Vlad (Volodymyr) Perederiy

Financial Risks / Quant Models / IFRS 9 / Capital Markets / Derivatives / SAS / Python / VBA

Bonn, Deutschland

Erfahrungen

Nov. 2018 - Mai 2024
5 Jahren 7 Monaten

Contracting / Freelancing / Consultancy

  • Various freelancing / interim projects 3-9 months, German and international clients (banks, consultancies, investment funds, real estate)
  • See project list attached
  • Areas: Credit / Market Risk, Finance / Accounting / IFRS / ECL / Fair Values / German HGB / US GAAP / Loan Provisions, Portfolio Models / VaR, Quantitative Analysis & Modeling, Model Reviews / Development, Capital Markets, Derivatives, Asset / Investment Management, Personal Finance
  • Data / IT Tools: SAS, Python / pandas, Excel / Access / VBA, SQL, Java / C#, FactSet, Bloomberg, TradingView, OneSumX / RiskPro, Balance Sheet Manager, Jira, Confluence
  • Liaising: internal boards, auditors, supervisory enquiries, 3rd parties / service providers, making presentations / providing trainings
  • Tax IDs: German income-tax number and EU VAT number available
Feb. 2010 - Sept. 2018
8 Jahren 8 Monaten
Bonn, Deutschland

Senior Risk Controller, Department: Risk Models / Risk Controlling

Deutsche Bank Group, Deutsche Postbank

  • 2015 – 2018 (Derivatives) Pricing, Valuation & Accounting

  • Counterparty credit risk and RaRoC pricing for derivatives with nonfinancial counterparties: expected exposures, risk/liquidity costs, RWAs, margins, RoE/RoC

  • Pricing for financial instruments/derivatives: callable bonds, CDS, IR/CCY swaps, caps/floors, swaptions (physical/cash), FX options (plain/barrier). Applying B&S, Bachelier, SABR, Malz, Vanna-Volga, multi-curves, negative interest rates

  • Validation of credit/funding valuation adjustments for prudential valuation (AVA/XVA, CVA, FVA, FCA, funding curves), inspection of SIMM for OTC derivatives

  • IAS/IFRS: IAS 39 FV hedges, IAS 39 (portfolio) hedge accounting, IFRS 13 (fair values)

  • IFRS9 Expected Credit Losses/Impairment: general quantitative methodology (Lifetime PD/LGD/EAD, PiT/macroeconomic adjustments), IFRS9 calibrations for commercial/residential mortgages, working with IFRS9 regulatory texts

  • 2013 – 2014 Portfolio / VaR Models

  • Validation of (Deutsche Bank) credit portfolio model (w.r.t. rating transition matrices, R2 systematic coefficients, distribution assumptions etc.)

  • Validation of operational-risk models (advanced/AMA, Postbank/ Deutsche Bank)

  • 2010 – 2013 Rating/IRBA Models (Non-Retail)

  • Supervising Basel II rating systems (PD/LGD) for non-retail exposures (large corporates, commercial real estate, mid-caps, financials)

  • Validation/extension of PD models, development of new LGD/CCF models

  • Financial statement analysis (US-GAAP/IFRS/DE-HGB), RiskCalc, CreditEdge

  • Model approvals/changes/monitoring, liaising with credit officers and audit

Okt. 2008 - Feb. 2009
5 Monaten
Berlin, Deutschland

Internship

PwC

  • Valuation and accounting treatment of warrants, bonds, IR swaps
  • DE-HGB-to-IFRS translations for loans, liabilities, risk provisions
  • Risk-adjusted (VaR) mark-to-market estimation of trading-book income
Sept. 2007 - März 2008
7 Monaten

Project Work

zeb/rsa Consultancy

  • Validation methodology for a rating system (PD/LGD) of residential mortgages
  • Valuation, rating, accounting for bonds and credit derivatives
  • Studying capital requirements and acquisition of projects in Ukraine
Apr. 2003 - Mai 2005
2 Jahren 2 Monaten
Frankfurt an der Oder, Deutschland

