Location: Vilnius, Lithuania

Are you an experienced data scientist with an interest in credit risk models? Join our LGD, CF and AVM team and make an impact at Danske Bank.

The LGD, CF and AVM team within Group Risk Analytics are responsible for running Danske Bank’s Internal Ratings-Based (IRB) models, specifically focusing on Loss Given Default (LGD), Conversion Factor (CF) and Asset Valuation Models (AVM).

We are looking for a skilled and motivated Senior Data Scientist to support us in maintaining credit risk models. If you have a mix of analytical expertise, strong communication skills and a collaborative mindset, we encourage you to apply.

In this role, you will be part of an international team located in Vilnius and Copenhagen, working together to deliver high-quality results while promoting a culture of openness, teamwork and shared responsibility.

You will:

• Perform analytical tasks, including extracting, transforming and interpreting data.
• Rewrite and migrate existing processes and models from legacy languages to Python, and develop new procedures in an environment that requires flexibility.
• Support the maintenance and operation of credit risk models, including analysing and investigating incidents related to data and methodology, communicating findings clearly to stakeholders and working with them to clarify business needs.
• Mentor junior colleagues, sharing your knowledge and experience in data science and related areas.
• Communicate with non-technical stakeholders, distilling complex concepts into clear, accessible language to support the bank’s business.

About you:

• We imagine you bring 3+ years of experience from a similar position.
• Proficient Python and SQL skills, with the ability to read and adapt code in other languages such as SAS.
• Higher education in a quantitative discipline (e.g. economics, mathematics, physics, engineering or statistics).
• Willingness to accept responsibility and lead tasks through to fully implemented solutions.
• Strong communication skills, with the ability to effectively engage with technical and non-technical stakeholders.
• Collaborative, self-driven and team-oriented.
• Experience with credit risk models and related regulatory requirements would be beneficial but not essential.
• Fluent English, both spoken and written

Join us! 

This position offers the opportunity to grow in an international and dynamic environment. You will become part of a team that values collaboration, ownership and openness while contributing to the Group’s IRB models.

If you are ready for the next step in your career and want to work with a team that values your expertise and input, apply now. 

You will be located in Vilnius, Lithuania, but working from home up to two days a week is an option. 

Please apply as soon as possible, as we conduct interviews on an ongoing basis.

This role does not include a relocation allowance.

We offer:

Monthly salary range from 3440 EUR to 5160 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: Work from home up to two days a week; 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.

See all the benefits HERE.

Your job function (position) in the job contract will be Data Scientist, Senior. From 1 April 2026 it will be renamed to AI Science under our new job architecture, with no impact on the role or responsibilities.

If you're interested in this role and joining my team, feel free to contact me – Milovan Dejanovic via LinkedIn, and I will answer your questions!