Open-source tools and libraries for quantitative finance, risk analytics, and financial engineering.
Accenture/TiGital
Contributing to the customization and configuration of Regnology Risk Hub as a banking platform in Austria.
Regnology Risk Hub (RRH) implementation and customization in Java to accommodate ALM, FTP and Value-at-Risk calculations for both IRRBB and whole-bank steering for a platform of 25 banking groups.
Riskpro, IRRBB, FTP, VaR, Java, SQL Server
Hamburg Commercial Bank
Developed in Java a custom FTP module logic for transfer rates in OneSumX for Risk. Tested with a REST API coupled with Python.
Developed and extended an FTP calculation module that supports securities, trading book deals, and hybrid approaches. A daily Pytest suite runs after the jobchain detecting changes and marking deals ids with uncommon variations.
Riskpro, FTP, Java, Oracle PL/SQL, Pytest, Python
Wolters Kluwer
End-to-end automation of a credit risk (PD, LGD, ECL) workflow for both commercial and retail portfolio.
Using APIs coupled with a batch interface a fully End-to-End automated workflow was tested for a full contract valuation for credit risk regulatory purposes.
Riskpro, Java, SQL Server, TeamCity
Kreditanstalt für Wiederaufbau
Requirements specification for Prudent Valuation across KfW's full portfolio, implemented as a C++ extension module.
Designed the requirements specification for Prudent Valuation covering KfW's entire portfolio. The implementation was delivered as an extension module written in C++, with its output verified by an automated suite of Oracle PL/SQL scripts run against reference cases.
Prudent Valuation, Oracle PL/SQL, C++
Aareal Bank
Extended QuantLib with a custom product and valuation method to price and steer the risk of a mortgage portfolio.
Extended QuantLib with a custom product and valuation method to price and steer the risk of a mortgage portfolio. The data stack was modelled as XML schemas, parsed with Python, and stored in a Postgres database that fed the QuantLib engine.
C++, Quantlib, Postgres, Python
European Central Bank Mission (Contractor)
Full review of a bank's mortgage valuation methodology for an ECB mission, checking reproducibility with a custom R package.
Conducted a full review of a bank's internal mortgage portfolio valuation methodology as part of an ECB on-site mission, extending a suite of statistical tests written in R. Built a custom R package to independently reproduce the bank's calculations end-to-end, cross-checking results against Excel-based reference figures.
R, Excel
DekaBank | IFRS 9 Credit Risk
Statistical validation of PD, LGD and ECL estimators for retail and wholesale portfolios in R, including Kullback–Leibler divergence tests.
Validated PD, LGD and ECL model components for both retail and wholesale credit portfolios under IFRS 9, running a suite of statistical tests in R. Backtested PD estimates against realised default rates and LGD estimates against realised losses. Assessed model and population stability over time, including Kullback–Leibler divergence tests to detect shifts in rating and loss distributions.
IFRS 9, ECL, PD, LGD, R, Model Validation
ABN-AMRO
Prudent Valuation implementation for a portfolio of illiquid bonds.
Designed from scratch a fully functional implementation with data integration (Bloomberg) of a Prudent Valuation for a portfolio of illiquid bonds.
Bloomberg, Access, Excel, VBA, Prudent Valuation
PwC | Counterparty Credit Risk
Ran CVA, DVA and FVA calculations on in-house C++/QuantLib exposure tools to support banks in negotiating netting sets and ISDA/CSA collateral terms.
Developed in-house exposure simulation and XVA tools in C++, built on QuantLib, and ran CVA, DVA and FVA calculations across banks' derivatives portfolios under alternative netting set configurations. Quantified the effect of different ISDA/CSA terms — thresholds, minimum transfer amounts and margin period of risk — on expected exposure and valuation adjustments. Compared the incremental XVA of moving trades between netting sets to identify where consolidation created the most value, translating the results into negotiation-ready figures for trading, treasury and legal teams.
XVA, CVA, C++, QuantLib, Counterparty Credit Risk
Landesbank Baden-Württemberg
A multi-curve implementation in C++ for whole-portfolio valuation and Monte Carlo Value-at-Risk.
Extension of an internal developed valuation engine in C++ to handle multi-curve valuation of all interest-rate products. Data layer written in VB.Net with a stack of trades in XML. All reports were stored procedures in SQL Server.
VaR, C++, .Net, SQL Server
Daimler Financial Services
Interest Rate of the Banking Book. Structure and Condition Contribution calculations. ALM/FTP for over 30 legal entities worldwide.
Interest Rate Risk in the Banking Book (IRRBB) implementation for Daimler Financial Services, covering structure and condition contribution calculations within the group's ALM/FTP framework. Built on Focus FIS with Access/VBA extensions, supporting more than 30 legal entities worldwide.
IRRBB, FTP, VaR, Focus FIS, VBA, Access, Bloomberg
General Electric
Standalone VBA/Excel library to price retail deals against margin strategy, covering structured contribution, prepayments and early terminations.
Developed a standalone library in VBA/Excel to price retail deals in line with the margin strategy. Calculated structured contribution for each deal, incorporating the effect of prepayments and early terminations so that pricing reflected the full economic cost and profitability of the product.
VBA, Excel
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