Research Project

Europa-Universität Viadrina

  • Comparative analysis of Ukrainian accounting standards with IFRS
  • Publication of an investment guide on financial accounting in Ukraine
Juli 2002 - Nov. 2002
5 Monaten
Berlin, Deutschland

Internship

Allianz Versicherungs-AG Insurance Company

  • Data mining, financial statement analysis and controlling for insurance
  • Programming in Matlab (Bayes Net Toolbox package), SQL
Juli 2001 - Juli 2002
1 Jahr 1 Monate

Student Jobs

  • Programming in Java, JSP, ASP, JavaScript, XML, HTML (university assistant)
  • Programming in Java, Java 2D (for a business cadaster application)
Aug. 2000 - Jan. 2010
9 Jahren 6 Monaten

Project Work

Lichtenstein Capital Markets

  • Programming online forms/calculators for real estate and mortgages
  • Development of online listing system for commercial real estate

Accounting Ratios for Asset Management

  • Calculating a long list of candidate accounting/market/valuation ratios/factors for data-driven optimization/re-balancing of investment portfolios.
  • Usage of large databases of financial statements.
  • Big data analysis applied for accounting/market/investment metrics.
  • Dealing with various reporting issues (timing, biases, missings etc.).
  • Tools: FactSet, Bloomberg, Python, Excel

Developing a VaR Model for Market Risks

  • Developing / improving market-risk VaR model, in accordance with CESR’s for UCITS, with absolute / relative (benchmark) VaR criteria.
  • Covering stocks, indices, funds, FX futures, derivatives (stock / index options).
  • Accounting for hedges, complex derivative strategies, equity volatility smiles/smirks, volatility dynamics, correlations.
  • Applying Black & Scholes, SABR, SVI, Heston models, Monte Carlo.
  • Tools: Excel, VBA, Python, Patronas OPUS, StatPro, Bloomberg

Development and Implementation of LGD Model

  • Development of a new LGD (Loss Given Default) model for corporate obligors, based on accounting/loan information.
  • Quantitative modeling (non-linear tobit-regression), backtesting, initial validation, RWA impact analysis, implementation, liaising with credit analysts.
  • Tools: SAS, Moody’s Ultimate Recoveries Database, balance-sheet databases (BvD OSIRIS, S&P Compustat, Bloomberg), Visual Basic, Microsoft Access

Development and Implementation of PD Model

  • Development of a new PD (Probability of Default) rating model for corporate obligors, based on accounting ratios and market information (reduced-type), with additional adjustments and qualitative factors.
  • Quantitative modeling/calibration (log-regression, shadow-ratings), backtesting, initial validation, RWA impact analysis, implementation, liaising with credit analysts.
  • Tools: SAS, Moody’s RiskCalc, Moody’s CreditEdge, balance-sheet databases (BvD OSIRIS, S&P Compustat, Bloomberg), Visual Basic, Microsoft Access

Development of CCF model

  • Development of a new CCF (Credit Conversion Factor) model for SME obligors, based on loan types (revolvers, money market accounts, syndicated loans, guarantees etc.).
  • Data cleansing for internal history of credit lines / outstanding debt, with conservative assumptions.
  • Stratification/aggregation by loan types, timing considerations, regulatory adjustments (downturn scenario).
  • Tools: Excel, Visual Basic, SAS, SAP, review of individual loan agreements

IFRS 9 Expected Credit Losses (ECL) Modeling and Implementation

  • Development of general quantitative methodology for lifetime PD/LGD/EAD, adjustments for corresponding Basel IRBA models, PiT (Point-in-Time) macroeconomic adjustments.
  • Specific quantitative methodology, calibration and implementation for real estate portfolios.
  • Working with regulatory texts (IFRS 9 standard, Basel requirements, auditors’ recommendations).
  • Sub-project management.
  • Tools: SAS, SAS IML, SAP, ABIT, JSON, JavaScript
Hybrid

