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
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
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