Location: Vilnius, Lithuania

Credit Risk Model Validation (CRMV) is hiring for a Risk Methodology & Model Validation specialist to support the validation of credit risk models across Danske Bank.

CRMV is responsible for independent validation of a broad range of credit risk models, including probability of default (PD), loss given default (LGD), credit conversion factor (CF), IFRS 9 and credit decision models. The team operates within Danske Bank's broader model risk management (MRM) framework and works closely with model developers, model owners and other stakeholders across the organisation.

We are looking for colleague who can combine quantitative judgement, structured problem-solving and clear communication with a practical interest in improving how validation work is performed. Depending on the role, this may include direct validation execution, contribution to technical tooling and automation, or leadership in shaping more standardised validation approaches.

You will:

• Lead complex validation work, provide senior challenge on methodology and model performance, and help shape more standardised and automated validation workflows.
• Contribute materially to framework design, reusable tooling, code quality and technical governance, while supporting prioritisation, coaching and quality assurance across deliveries.
• Plan and execute independent validations of credit risk models and related data, assumptions and methodologies.
• Assess model design, implementation, performance and limitations using appropriate quantitative and qualitative methods.
• Analyse data quality, model behaviour and validation results, and convert that analysis into clear conclusions and recommendations.
• Write validation documentation and present findings to relevant stakeholders, including senior management and regulatory counterparts where relevant.
• Work with model developers, model owners and other stakeholders while maintaining an independent validation perspective.
• Help improve the quality, efficiency and reproducibility of validation work.
• Contribute to more standardised ways of working across code, data, analysis and reporting.

 

About you:

• Extensive experience (5+ years) in credit risk model validation in banking.
• Experience from model validation work in other banks, bringing perspective on different validation setups and practices.
• Strong technical capability in automation, coding and improvement of validation processes, with the credibility to guide technical direction and senior discussions on validation quality and methodology.
• A university degree in a quantitative field such as mathematics, statistics, economics, engineering, physics or a similar discipline.
• Strong analytical skills and the ability to structure complex problems in a practical and systematic way.
• Experience working with quantitative analysis in Python and SQL as well as version control.
• Experience with Databricks and modern development practices is an advantage.
• Good judgement in working with data, including awareness of data quality, limitations and traceability.
• Strong written and spoken English and the ability to explain technical matters clearly to different stakeholders.
• A collaborative working style and a consistent focus on quality, accountability and timely delivery.
   

This position could be located in Vilnius, Lithuania or Copenhagen, Denmark. 
 

We offer:

If the position is located in Lithuania the monthly salary range will be from 4000 EUR to 6000 EUR gross (based on your competencies relevant for the job).

Additionally, each Danske Bank employee receives employee benefits package (benefits are only valid for Lithuania the same as the salary ranges) 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: 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 title in job contract will be Risk Methodology & Model Validation.

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

Credit Risk Model Validation (CRMV) is hiring for a Risk Methodology & Model Validation specialist to support the validation of credit risk models across Danske Bank.