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.

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

You will:

    Execute and lead validations with increasing capability to manage your own work, perform structured quantitative analysis and translate findings into clear validation conclusions.
    Contribute to improvements in data handling, validation tooling and repeatable analytical processes, while working closely with more experienced colleagues on methodology and stakeholder communication.
    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:
    Relevant experience (2+ years) in model validation, model development, data science, quantitative analytics or similar fields.
    The ability to work directly with data and analytical tooling in a controlled and structured way.
    A university degree in a quantitative field such as mathematics, statistics, economics, engineering, physics or a similar discipline.
    Motivation to develop deeper expertise in credit risk model validation where this has not been the candidate's main background to date.
    Strong analytical skills and the ability to structure complex problems in a practical and rigorous 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.

We offer:

If the position is located in Lithuania the monthly salary range will be from 3280 EUR to 4920 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 Stallone Nobert, Head of Credit Risk Model Validation 1 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. 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.