Location: Vilnius, Lithuania

If you want to take a leading role in shaping the IRB model landscape at a major Nordic bank, this is your opportunity. As Chief Data Scientist in our Risk Modelling and Analytics department, you will own complex modelling topics and help colleagues grow. You will work on models that matter, directly contributing to how Danske Bank manages credit risk.

What you will be doing:

You will join the LGD and CF development team within Risk Modelling and Analytics, a collaborative group that works across the full model development lifecycle. The team covers everything from understanding regulatory and business requirements and designing methodologies, through data sourcing and analysis, to building robust model solutions and supporting implementation, validation, and ongoing performance assessment. You will work closely with colleagues in Risk Management, Validation, IT and data teams, and the wider business, contributing to a culture where technical depth and clear thinking go hand in hand.

More specifically, you will:

• Lead end-to-end development of IRB LGD and CF models, from data exploration to documentation.
• Take ownership of complex modelling challenges and contribute to key methodological decisions.
• Build robust, explainable, and regulatory-compliant models using statistical and machine learning techniques.
• Act as a technical sparring partner, sharing knowledge and supporting other Data Scientists.
• Contribute to regulatory dialogue and improve IRB modelling standards and practices.

About you:

• Around five or more years of experience in data science, credit risk, or IRB model development.
• Strong experience in IRB model development, ideally including LGD and/or CF models.
• Skilled in writing clean, modular Python and SQL with good software engineering habits.
• Clear communicator, able to translate technical and mathematical concepts for diverse audiences.
• Collaborative and self-directed, comfortable taking ownership and sharing knowledge.

If you are curious about tools such as GitHub Copilot or AI-assisted coding, that is a genuine advantage. We value an open mindset and a willingness to explore smarter ways of working over prior experience with any specific tool.

We offer:

The workplace can be in Vilnius, Lithuania or Copenhagen, Denmark. If you are hired in Lithuania, monthly salary range would be from 4320 EUR to 6480 EUR gross (based on your competencies relevant for the job).

Additionally, each Danske Bank employee receives employee benefits package (this one is only valid for Lithuania) 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 AI Science.

If you're interested in this role and joining my team, feel free to contact me Justina Petkeviciute | LinkedIn and I will answer your questions! The application deadline is 10 November 2026.