Senior Risk Manager

Profile
 
Risk manager with strong management and technical expertise in investment banking, insurance and energy trading. Recent experience and successful projects in turnaround situations, in market risk and credit risk and project management.
 
FINANCIAL MARKETS, PRODUCTS & TECHNOLOGY
 

• Risk Management – Basel III, Solvency II, Risk Reporting, VaR, Stress Testing, Back Testing. Limit Monitoring
• Project Management – PRINCE 2; German REFA Degree on Work Organisation (similar to Six Sigma Qualification)
• Credit – Bonds, CDS, Index CDS, WARF Calculations
• Real Estate – Closed Property Funds, Monte Carlo Simulation Forecasts
• Excel / VBA professional – Simulations, Dashboards, Random Number Generation, Audit-proof Reporting

  Career History  
Dec 2017 – today                             Self-employed Risk Consultant, Haste, Germany
Dec 2017 – Apr 2018 working for Fidor Bank in Munich, Germany

• Analysis and optimisation of control reports across several area including: financial, commission & cost allocation
• Introducing documentation standards sound governance for several audiences both internal and external, such as auditors, and updating the existing documentation suite for adherence
• Embedding quality assurance for invoices using Excel with VBA to reconcile numbers exactly

 
Jan 2015 – Nov 2017                       Legal & General, London, UK
Manager Risk Analytics / Production and Client Services

• Leading and coordinating a team of 11 financial analysts, actuaries, and data analysts
• Risk production, risk reporting and risk analysis with AlgoOne batch, RiskWatch and in-house developments
• Support of Solvency II reporting processes for regulatory purposes and for Internal Model
• Quality assurance and feed of asset data and market data, data analysis
• Successful projects:
  - Data Classification Project including Data Inventory, Data Protection and Governance / Policy updates
  - Migration of Internal Model on AlgoOne into the Cloud (MS Azure)
  - Specification, design, and implementation of Credit Risk reporting (audit-proof Excel VBA)
  - Successful team restructuring by replacing 50% of the team within 18 months
  - Development of data analysis tool to ensure quality assurance of asset data streams for Solvency reporting, Portfolio credit risk reporting, and Pillar 3 reporting (Excel VBA)

 
Jan 2012 – Dec 2014                       Self-employed Risk Consultant, Haste, Germany
Jun 2014 – Dec 2014 working for UniCredit in Munich, Germany

• Project manager Basel III topics; Quality assurance project documentation
• Analysis and quality assurance of securitization process

 
Jan 2014 – Apr 2014 working for Nordic Investment Bank in Helsinki, Finland

• Stress testing and scenario generation with Algorithmics (AlgoOne), VaR and Expected Shortfall calculations
• Data input quality assurance (Shell scripts & Perl scripts), reports on data quality and VCV matrix changes
• RiskScript reviews, Algo market risk batch optimisation

 
Sep 2012 – Dec 2013 working for E.ON Global Commodities SE in Düsseldorf, Germany

• Stress testing implementation with MS Access / VBA and MS SQL Server
• Automation of Credit and Market Risk reporting, updates of VaR and PaR calculation interface
• Market data load and reporting for Gas, Oil, Coal and Freight price curves and FX forward curves
• Review of and adding details to Approved Products List

 
 
Jan 2012 – Jun 2012 working for Allianz SE in Munich, Germany

• Model Validation documentation for regulatory requirements, Solvency II
• Developed a Perl application to create deviation reports on Algorithmics correlation matrices (before and after positive definiteness optimisation, comparison over time, largest breaches above set tolerance levels, deviations per currency, per risk factor category, per risk factor pair, etc.), including a regression test suite to assure program quality
• Productionized an R application to calculate Correlation VaR sensitivities for use in different countries

 
May 2008 – Dec 2011                      National Australia Bank, London, UK
Senior Manager Market Risk Production

• Lead and coordinated a team of 3 risk analysts
• Team responsible for independent price verification (IPV); rate sourcing, feed & validation; risk reporting
  - Market Risk reporting: VaR, Limit changes and utilisation, Limit breach analysis, Stress Test breach analysis, Backtesting exception analysis and reporting
• Successful projects:
  - Front to end quality assurance of Bond pricing: price feeds (Xtrakter, Bloomberg, MarkIt), reconciliation, IPV,  during global financial crisis also development and implementation of a Bond pricing model based on CDS spreads plus basis, internally and externally audited without any issues
  - Semi-automated front to end quality assurance of CDS pricing: Designed and implemented Calypso data feed (MarkIt) and Middle Office revaluation at end of day, all audits positive
  - Implementation of a Rates & Reporting database (MS SQL Server): quick support of new products (available rates can be fed within 1-2 days), almost maintenance free design (apart from deletion of old data), support of Bond prices, RPI Swap prices, RPI Option prices
  - Redesign of Caps, Floors, and Swaption volatility surface feeds into Calypso production
  - Design and implementation of daily changing task list which gets signed and archived for audit and error tracking purposes

