Quant / Financial Risks / Modeling / IFRS 9 / Programming (SAS, Python, ...)

7/2022 – 10/2022

Calculating a list of candidate accounting/market ratios/factors for data-driven optimization/re-balancing of investment portfolios.
Usage of large databases (FactSet) of financial statements. Big data analysis applied for accounting/market/investment metrics.

MS Excel, Python

1/2010 – 6/2022

3 mo.
Details:
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).
Technology
Excel

Unternehmensberatung

1/2010 – 6/2022

2 mo.
Details
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.
Technology:
Excel, Access, R

Immobilien (allg.)

1/2010 – 6/2022

3 mo.
Details:
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).
Technology:
Excel, Visual Basic, SAS, SAP, review of individual loan agreements

Risikomanagement (Finan.)

1/2010 – 6/2022

2 mo.
Details:
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.
Technology:
Excel, proprietary valuation software

Risikomanagement (Finan.)

1/2010 – 6/2022

1 mo.
Details:
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.
Technology:
SAS, Excel, R

Risikomanagement (Finan.)

1/2010 – 6/2022

3 mo.
Details:
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.
Technology:
Matlab, SAS, Excel

Risikomanagement

1/2010 – 6/2022

4 mo.
Details:
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.
Technology:
SAS, Moody’s Ultimate Recoveries Database, balance-sheet databases (BvD OSIRIS, S&P Compustat, Bloomberg), Visual Basic, Microsoft Access

Risikomanagement

1/2010 – 6/2022

4 mo.
Details:
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.
Technology:
SAS, Moody’s RiskCalc, Moody’s CreditEdge, balance-sheet databases (BvD OSIRIS, S&P Compustat, Bloomberg), Visual Basic, Microsoft Access

Risikomanagement

1/2010 – 6/2022

1 yr.
Details:
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.
Technology:
SAS, SAS IML, SAP, ABIT, JSON, JavaScript

Finanzen (allg.), Rechnungswesen (allg.)

1/2010 – 6/2022

5 mo.
Details:
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.
Technology:
Visual Basic, Excel, C#, R

Finanzen (allg.)

1/2010 – 6/2022

2 mo.
Details:
Validation of RaRoC pricing for FX/IR derivatives with non-financial counterparties.
Inspecting methodology for EPA (expected positive exposures, market based, SDE equations), expected capital/RWAs, risk costs (expected losses/PD/LGD), margins/hurdle rates, RoE/RoC calculations.
Technology:
Excel, Visual Basic, Prime / Front Arena, proprietary valuation software for derivatives, Bloomberg

Finanzen (allg.)

1/2010 – 6/2022

1 yr.
Details:
Validation of pricing for financial instruments/derivatives: callable bonds, CDS, IR/CCY swaps, caps/floors, swaptions (physical/cash), FX options (plain/barrier).
Applying Black & Scholes, Bachelier, SABR, Malz, Vanna-Volga models, SDE equations.
Implementing multi-curves, negative interest rates.
Validation of credit/funding valuation adjustments for prudential valuation (AVA/XVA, CVA, FVA, FCA, funding curves).
Technology:
Proprietary valuation software for derivatives, Prime / Front Arena, Python, Bloomberg, Reuters, Excel, Wilmott papers

Finanzierungsmodelle

1/2010 – 6/2022

2 mo.
Details:
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.
Technology:
Visual Basic, Excel

Investmentberatung

1/2010 – 6/2022

3 mo.
Details:
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.
Technology:
Visual Basic, Excel, Access

Investmentberatung