08/14/2023 updated
SV
100 % available
QRM Consultant, Interest Rate Risk, Quantitative Analytics
София, Bulgaria
Worldwide
MBA, Master's in Mathematics, CFAOver 17 years of experience in risk management, valuation, pricing, and model development. Over 9 years of experience in Interest Rate Risk on the Banking Book. CFA Charterholder, MBA in Banking and Finance, M.Sc. in Mathematics. Expert analytical, quantitative, and problem-solving skills in positions of increasing responsibility. Strong team-player as well as individual contributor with demonstrated hands-on leadership ability.
- Excellent communication, presentation, and personal skills.
- Deep knowledge of statistical and spreadsheet software.
- Programming languages: VBA, C++, R, MATLAB, Python, SQL, MDX, SAS.
- Financial tools: QRM, Bloomberg, BlackRock, AD&Co, MIAC, Kapital, Bond Studio, TradeWeb, Yield Book.
- Statistical and Quantitative analysis tools: MATLAB, R, SAS, MAPLE, Minitab, E-views, SPSS
Languages
EnglishFluent
Project history
* Provide expertise in redesigning and rebuilding anew the QRM set up, including new account hierarchy, planning tree, forecast
strategies, multi curve set up, intercompany set up, and custom reports.
* Implement retail behavioral and client rate models in QRM, the bank's risk system for managing Interest Rate Risk and Liquidity Risk.
Models include prepayment and penalty models for mortgages, liquidity overlay model, client rate and runoff model for deposits,
and cost and revenue functions.
* Lead the developments and implementation of the EBA Stress Test 2020 in QRM.
* Design and implement future market valuations process in QRM.
* Develop and design new forecast strategy for reporting NII risk metrics by FTP components, using new FTP Approach and FTP Tree.
strategies, multi curve set up, intercompany set up, and custom reports.
* Implement retail behavioral and client rate models in QRM, the bank's risk system for managing Interest Rate Risk and Liquidity Risk.
Models include prepayment and penalty models for mortgages, liquidity overlay model, client rate and runoff model for deposits,
and cost and revenue functions.
* Lead the developments and implementation of the EBA Stress Test 2020 in QRM.
* Design and implement future market valuations process in QRM.
* Develop and design new forecast strategy for reporting NII risk metrics by FTP components, using new FTP Approach and FTP Tree.
* Assisted in managing the risk for IRRBB. Supported the implementation and maintenance of QRM, the bank's risk system for IRRBB.
* Led the implementation of the EBA Stress Test on the banking book in QRM. This involved extensive changes to the QRM set up.
* Managed the implementation of ICAAP stress test on NII. Implemented necessary QRM configuration settings.
* Revamped the planning tree and pricing strategy in QRM covering the whole balance sheet.
* Led a project on developing ALM balance sheet risk metrics. Both Valuation and NII risk are decomposed by the FTP components.
Developed new risk reports from QRM to support the new risk metrics.
* Designed and implemented reporting on model assumptions impact on EVE and NII at risk. Models included mortgage prepayment
model, prepayment penalties model, and non-maturity deposits client rate model.
* Worked on multiple projects with teams from Model Development, Model Validation, IT, and trading.
* Led the implementation of the EBA Stress Test on the banking book in QRM. This involved extensive changes to the QRM set up.
* Managed the implementation of ICAAP stress test on NII. Implemented necessary QRM configuration settings.
* Revamped the planning tree and pricing strategy in QRM covering the whole balance sheet.
* Led a project on developing ALM balance sheet risk metrics. Both Valuation and NII risk are decomposed by the FTP components.
Developed new risk reports from QRM to support the new risk metrics.
* Designed and implemented reporting on model assumptions impact on EVE and NII at risk. Models included mortgage prepayment
model, prepayment penalties model, and non-maturity deposits client rate model.
* Worked on multiple projects with teams from Model Development, Model Validation, IT, and trading.