Vlad (Volodymyr) Perederiy
Financial Risks / Quant Models / IFRS 9 / Capital Markets / Derivatives / SAS / Python / VBA
Experience
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
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
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
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
Research Project
Europa-Universität Viadrina
- Comparative analysis of Ukrainian accounting standards with IFRS
- Publication of an investment guide on financial accounting in Ukraine
Internship
Allianz Versicherungs-AG Insurance Company
- Data mining, financial statement analysis and controlling for insurance
- Programming in Matlab (Bayes Net Toolbox package), SQL
Student Jobs
- Programming in Java, JSP, ASP, JavaScript, XML, HTML (university assistant)
- Programming in Java, Java 2D (for a business cadaster application)
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
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 - 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
Languages
Education
Europa-Universität Viadrina
PhD, probability of default/insolvency models, financial statement analysis, credit ratings, company valuation, accounting of · Frankfurt an der Oder, Germany · good (‘magna cum laude’)
Europa-Universität Viadrina
Master of Science, finance and banking, econometrics, taxation · International Business Administration · Frankfurt an der Oder, Germany · 1.8 - good (above average)
Europa-Universität Viadrina
Diplom-Kaufmann, quantitative methods, informatics for business administration · International Business Administration · Frankfurt an der Oder, Germany · 2.3 - good
Certifications & licenses
Financial Risk Manager (FRM)
GARP
Bloomberg Terminal
Bloomberg University
Python/Pandas Programming Certification
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