QRM Consultant - ALM

de Volksbank

QRM Consultant - ALM Treasury

ALM Treasury; AIB Bank

* 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.

QRM Consultant - MRM Banking Book

ABN AMRO

* 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.

Sr. Interest Rate Risk, VP

BNY Mellon

* Main role in managing the bank's interest rate risk as part of the Asset Liability Management team within Corporate Treasury.
* Responsible for developing, implementing and maintaining structural interest rate risk analytics that measure, monitor, and report
the bank's balance sheet positions, NII, EVE, interest rate risk, and the respective valuation and earnings sensitivities.
* Developed cash flow behavioral modelling for non-maturity deposits. Calibrated models used in QRM including calibration on
mortgage prepayments and the interest rate term structure model.
* Responsible for EVE and NII forecast results for number of balance sheet items: deposits, mortgages, loans, lease, issued debt, and
interest rate derivatives.

Quantitative Analyst

C12 Capital Management

* Responsible for daily portfolio optimization of a $1bln macro hedge fund portfolio. Provided a major analytical support throughout
the whole portfolio construction process including portfolio optimization, instrument pairs selection, sensitivities to market variables
and risk constraints, and analysis of portfolio allocation.
* Managed and provided daily reporting on VAR, capital utilization, risk limits, portfolio return, performance and risk attribution, and
performance versus different investment strategies. Built automated reports to monitor instrument and portfolio level risk.
Monitored risk input data and analysed output risk metrics.
* Collaborated with portfolio managers and researchers to develop new and improve current investment strategies, covering global
equities, fixed income, credit, currency, and commodity indices.
* Developed and implemented quantitative financial models using extensively VBA, C++, and Matlab.

Portfolio Risk Management, VP

JPMorgan Chase

* Played a pivotal role in the valuation and interest rate risk management of $14bln mortgage servicing rights (MSR) portfolio.
* Managed team of two analysts. Provided senior management with portfolio and MBS analysis, forecasting, sensitivity to model
assumptions, and impacts on the portfolio fair market value and risk metrics.
* Designed the scenarios for producing the portfolio risk profile, including all the portfolio greeks like durations to swap rates,
durations to mortgage spreads, convexities, vegas, and other second order cross term derivatives.
* Performed portfolio stress testing across various interest rate scenarios in order to better assess the risk exposure of the asset.
* Managed the interest rate model, including calibration to swaption volatility surface and analysis of model assumptions. Team
expert on the interest rate model based on HJM framework, mortgage rate models, and Monte Carlo simulation.
* Tuned prepayment models to actual portfolio speeds by adjusting Turnover, REFI, Elbow shift, Seasoning, HPI, and Burnout.
* Provided daily and monthly performance and risk attribution. Monitored daily hedge positions and analysed P&L fluctuations.
* Developed, implemented, and integrated models into MSR portfolio valuation using VBA, C++, R, SAS, and SQL.

Financial Analyst, Capital Markets

AmTrust Bank

* Played a major role in the pricing analytics behind the origination of over $35 BN mortgage loans annually. Evaluated market trends
and assessed and implemented pricing strategies. Assisted in pipeline hedging related analytics.
* Developed and maintained auto-loans model for pricing auto-loans portfolio and calculating durations of the portfolio.
* Enhanced the pricing procedure for adjustable rate mortgage loans using Bloomberg Mortgage Calculator.

QRM Consultant, Interest Rate Risk, Quantitative Analytics

Profile attachments

Experience

Languages

Project history