IFRS 9 Fair Values for Banking-Book Instruments

  • Dealing with IFRS 9 / IFRS 13 valuation (fair values) of credit-related banking-book instruments (loans, bonds, hybrid), as considered in the bank’s IFRS balance sheet, income statement and notes.
  • Reviewing / verifying /maintaining the existing methodology, creating new documentation (business / valuation / IT aspects), knowledge transfer.
  • Dealing with contractual/projected cash flows, loan commitments, impairments, POCIs, optionality features (callable/puttable, interest caps/floors), refinancing costs, liquidity costs, term liquidity premium, risk costs / expected losses, capital / equity costs (CRR RWAs, equity cover, equity profitability, RoE, RoRWA), spreads, SPPI criteria, clean/dirty items and accruals, calibration issues, historical transfer from IAS 39 to IFRS 9, manual adjustments, liaisons to pricing conditions for credits / loans.
  • Also performing analyses for specific valuation issues, dry-run bail-in valuations, SPPI tests, stress scenarios.
  • Handling implementation issues (OneSumX, Java), reporting and processes (daily, monthly, quarterly, annual).
  • Tools: OneSumX, Excel, SAS, SQL, Java

Inspection of RaRoC Pricing for Derivatives

  • Validation of RaRoC pricing for FX/IR derivatives with non-financial counterparties.
  • Inspecting methodology for EPE (expected positive exposures, market based, SDE equations), expected capital/RWAs, risk costs (expected losses/PD/LGD), margins/hurdle rates, RoE/RoC calculations.
  • Tools: Excel, Visual Basic, Front Arena, proprietary valuation software for derivatives, Bloomberg

Intraday Trading Strategies

  • Verifying, backtesting and improving strategies for intraday trading of stocks, with various trading indicators, technical analysis and machine learning.
  • Tools: Python, Excel, TradingView

Introduction of SIMM for OTC derivatives

  • Inspection of Python code for calculation of initial margin according to SIMM (standard initial margin model) for OTC (over-the-counter) derivatives (IR, FX).
  • Verifying the logic implemented for buckets, sensitivities/Greeks, netting sets.
  • Tools: Front Arena, Python

Investment Analysis for Equipment Leases

  • Risk-profit analysis for leases of equipment to small business clients.
  • Using Monte Carlo for simulation of cash flows (leasing payments, equipment buyouts, equipment returns, delinquencies/defaults, overhead costs, debt interest/amortization, equity funding, reinvestments).
  • Calculation of expected value and statistical distribution for profit/loss and final equity.
  • Tools: Visual Basic, Excel

Market Data Modeling for Commercial Real Estate

  • Validation of internal models for forecasting market data (vacancy, rental prices, prices, cap rates) for commercial real estate (office, retail, residential, hotels).
  • ARIMA autoregression, time series, data cleansing/unsmoothing.
  • Tools: Excel, Access, R

Migration of IRRBB/ALM/Liquidity/FV models for Loans

  • Supporting the transfer of IRRBB / ALM / Liquidity / FV models from OneSumX to Balance Sheet Manager.
  • Verifying model assumptions/requirements, unifying and improving the models (wrt optionalities, discounting, prolongations, commitments etc).
  • Pre-deployment / validation of models, regression / progression tests, inspecting valuation differences, dealing with project management issues.
  • Tools: OneSumX, Balance Sheet Manager, Excel, Access, SQL, Jira

Research on Credit Derivatives

  • Research on valuation/pricing and accounting/regulatory treatment for then-emerging credit derivatives (CDS, ABS).
  • Inspecting rating methodology of rating agencies (Moody’s, Fitch) for RMBS/CMBS (residential/commercial mortgage-backed securities).
  • Tools: Excel

Review and Modification of a Retail IFRS9 PD Model

  • Critical review of IFRS 9 ECL methodology for retail loans.
  • Verifying/modifying code for lifetime IFRS 9 PD calculation.
  • Calibration/parametrization of the model for two new markets.
  • Dealing with technical issues such as default definition, delinquencies, migrations matrices (cohort/generator, non-absorbing states), projecting/calibrating marginal lifetime PDs, multiple defaults etc.
  • Developing regression/Vasicek/Merton framework for macroeconomic adjustments.
  • Tools: SAS, Excel, Ambit Focus

