Projects

Selected engagements in quantitative risk, pricing and valuation for banks, supervisors and risk-software vendors across Europe.

Integrated ALM Risk Platform

Accenture/TiGital | Vienna | 2024 – present

Subject Matter Expert for an integrated ALM risk platform on Regnology Risk Hub for 27 Austrian banks: IRRBB, credit spread, liquidity and credit risk, FTP and VaR.

Subject Matter Expert in Accenture's IFRA ALM Risk project: an integrated ALM platform on Regnology Risk Hub for 27 Austrian banks. Co-designs the framework for market risk (IRRBB, credit spread risk, historical-simulation VaR), liquidity and credit risk and FTP, covering non-standard contracts such as undefined-maturity positions, behavioural models for prepayments and replicating portfolios, and stress testing for static and dynamic simulations.

Market Risk, Riskpro, IRRBB, FTP, VaR, Java, SQL Server

FTP Engine

Hamburg Commercial Bank | Hamburg | 2022 – 2024

Delivered the funds transfer pricing logic in OneSumX for Risk for securities, trading-book deals and hybrid approaches, with daily automated controls.

Delivered and extended the FTP module in OneSumX for Risk for securities, trading-book deals and hybrid approaches. A daily Pytest control suite runs via a REST API after the job chain and flags deals with unusual rate changes.

Riskpro, FTP, Java, Oracle PL/SQL, Pytest, Python

Credit Risk

Wolters Kluwer | Hanover | 2021 – 2022

Assured the end-to-end credit risk workflow (PD, LGD, ECL) of a regulatory risk solution for commercial and retail portfolios.

Product-side quality assurance of the credit risk calculation (PD, LGD, ECL) in Wolters Kluwer's regulatory solution, with a fully automated end-to-end test workflow via APIs and batch interface for commercial and retail portfolios.

Riskpro, Java, SQL Server, TeamCity

Prudent Valuation

Kreditanstalt für Wiederaufbau | Frankfurt | 2019 – 2020

Advised KfW on Prudent Valuation across its full portfolio, from the requirements specification to an accepted C++ implementation.

Advised KfW on Prudent Valuation across its entire portfolio. Translated the regulatory requirements into the requirements specification with the bank's business departments and accompanied its implementation as a C++ extension module, accepted against reference cases with automated Oracle PL/SQL tests.

Valuation, Prudent Valuation, Oracle PL/SQL, C++

Mortgage Valuation

Aareal Bank | Wiesbaden | 2018

Designed a custom product and valuation method in QuantLib so the bank could price and steer the risk of its mortgage portfolio.

Designed and implemented a custom product and valuation method in QuantLib to price and steer the risk of a mortgage portfolio. Data modelled as XML schemas, loaded with Python into a Postgres database feeding the engine.

Valuation, C++, Quantlib, Postgres, Python

Mortgage Portfolio Analytics

ECB On-Site Inspection | PwC | Madrid | 2017 – 2018

Reviewed a bank's mortgage valuation methodology for an ECB on-site inspection, independently reproducing its results with a custom R package.

For PwC Frankfurt, supported an ECB on-site inspection in Madrid with a full review of a bank's internal valuation methodology for its mortgage portfolio. Built a custom R package that reproduced the bank's calculations end to end, reconciled against the bank's reference figures, as independent evidence for the inspection team.

Valuation, Model Validation, R

ECL Model Validation

DekaBank | PwC | Frankfurt | 2017

Validated IFRS 9 PD, LGD and ECL models for retail and wholesale portfolios, with backtesting and stability tests.

For PwC Frankfurt, validated the PD, LGD and ECL components of DekaBank's IFRS 9 credit risk models for retail and wholesale portfolios. Backtested PD estimates against realised default rates and LGD estimates against realised losses, and assessed model and population stability over time, including Kullback–Leibler divergence tests for shifts in rating and loss distributions.

IFRS 9, ECL, PD, LGD, R, Model Validation

Market Price Uncertainty AVAs

ABN AMRO | PwC | Amsterdam | 2017

Advised ABN AMRO's ALM/Treasury Product Control on Prudent Valuation: a month-end tool for market price uncertainty AVAs on rate derivatives and illiquid bonds.

For PwC Frankfurt, on site in Amsterdam, advised ABN AMRO's ALM/Treasury Product Control on Prudent Valuation. Designed the approach with the bank and delivered, within the bank's own end-user environment, a tool that aggregates delta and vega sensitivities by currency, curve, tenor and strike (including CMS and caps/floors) and calculates market price uncertainty (MPU) AVAs for the rate derivatives book; illiquid bonds with Bloomberg data. AVAs (additional valuation adjustments) are the amounts by which a prudent value, at 90% confidence, falls below fair value; under the CRR they are deducted from CET1 capital.

Valuation, Market Risk, Bloomberg, VBA, Prudent Valuation

XVA Netting Analytics

Tier 2/3 Banks | PwC | Frankfurt | 2016 – 2017

Advised banks on negotiating netting sets and ISDA/CSA collateral terms, backed by CVA, DVA and FVA analysis on in-house C++/QuantLib tools.

Advised banks on structuring netting sets and negotiating ISDA/CSA collateral terms. Quantified how thresholds, minimum transfer amounts and margin period of risk drive exposure and valuation adjustments, and the incremental XVA of moving trades between netting sets, as negotiation-ready figures for trading, treasury and legal teams. Built on in-house C++/QuantLib exposure and XVA tools (CVA, DVA, FVA).

Valuation, XVA, CVA, C++, QuantLib, Counterparty Credit Risk

Market Risk Methodology

LBBW | Stuttgart | 2014 – 2016

Market risk methods, approval of valuation models for complex instruments, and a multi-curve interest-rate risk model for the bank's market risk system.

Risk Methodologist in Model Development at LBBW (Stuttgart). Developed market risk measurement methods, and reviewed and approved valuation models for complex financial instruments. Co-designed and implemented a multi-curve interest rate risk model in the market risk system.

Market Risk, VaR, Model Validation, C++, .Net, SQL Server

ALM & Balance-Sheet Risk

Daimler Financial Services | Berlin | 2011 – 2013

Monthly ALM analyses, simulations and Structure Contribution at Risk for more than 30 legal entities worldwide, prepared for the ALCO and the Board of Management.

Risk Manager in Market Risk at Daimler Financial Services (Berlin/Stuttgart). Produced monthly country ALM analyses and simulations for more than 30 legal entities worldwide, and calculated and commented the Structure Contribution at Risk metric for IRRBB, reported to the ALCO and Board of Management.

Market Risk, IRRBB, FTP, VaR, Focus FIS, VBA, Bloomberg

Risk-Based Loan Pricing

GE Capital | Barcelona | 2007 – 2010

Risk-based pricing and loan portfolio models for a retail bank, with match-funding and expected-loss inputs, supporting its weekly Pricing-Risk Committee.

Pricing Analyst at GE Capital Bank Spain. Developed risk-based pricing and loan portfolio models in line with the margin strategy, covering match funding, structure contribution, prepayments, early terminations and expected-loss indicators. Backtested pricing strategies, supported the weekly Pricing-Risk Committee and validated the models with the regional headquarters.

FTP, VBA