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

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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
Liaison: internal boards, auditors, supervisory inquiries, third parties / service providers, making presentations / providing training
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 non-financial 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)
IFRS 9 Expected Credit Losses/Impairment: general quantitative methodology (Lifetime PD/LGD/EAD, PiT/macroeconomic adjustments), IFRS 9 calibrations for commercial/residential mortgages, working with IFRS 9 regulatory texts
2013 – 2014 Portfolio / VaR Models
Validation of (Deutsche Bank) credit portfolio model (regarding 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 project acquisition 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 vs 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/rebalancing of investment portfolios
Using large financial statement databases
Big data analysis applied for accounting/market/investment metrics
Handling reporting issues (timing, biases, missing data)
Tools: FactSet, Bloomberg, Python, Excel

Developing a VaR Model for Market Risks

Developing/improving a market-risk VaR model 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

Developed a new LGD (Loss Given Default) model for corporate obligors based on accounting and loan data
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

Developed a new PD (Probability of Default) rating model for corporate obligors based on accounting ratios and market data, with adjustments and qualitative factors
Quantitative modeling/calibration (logistic 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

Developed a new CCF (Credit Conversion Factor) model for SME obligors based on loan types (revolvers, money market accounts, syndicated loans, guarantees etc.)
Data cleaning 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

Developed general quantitative methodology for lifetime PD/LGD/EAD, adjustments for Basel IRBA models, PiT macroeconomic adjustments
Specific methodology, calibration and implementation for real estate portfolios
Worked 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

Handled IFRS 9/IFRS 13 valuation (fair values) of banking-book credit instruments (loans, bonds, hybrids) in the bank’s IFRS balance sheet, income statement, and notes
Reviewed/verified/maintained existing methodology, created documentation (business/valuation/IT aspects), knowledge transfer
Dealt with contractual/projected cash flows, loan commitments, impairments, POCI, 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, liaison to pricing conditions for credits/loans
Also performed analyses for specific valuation issues, dry-run bail-in valuations, SPPI tests, stress scenarios
Handled implementation issues (OneSumX, Java), reporting and processes (daily, monthly, quarterly, annual)
Tools: OneSumX, Excel, SAS, SQL, Java

Inspection of RaRoC Pricing for Derivatives

Validated RaRoC pricing for FX/IR derivatives with non-financial counterparties
Inspected 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

Verified, backtested and improved strategies for intraday stock trading using various trading indicators, technical analysis and machine learning
Tools: Python, Excel, TradingView

Introduction of SIMM for OTC Derivatives

Inspected Python code for initial margin calculation according to SIMM (standard initial margin model) for OTC derivatives (IR, FX)
Verified logic for buckets, sensitivities/Greeks, netting sets
Tools: Front Arena, Python

Investment Analysis for Equipment Leases

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

Market Data Modeling for Commercial Real Estate

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

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

Supported transfer of IRRBB/ALM/Liquidity/FV models from OneSumX to Balance Sheet Manager
Verified assumptions/requirements, unified and improved models (optionality, discounting, extensions, commitments)
Pre-deployment/validation of models, regression/progression tests, examined valuation differences, handled project management issues
Tools: OneSumX, Balance Sheet Manager, Excel, Access, SQL, Jira

Research on Credit Derivatives

Researched valuation/pricing and accounting/regulatory treatment for emerging credit derivatives (CDS, ABS)
Inspected rating methodology of rating agencies (Moody’s, Fitch) for RMBS/CMBS
Tools: Excel

Review and Modification of a Retail IFRS 9 PD Model

Critical review of IFRS 9 ECL methodology for retail loans
Verified/modified code for lifetime IFRS 9 PD calculation
Calibrated/parameterized model for two new markets
Addressed technical issues like default definition, delinquencies, migration matrices (cohort/generator, non-absorbing states), projecting/calibrating marginal lifetime PDs, multiple defaults
Developed regression/Vasicek/Merton framework for macroeconomic adjustments
Tools: SAS, Excel, Ambit Focus

Support during Supervisory Inspection of Credit Portfolio Model

Bank-side support during supervisory inspection of internal (pillar 2) credit portfolio model, focusing on profit-and-loss (balance sheet) modeling
Ad hoc analyses, answering supervisory inquiries
Reviewed rating migration approaches, distributional assumptions, loan provision modeling
Suggested further model development
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

Developed underwriting tools for real estate valuation and mortgage application analysis (refinance, purchase, construction, acquisition)
Considered property types, occupancy types, LTV, DSCR, gross rent multipliers, cap rates
Accounted for debt schedules, projections, project costs, personal financial statements, discretionary cash flows, vacancy/collection allowances, management fees, reserves, repair and maintenance costs
Tools: Visual Basic, Excel, Access

Validation of Credit Portfolio Model

Validated internal (pillar 2) credit portfolio model (asset-value/Merton type)
ML (maximum likelihood) estimation for R2 coefficients based on default data for various retail portfolios
Calculated confidence intervals for coefficients and statistical testing
Verified methodology for R2 coefficient derivation for wholesale portfolios
Tools: SAS, Excel, R

Validation of Derivatives Pricing

Validated 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
Applied Black & Scholes, Bachelier, SABR, Malz, Vanna-Volga models, SDE equations
Implemented multi-curves, negative interest rates
Validated credit/funding valuation adjustments (XVAs, CVA, FVA, FCA, funding curves) and prudential valuation adjustments (AVAs)
Drafted methodology for loans with embedded optionality/non-SPPI features
Tools: Proprietary derivative valuation software, Front Arena, Python, Bloomberg, Reuters, Excel, Wilmott papers

Validation of IFRS Portfolio Hedge Accounting

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

Validation of Operational Risk Portfolio Model

Validated regulatory AMA portfolio model for operational risk
Suggested further model development
Inspected assumptions, frequency/severity modeling, Monte Carlo simulation settings, business line/event type matrices, representativeness of external data, backtesting
Tools: Matlab, SAS, Excel

Summary

SUMMARY: PhD in credit risk, FRM designation 15 years of work/project experience in credit risk, rating models, portfolio models, market risk, valuation/pricing of derivatives, operational risk, quantitative analysis, IFRS 9/IAS 39 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 risk, actuarial, Solvency II, ILAAP, liquidity risk

HARD SKILLS:

IT & Programming:

Windows 10/11 (advanced), Linux (basic)
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 (basic), Big Data (good)
VBA/Macros/Visual Basic (very good), Java/C# (good), R (basic), 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 / automation

Financial Data & Specialist Software:

Market data: Bloomberg Terminal (good), Reuters / Refinitiv Eikon (basic)
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 (basic)
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 with agile projects (Scrum), experience managing 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 Corporations, 2007, in Wirtschaft und Recht in Osteuropa
Financial and Earnings Situation of Ukrainian Corporations, 2007, in Wirtschaft und Recht in Osteuropa
Commercial Law Accounting in Ukraine, 2006, in Wirtschaftsstandort Ukraine