processes and control
  • Develop interactive tools for monitoring, reporting and control of risk models
  • Develop and expand our data warehouse to automate and optimise our processes.
  • Communicate your analysis and decisions in a clear and concise manner to senior management and other departments
  • Ensure that we maintain a strong governance with respect to risk monitoring
  • You will work in a solid specialist team profiting from a high degree of knowledge sharing, where you will have the opportunity to develop a high level of expertise within counterparty risk modelling.


    About you
    You hold a MSC in either economics, mathematics, statistics, physics or finance. You are either newly graduated or have some years of practical experience with IT programming (Python, C#, SQL, SAS or similar) and some experience in data analysis and database management tools. You have a keen interest in, or experience working with financial markets.

    The ideal candidate has practical experience within valuation and risk modelling of OTC derivatives.

    You work systematically and with your analytical and goal-oriented mind-set you are able to analyse and solve complex problems. You are curious and constantly seeks to work smarter. You are enthusiastic and it is natural for you to take ownership of your work. You have good communication skills, written and oral, and you are fluent in English. Danish is not a requirement.

    What we offer
    We offer an attractive development opportunity among highly qualified and aspirational colleagues. We work with a high degree of freedom with responsibility and support each other in our efforts to constantly become better at assisting the team create results. Furthermore, we offer you:

  • Opportunities to grow your expertise
  • A culture of inclusion that values each employee’s personal perspective
  • Rewarding work with the flexibility to enjoy personal and family experiences
  • An informal environment where collaboration is prioritized
  • An exciting job combining the fields of finance, mathematical modelling, data analysis, controlling and operation of risk models, IT programming and practical application.
  • Your workplace will either be at the Danske Bank’s Headquarters at Kongens Nytorv in the centre of Copenhagen or at our office in Vilnius.

    Culture

    We want to be a bank where everyone has the same opportunities and feels free to be who they are. Diversity and inclusion is considered key to unlocking the full potential of our employees and broadening our thinking, which will form the basis for better decision making.

    We want to grow a diverse and inclusive workplace that reflects the societies we are part of and ultimately enable us to provide the best solutions - so we want you to be you!

    As part of Working@Danske we have created a flexible and virtual workplace, as we want to support colleagues in working seamlessly between home and the office.

    Skriv i din ansøgning, at du fandt jobbet på ofir.dk


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    Counterparty Risk Exposure Analyst

    Job Description

    Do you want to join an innovative risk modelling 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 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.

    Group Market & Liquidity Risk is a Copenhagen-based department with +50 employees who all 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 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.

    Your responsibilities
    As our new colleague in the Counterparty Exposure Modelling team, you have a broad area of responsibility and you are encouraged with many different types of tasks and projects. Among other things, you will:

  • Monitor model performance
  • Perform model controls
  • Enhance and develop automated processes and control
  • Develop interactive tools for monitoring, reporting and control of risk models
  • Develop and expand our data warehouse to automate and optimise our processes.
  • Communicate your analysis and decisions in a clear and concise manner to senior management and other departments
  • Ensure that we maintain a strong governance with respect to risk monitoring
  • You will work in a solid specialist team profiting from a high degree of knowledge sharing, where you will have the opportunity to develop a high level of expertise within counterparty risk modelling.


    About you
    You hold a MSC in either economics, mathematics, statistics, physics or finance. You are either newly graduated or have some years of practical experience with IT programming (Python, C#, SQL, SAS or similar) and some experience in data analysis and database management tools. You have a keen interest in, or experience working with financial markets.

    The ideal candidate has practical experience within valuation and risk modelling of OTC derivatives.

    You work systematically and with your analytical and goal-oriented mind-set you are able to analyse and solve complex problems. You are curious and constantly seeks to work smarter. You are enthusiastic and it is natural for you to take ownership of your work. You have good communication skills, written and oral, and you are fluent in English. Danish is not a requirement.

    What we offer
    We offer an attractive development opportunity among highly qualified and aspirational colleagues. We work with a high degree of freedom with responsibility and support each other in our efforts to constantly become better at assisting the team create results. Furthermore, we offer you:

  • Opportunities to grow your expertise
  • A culture of inclusion that values each employee’s personal perspective
  • Rewarding work with the flexibility to enjoy personal and family experiences
  • An informal environment where collaboration is prioritized
  • An exciting job combining the fields of finance, mathematical modelling, data analysis, controlling and operation of risk models, IT programming and practical application.
  • Your workplace will either be at the Danske Bank’s Headquarters at Kongens Nytorv in the centre of Copenhagen or at our office in Vilnius.

    Culture

    We want to be a bank where everyone has the same opportunities and feels free to be who they are. Diversity and inclusion is considered key to unlocking the full potential of our employees and broadening our thinking, which will form the basis for better decision making.

    We want to grow a diverse and inclusive workplace that reflects the societies we are part of and ultimately enable us to provide the best solutions - so we want you to be you!

    As part of Working@Danske we have created a flexible and virtual workplace, as we want to support colleagues in working seamlessly between home and the office.

    Skriv i din ansøgning, at du fandt jobbet på ofir.dk


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