Senior Model Validation Engineer - AI-Driven Risk Analytics

Danske Bank; København; On-site; DKK 274,000 - 410,000; Full time

Job summary

Danske Bank seeks a Senior Model Validation Quant to bridge quantitative validation with software engineering. You will validate credit risk models (PD, LGD, CF, IFRS 9) and build core validation software, configure Databricks workflows, and enable repeatable analyses.

Initial focus: ~70% model validation, ~30% tooling and infrastructure engineering, collaborating in a cloud-enabled environment with GitHub Copilot support.

Qualifications

• MSc or PhD in a quantitative discipline or equivalent practical experience.
• Strong coding practices in Python and SQL.
• Experience with Git and collaborative code reviews.

Responsibilities

• Perform and lead model validations for credit risk models (PD, LGD, CF, IFRS 9).
• Build and evolve validation software in Python; create reusable tools.
• Develop automated templates to generate evidence bundles and publish PDFs.
• Design and manage GitHub Actions CI/CD pipelines and Databricks Asset Bundles.
• Integrate AI-assisted coding to accelerate delivery and modernise codebases.
• Promote version control, code reviews, and reproducible analyses across the team.
• Present architectures and validation conclusions to developers, risk leaders, and regulators.

Skills

Python programming

SQL

Git version control

Databricks

GitHub Actions

AI tooling (GitHub Copilot)

Communication

Education

MSc or PhD in a quantitative discipline

Tools

Databricks

GitHub

GitHub Actions

Python packaging

Job description

Danske Bank seeks a Senior Model Validation Quant to bridge quantitative validation with software engineering. You will validate credit risk models (PD, LGD, CF, IFRS 9) and build core validation software, configure Databricks workflows, and enable repeatable analyses.

Initial focus: ~70% model validation, ~30% tooling and infrastructure engineering, collaborating in a cloud-enabled environment with GitHub Copilot support.