Support during Supervisory Inspection of Credit Portfolio Model

  • Bank-side support during a supervisory inspection of internal (pillar 2) credit portfolio model, in particular regarding profit-and-loss (balance-sheet) modeling.
  • Ad hoc analyses, answering supervisory enquiries.
  • Inspection of rating migration approaches, distributional assumptions, loan provision modeling.
  • Suggestions for further development of the model.
  • Tools: Visual Basic, Excel, C#, R

Supporting Annual Audit of Financial Instruments

  • Valuation and accounting treatment of warrants, bonds, IR swaps.
  • DE-HGB-to-IFRS translations for loans, liabilities, risk provisions.
  • Risk-adjusted (VaR) mark-to-market estimation of trading-book income.
  • Tools: Excel, proprietary valuation tools

Underwriting Analysis/Tools for Mortgages

  • Development of underwriting tools for valuation of real estate and analysis of mortgage applications (refinance, purchase, construction, acquisition).
  • Drawing on property types, occupancy types, LTV, DSCR, gross rent multipliers, capitalization rates.
  • Accounting for debt schedules, projections, project costs, personal financial statements, discretionary cash flows, vacancy/collection allowances, management fees, replacement capital reserves, repair and maintenance fees.
  • Tools: Visual Basic, Excel, Access

Validation of Credit Portfolio Model

  • Validation of an internal (pillar 2) credit portfolio model (asset-value / Merton type).
  • ML (maximum likelihood) estimation for the R2 (systematic) coefficients based on empirical default data for various retail portfolios.
  • Calculation of confidence intervals for the coefficients and statistical testing.
  • Verifying methodology for derivation of the R2 coefficients for wholesale portfolios.
  • Tools: SAS, Excel, R

Validation of Derivatives Pricing

  • Validation of pricing for financial instruments/derivatives: callable bonds, CDS, IR/CCY swaps, caps/floors, swaptions (physical/cash), FX options (plain/barrier), accounting for IFRS 9 / IFRS 13 standards.
  • Applying Black & Scholes, Bachelier, SABR, Malz, Vanna-Volga models, SDE equations.
  • Implementing multi-curves, negative interest rates.
  • Validation of credit/funding valuation adjustments (XVAs, CVA, FVA, FCA, funding curves) and adjustments for prudential valuation (AVAs).
  • Drafting methodology for valuation of loans with embedded optionality/non-SPPI features.
  • Tools: Proprietary valuation software for derivatives, Front Arena, Python, Bloomberg, Reuters, Excel, Wilmott papers

Validation of IFRS Portfolio Hedge Accounting

  • IFRS portfolio hedge accounting for fair value hedges of residential mortgage portfolios via interest rate swaps.
  • Validation of hedge designation methodology, hedge ratios, treatment of termination/prepayment rights, hedge effectiveness, liaising with auditors.
  • Tools: Excel, proprietary valuation software

Validation of Portfolio Model for Operational Risk

  • Validation of a regulatory AMA (Advanced Management Approach) portfolio model for operational risks.
  • Suggestions for further model development.
  • Inspecting model assumptions, modeling approaches for frequencies and severities, Monte Carlo simulation settings, business line / event types matrices, representativity of external data used, backtesting.
  • Tools: Matlab, SAS, Excel

Zusammenfassung

SUMMARY: PhD in credit risks, FRM designation 15 years of work/project experience in credit risks, rating models, portfolio models, market risks, valuation/pricing of derivatives, operational risks, quantitative analysis, IFRS9/IAS39 accounting

AREAS: -   financial risk management, financial risk controlling, credit risk, counterparty risk, market risk, real estate financing risks, project financing risks -   Basel II, Basel III, Basel IV, credit ratings, EL, PD, LGD, CCF,  EAD, RWA, RWAs, IRBA, A-IRBA, SolvV, CRR -   IAS 39, IFRS 9, ECL, valuation, fair values for loans and derivatives -   derivatives, credit derivatives, interest rate derivatives, equity derivatives, CVA, XVA, valuation / pricing for derivatives -   treasury, capital markets, portfolio models, capital adequacy, ICAAP, RaRoC, economic capital, stress testing -   possibly also: insurance risks, actuary, solvency II, ILAAP, liquidity risks

