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Award-winning scientific experts behind risk management at Danske Bank

Danske Bank’s SuperFly Analytics department, which works with risk management, has just won an international award at the RiskMinds International conference. Among those working in the department are a number of theoretical atomic physicists.

A theoretical atomic physicist may not be the first profile that springs to mind when thinking of an ideal candidate to work in the field of banking. However, such individuals can be found working in Danske Bank’s quantitative analytics department, SuperFly Analytics. Working together with other experts, these theoretical atomic physicists translate the most advanced mathematical principles into models that enable Danske Bank to ensure optimal risk management and capital allocation.

A unique and diverse team united by a sky-high level of professionalism – and a team whose work has just earned international acclaim for Danske Bank. 

Complex mathematical calculations + speed

The quantitative analysts – known colloquially as ‘the quants’ – use their mathematical acumen to price complex financial products, thereby ensuring the management of risk.

Complex mathematical calculations are the first prerequisite, but as something exceptional, Danske Bank’s department of quantitative analytics has been focusing on increasing the speed at which these calculations are made. By means of advanced algorithmic differentiation, the team have succeeded in creating a setup in which a super-engine can dramatically increase the speed of the calculations that form the basis for Danske Bank’s pricing of, for example, mortgage loans.  

What we’re working with are complex calculations that draw on thousands of data points. Typically, carrying out such calculations has required a huge amount of computing power, almost an entire computer farm. Our goal has been to make it possible for these calculations to made using an iPad Mini.

Ove Scavenius

Head of SuperFly Analytics, Danske Bank  

Ove Scavenius continues: 
“We’ve built a ‘one-calculation engine’ that enables us to make qualified calculations – not just for managing risk, but also for calculating the necessary capital allocation for the whole of Danske Bank. The combination of being able to do these two things using the same mathematical machine is rare, and that’s why we’ve attracted international attention.” 

World-leading bank
In December 2019, Danske Bank was presented with an award at the RiskMinds International event in Amsterdam for being the leading bank in the world when it comes to modelling and managing risk. Danske Bank was competing against the rest of the international banking community and secured success predominantly thanks to the bank’s ability to attract the right professional capacities in a professional field mastered by only a very few.  

International search for qualified profiles

One in three of Danske Bank’s hard-core ‘quants’ has a PhD, typically in mathematics, physics, chemistry or finance – and often supplemented with computer-programming expertise. Consequently, finding the right professional profiles with the requisite qualifications is no easy task in a small country such as Denmark. 

“We’re very conscious of taking an international perspective when we’re searching to find the right people. As a result, the quant-department staff of almost 50 covers 13 different nationalities, men and women, recent graduates, and others who bring with them banking experience from countries ranging from Morocco and Hungary to Belarus and China. We spend days testing new people before we take them on, and we’ve spread our net globally. Only by finding the very best talent can we maintain our world-leading position,” concludes Ove Scavenius.
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