As a part of Derivatives & Risk IT organization, we are responsible for the monitoring and reporting of the market risk – meaning risk of loses caused by financial market performance – within Danske Bank. The monitoring is used to decide how to best hedge the market risk and to determine the capital requirement according to the rules set by the authorities.
To calculate the market risk we use an internal risk model based on historical data. It consists of 2 parts:
Model is implemented using Market Risk system with input from different data sources.
Currently, we are a team of 3 developers working agile in DevOps roles in close collaboration with our business. Our responsibility is to work with business to add new functionality to the system in order to comply with the changing financial market regulations and improve the business efficiency as well as keeping the system running.
Responsibilities:
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