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

Bonn, Germany

Experience

Nov 2018 - May 2024

5 years 7 months

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 - Sep 2018

8 years 8 months

Bonn, Germany

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

Oct 2008 - Feb 2009

5 months

Berlin, Germany

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

Sep 2007 - Mar 2008

7 months

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 - May 2005

2 years 2 months

Frankfurt an der Oder, Germany

Research Project

Europa-Universität Viadrina

Comparative analysis of Ukrainian accounting standards with IFRS
Publication of an investment guide on financial accounting in Ukraine

Jul 2002 - Nov 2002

5 months

Berlin, Germany

Internship

Allianz Versicherungs-AG Insurance Company

Data mining, financial statement analysis and controlling for insurance
Programming in Matlab (Bayes Net Toolbox package), SQL

Jul 2001 - Jul 2002

1 year 1 month

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 years 6 months

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

Summary

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
Insolvency Forecast and Credit Ratings for Ukrainian Joint-Stock Companies, 2007, in: Economy and Law in Eastern Europe
Financial and Earnings Position of Ukrainian Joint-Stock Companies, 2007, in: Economy and Law in Eastern Europe
Commercial Law Accounting in Ukraine, 2006, in: Economic Location Ukraine