Quantitative Analyst - Modell Evaluation

Advance the frontiers of modell management —join our newly established Modell Evaluation team and strengthen the bank’s decision-making through structured review, logical clarity, and the lens of formal abstraction

The Modell Evaluation (ME) team is newly established within Group Quantitative risk Management (QrM). The ME team has the overall mandate to evaluate all modells being used in the bank for various purposes, quantify the degree of their adequacy for the purpose, and suggest remediating actions to manage inherent modell risks. Additionally, ME is responsible for the development and improvement of modell evaluation protocols and supporting business owners & senior management on technical matters.

Group QrM is an independent and autonomous group housed in Group Risk and Capital Management, formally reporting to the Chief Risk Officer as well as maintaining communication with the Board of Directors. Group QrM has the mandate (among other items) to develop, maintain, and operate the modell (risk) management framework, including the modell management system, as well as advise in all aspects of modell management. The Group operates with the goal to increase the degree of categorization in the modell management landscape, including the (risk) evaluation processes.

You will be responsible for conducting evaluations and periodic reviews for all modell types being used across the bank. Further, you will communicate your findings to business owners with recommendations on the safe deployment and use of the modell. You will report to the Head of the ME team, but, liaise with various business functions across the bank to support (on a technical level) their modell management processes.

The workplace will be physically in HQ, Denmark near Copenhagen. Relocation is not offered.

Responsibilities

• conduct modell evaluations, modell monitoring, and reviews; including quantifying various uncertainty measures,
• include specific regulatory requirements into the modell evaluation and reviews (qualitatively and quantitatively),
• engage in constructive dialogues with modell owners, developers, etc. with intention to improve the modell development, and to identify and control sources of modell risk,
• generate modell evaluation reports and communicate verdicts to business owners and senior management,
• assist in operating and improving (via enhanced verification tools) our in-house developed modell management system,
• potentially develop benchmark modells to measure modell uncertainties

Your profile

You should be a good communicator, curious by nature with the ability to articulate the right questions, a structured thinker, and be able to organize your work independently and operate with autonomy

You should be a PhD in a technical discipline (e.g. Engineering, Physics, Mathematics, Computer Science, Statistics, Physical Chemistry, Linguistics, …). Programming skills and experience (in e.g. Python, R, C#, F#, Haskell, Ocaml, Lean4) are an advantage. Should have basic knowledge of financial instruments and markets.

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You will join 2,500 other ambitious colleagues across 15 countries and become part of an international organisation. Working in Saxo, you will get to meet colleagues from many different cultures and backgrounds, and you should know that we value diversity and inclusion and see it as a genuine source of strength to drive growth, foster innovation and position us for long-term success.

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