 
Oct 2006 – Apr 2008                        Algorithmics GmbH, Frankfurt, Germany
Project Manager

• Project responsibility for budgets from €200k to €2m
• Managed 8 market risk projects in Germany, Switzerland, France, Ireland and UK
• Lead and coordinated project teams with 2-4 financial engineers/integration engineers internally and liaised with clients’ project managers and business heads

 
Apr 2004 – Sep 2006                       CPM Advisers Ltd, London, UK (Subsidiary of HSH Nordbank)
Director Risk Management, Controlling and IT (Jan 2005 – Sep 2006)
Contractor Risk Management (Apr 2004 – Dec 2004)

• Lead and coordinated team of 3: one senior database engineer and two junior quants
• Developed and optimized portfolio calculations for P&L and risk for 4 funds: pricing of fixed and floating bonds, single name and index credit default swaps, credit options, equity options, swaps, futures; stress tests, scenario simulations, DV01 tables, component VaR and back testing
• Investor reporting, including investor guideline checking system

 
Sep 2002 – Mar 2004                       Self-employed Risk Consultant, Berlin, Germany
Risk Management Consultant

• Analysis and turn-around advisory for a public bus company as a sub-contractor
• Workflow organisation and hiring of staff for an advisory company

 
 
Jan 1989 – Aug 2002                      Landesbank Berlin Group, Germany
Managing Director of subsidiary LPFV GmbH (Jan 2001 – Aug 2002), Berlin

• Responsible for 30 employees, cost budget of €5m and €1 billion balance sheet sum
• Successful start-up of a real estate risk company: hiring of 30 employees, quick establishment of main business processes (check of rental and other guarantees for more than 20 closed funds with a rental income in excess of €450m p.a., court actions against abusive agents and advisory companies, revitalisation of objects
• Risk prognosis of real estate funds with a detailed Monte Carlo simulation
• Implementation of SAP FI and CO
   

Department Director of Bankgesellschaft Berlin AG (Apr 1996 – Dec 2000), Berlin

• Implementation (together with Oliver Wyman) of a performance measurement and bonus system for 12 investment banking divisions and 300 traders: based on RAROC with capital allocation for credit/market/operational risk similar to Basel II; balanced scorecards
• After move to HR investment banking in Jan 1999: lead and coordinated 8 employees, HR service for 650 employees, bonus budget in excess of €10m p.a.

 
Department Head of Allbank AG (Jan 1989 – Mar 1996), Hannover

• Lead and coordinated a team of 11, budget responsibility of €5m
• Application development and network administration for 250 computers, 5 Unix servers
  - Development of a retail loan application (calculation, scoring, contract preparation)
• Head office move of systems and applications for 300 people and harmonisation of branch systems for 100 branches in a merger

 
Jun 1986 – Dec 1988                       Siemens AG, Munich, Germany
Systems programmer

• Developed and maintained device drivers and operating system components for Unix and Siemens Mainframe

 
 
  Systems  

• Financial Applications and Data Providers: Bloomberg, Reuters, MarkIt & Xtrakter
• Programming Languages: VBA (Visual Basic), C/C++, Shell, Perl, R
• Front Office: Calypso
• Databases: MS SQL Server, MS Access
• Applications: MS Office (Excel, Project, Visio, PowerPoint, Word), Sharepoint, SAP FI and CO, BusinessPlanner
• Quality Assurance, Version Control, Configuration Management: HP Quality Center, Jira, Git, Aegis
• Operational Risk, Compliance: OneSumX

   
Education  
1986      Diploma Mathematics & Computer Science (equivalent to MSc), University of Hannover, Germany
1987-88 Studies of Economics at FernUniversität Hagen, all basic courses
1992      REFA degree on work organisation (similar to Six Sigma)
2007-12 PRINCE 2 registered practitioner, reg. no. P2R/241685
   
LANGUAGES  
English (fluent)
German (native)