Location: Copenhagen V, Denmark

Are you a committed PD/LGD model developer looking for a new opportunity? Do you aspire to help shape the future IRB model landscape at Danske Bank? If so, join our team of data scientists in the Risk Modelling and Analytics department!

We are on a journey to transform our IRB model landscape to comply with the recently implemented EBA guidelines and are seeking a skilled professional to develop high-quality PD/LGD models for capital allocation, impairments, and internal steering.

You will be part of the PD/LGD development teams within the Risk Modelling and Analytics department, which comprises 80+ employees. Our mission is to build future-proof data science products that enable sound risk management at Danske Bank.

Our team oversees the entire model lifecycle - from model design and development in Python to maintenance and monitoring - ensuring that our models remain in top shape.

You will:

• Develop end-to-end data science solutions for PD/LGD models - from understanding the problem and designing the model to deploying and maintaining the final product

• Mentor junior data scientists in the team by sharing your knowledge and experience in data science, particularly in PD/LGD modelling

• Contribute to defining and documenting the standards and best practices for data science at Danske Bank

• Communicate effectively with non-technical stakeholders, translating complex concepts into easily understandable formats to gather relevant business input and ensure the development of representative and appropriate models

About you:

• At least 3 years of experience in building data science products or IRB model development

• Strong foundation in the mathematics underpinning data science and machine learning methodologies, along with experience in implementing and deploying models using software engineering best practices

• Working knowledge of PD/LGD-specific IRB regulation, including the newly implemented EBA guidelines

• Proficient Python programmer (or similar object-oriented programming language)

• Advanced data science skills, particularly in machine learning techniques relevant to IRB, storytelling through data, and deploying models to production environments (e.g. version control, CI/CD tools, model performance tracking)

• Demonstrated stakeholder management experience with the ability to communicate effectively and fluently in English

• Self-motivated and team-oriented with a focus on meeting shared goals

If you're interested in this role and joining my team, feel free to contact me – Anne Mette Krabbe Skousen askou@danskebank.dk 

Don’t miss this opportunity to work on exciting challenges, grow your expertise, and contribute to shaping the future of PD/LGD modelling at Danske Bank. We look forward to hearing from you!