Chief Analyst, Valuation Models Validation

Would you like to work with advanced financial models used for pricing and risk-managing interest rate, equity and FX derivatives, as well as mortgage bonds? Join us as a Model Validator and help assess model performance, assumptions, limitations, and related risks.

Danske Bank is one of Europe’s leading financial institutions, and our Model Risk Management area covers models across the Group. In this role, you will validate market risk and derivative pricing models, providing insights that strengthen our risk management approach.

You will engage closely with trading and market risk specialists, gaining valuable insight into how mathematical models support banking, trading and market operations.

Can you identify potential risks?

Our team validates models used for OTC derivatives valuation, risk sensitivities for fair value positions, XVA, initial margin, and Asset and Liability Management models such as Liquidity Risk and IRRBB.

We support workplace flexibility through a hybrid model, with at least 3 days per week in the office.

You will:

• Execute comprehensive validation of trading models, including models used in derivative pricing, XVA, and market risk
• Apply a strong mathematical background to critically assess conceptual soundness, model assumptions, methodologies, and data inputs, ensuring alignment with industry best practices and regulatory requirements
• Collaborate closely with quants, traders, and the Market Risk department to understand model specifications, identify limitations, and propose potential enhancements
• Use advanced statistical and quantitative methods to evaluate model performance, validate results, and identify opportunities for refinement
• Contribute to model validation projects by documenting procedures and results, presenting findings to key stakeholders and regulatory authorities, and staying up to date with market trends, financial products, and regulatory changes affecting market risk and derivative pricing models

About you:

• A strong quantitative background, for example an MSc or PhD in Economics, Finance, Mathematics, or Physics, combined with solid mathematical knowledge
• Preferably 5+ years of relevant experience with derivative pricing or market risk models (Candidates without industry experience but with a strong academic background are also encouraged to apply)
• Interest in financial markets and derivative instruments
• Knowledge of derivative pricing models and techniques is preferred, or a clear interest in learning more about the subject
• An analytical and goal-oriented mindset, with the ability to identify and solve complex problems
• Strong written and spoken communication skills in English; proficiency in Danish is not required
• A clear sense of prioritisation
• Strong collaboration skills and the ability to build relationships across the bank with model developers and model owners

Even if you don’t meet every requirement, we still encourage you to apply. A genuine willingness to learn and a proactive mindset are just as important to us. Depending on your experience and knowledge, we may offer you a different seniority for the role.

We offer:

This position can be located in either Denmark or Lithuania. If the position is based in Lithuania, the salary range will be from 4,000 EUR to 6,000 EUR gross, depending on your competencies relevant to the role, and your job function in the employment contract will be Risk Methodology & Model Validation.

If you have any questions about the role, feel free to contact Agnethe Korreman at ac@danskebank.dk