HARD SKILLS:

IT & Programming:  -    Windows 10/11 (advanced), Linux (basics) -    Microsoft Office (power user): Word, Excel, Access, Outlook, PowerPoint -    Python incl. pandas/NumPy/SciPy/scikit-learn (very good), PyCharm (good)  -    SAS (very good): BASE, STAT, GRAPH, IML, ETS, Enterprise Guide, Viya -    Data: SQL (very good), MySQL / Access (very good), Cloud (basics), Big Data (good) -    VBA/Macros/ Visual Basic (very good) , Java/C# (good), R (basics), Matlab (good) -    Web (good): HTML, CSS, JavaScript, WordPress

Quant & AI: -    Statistics / Econometrics / Probability Theory / Regression / Time Series (very good) -    Machine Learning: Python TensorFlow/PyTorch (good), LLM/NLP/ANN (good) -    OpenAI GPT-models (good): Web / API / prompt engineering / automatizations

Financial Data & Specialist Software:   -    Market data: Bloomberg Terminal (good), Reuters / Refinitiv Eikon (basics)  -    FIS Front Arena (good): Prime/GUI/ADFL, ADM/ASQL, AEL/ACM/Python -    SAP R/3 (good): FS-DM / FS-CML (incl. data tables/imports), Finastra Kondor (basics) -    Financial Reports (very good): S&P Compustat / Moody’s Osiris / FactSet / Edgar / Datastream / Worldscope / Osiris / Dafne -    Risk: FIS Balance Sheet Manager / Ambit Focus, Wolters-Kluwer RiskPro / OneSumX

Project Management: -    Experience of agile projects (Scrums), Experience in management of sub-projects -    Jira/Confluence (good)

Language Skills: -    German (fluent, 25 years in Germany)  -    English (fluent, work experience in the USA, several stays in the UK) -    Ukrainian/Russian (native speaker) -    French (advanced), Polish (advanced), Spanish (basic)

Publications: -   Mean-Reverting SABR Models: Closed-form Surfaces and Calibration for Equities, 2024, in: SSRN  -   Vanna-Volga Method for Normal Volatilities, 2018, in: SSRN  -   Sparse Structural Approach for Rating Transitions, 2017, in: SSRN  -   Endogenous Derivation and Forecast of Lifetime PDs, 2015, in: SSRN  -   Forecasting Default with Aggregated Financial Ratios, 2013, in: Journal of Money, Banking and Finance -   Non-Classical Ratios and Lasso Selection for Bankruptcy Prediction, 2009, in: SSRN  -  I nsolvenzprognose und Kreditratings für ukrainische AGs, 2007, in: Wirtschaft und Recht in Osteuropa -   Finanz- und Ertragslage ukrainischer AGs, 2007, in: Wirtschaft und Recht in Osteuropa -   Die handelsrechtliche Rechnungslegung in der Ukraine, 2006, in:  Wirtschaftsstandort Ukraine

Sprachen

Russisch
Muttersprache
Ukrainisch
Muttersprache
Deutsch
Verhandlungssicher
Englisch
Verhandlungssicher
Französisch
Verhandlungssicher
...und 2 Weitere

Ausbildung

Apr. 2005 - Dez. 2010

Europa-Universität Viadrina

PhD, probability of default/insolvency models, financial statement analysis, credit ratings, company valuation, accounting of · Frankfurt an der Oder, Deutschland · good (‘magna cum laude’)

Apr. 2003 - Feb. 2006

Europa-Universität Viadrina

Master of Science, finance and banking, econometrics, taxation · International Business Administration · Frankfurt an der Oder, Deutschland · 1.8 - good (above average)

Okt. 1999 - März 2003

Europa-Universität Viadrina

Diplom-Kaufmann, quantitative methods, informatics for business administration · International Business Administration · Frankfurt an der Oder, Deutschland · 2.3 - good

Zertifikate & Bescheinigungen

Financial Risk Manager (FRM)

GARP

Bloomberg Terminal

Bloomberg University

Python/Pandas Programming Certification

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