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
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