15.06.2025 aktualisiert
100 % verfügbar
Financial Risks / Quant Models / IFRS 9 / Capital Markets / Derivatives / SAS / Python / VBA
Bonn, Deutschland
Weltweit
MSc, PhD, FRMSkills
Finance Quantitative Analysis/ModelingriskBasel IIIAsset ManagementderivativesIFRS 9Financial InstrumentsCapital MarketsProgramming
SUMMARY:
PhD in credit risks, FRM designation
15 years of work/project experience in credit risks, rating models, portfolio models, market risks, valuation/pricing of derivatives, operational risks, quantitative analysis, IFRS9/IAS39 accounting
AREAS:
- financial risk management, financial risk controlling, credit risk, counterparty risk, market risk, real estate financing risks, project financing risks
- Basel II, Basel III, Basel IV, credit ratings, EL, PD, LGD, CCF, EAD, RWA, RWAs, IRBA, A-IRBA, SolvV, CRR
- IAS 39, IFRS 9, ECL, valuation, fair values for loans and derivatives
- derivatives, credit derivatives, interest rate derivatives, equity derivatives, CVA, XVA, valuation / pricing for derivatives
- treasury, capital markets, portfolio models, capital adequacy, ICAAP, RaRoC, economic capital, stress testing
- possibly also: insurance risks, actuary, solvency II, ILAAP, liquidity risks
HARD SKILLS:
IT & Programming:
- Windows 10/11 (advanced), Linux (basics)
- Microsoft Office (power user): Word, Excel, Access, Outlook, PowerPoint
- Python incl. pandas/NumPy/SciPy/scikit-learn (very good), PyCharm (good)
- SAS (very good): BASE, STAT, GRAPH, IML, ETS, Enterprise Guide, Viya
- Data: SQL (very good), MySQL / Access (very good), Cloud (basics), Big Data (good)
- VBA/Macros/ Visual Basic (very good) , Java/C# (good), R (basics), Matlab (good)
- Web (good): HTML, CSS, JavaScript, WordPress
Quant & AI:
- Statistics / Econometrics / Probability Theory / Regression / Time Series (very good)
- Machine Learning: Python TensorFlow/PyTorch (good), LLM/NLP/ANN (good)
- OpenAI GPT-models (good): Web / API / prompt engineering / automatizations
Financial Data & Specialist Software:
- Market data: Bloomberg Terminal (good), Reuters / Refinitiv Eikon (basics)
- FIS Front Arena (good): Prime/GUI/ADFL, ADM/ASQL, AEL/ACM/Python
- SAP R/3 (good): FS-DM / FS-CML (incl. data tables/imports), Finastra Kondor (basics)
- Financial Reports (very good): S&P Compustat / Moody’s Osiris / FactSet / Edgar / Datastream / Worldscope / Osiris / Dafne
- Risk: FIS Balance Sheet Manager / Ambit Focus, Wolters-Kluwer RiskPro / OneSumX
Project Management:
- Experience of agile projects (Scrums), Experience in management of sub-projects
- Jira/Confluence (good)
Language Skills:
- German (fluent, 25 years in Germany)
- English (fluent, work experience in the USA, several stays in the UK)
- Ukrainian/Russian (native speaker)
- French (advanced), Polish (advanced), Spanish (basic)
Publications:
- Mean-Reverting SABR Models: Closed-form Surfaces and Calibration for Equities, 2024, in: SSRN
- Vanna-Volga Method for Normal Volatilities, 2018, in: SSRN
- Sparse Structural Approach for Rating Transitions, 2017, in: SSRN
- Endogenous Derivation and Forecast of Lifetime PDs, 2015, in: SSRN
- Forecasting Default with Aggregated Financial Ratios, 2013, in: Journal of Money, Banking and Finance
- Non-Classical Ratios and Lasso Selection for Bankruptcy Prediction, 2009, in: SSRN
- I nsolvenzprognose und Kreditratings für ukrainische AGs, 2007, in: Wirtschaft und Recht in Osteuropa
- Finanz- und Ertragslage ukrainischer AGs, 2007, in: Wirtschaft und Recht in Osteuropa
- Die handelsrechtliche Rechnungslegung in der Ukraine, 2006, in: Wirtschaftsstandort Ukraine
PhD in credit risks, FRM designation
15 years of work/project experience in credit risks, rating models, portfolio models, market risks, valuation/pricing of derivatives, operational risks, quantitative analysis, IFRS9/IAS39 accounting
AREAS:
- financial risk management, financial risk controlling, credit risk, counterparty risk, market risk, real estate financing risks, project financing risks
- Basel II, Basel III, Basel IV, credit ratings, EL, PD, LGD, CCF, EAD, RWA, RWAs, IRBA, A-IRBA, SolvV, CRR
- IAS 39, IFRS 9, ECL, valuation, fair values for loans and derivatives
- derivatives, credit derivatives, interest rate derivatives, equity derivatives, CVA, XVA, valuation / pricing for derivatives
- treasury, capital markets, portfolio models, capital adequacy, ICAAP, RaRoC, economic capital, stress testing
- possibly also: insurance risks, actuary, solvency II, ILAAP, liquidity risks
HARD SKILLS:
IT & Programming:
- Windows 10/11 (advanced), Linux (basics)
- Microsoft Office (power user): Word, Excel, Access, Outlook, PowerPoint
- Python incl. pandas/NumPy/SciPy/scikit-learn (very good), PyCharm (good)
- SAS (very good): BASE, STAT, GRAPH, IML, ETS, Enterprise Guide, Viya
- Data: SQL (very good), MySQL / Access (very good), Cloud (basics), Big Data (good)
- VBA/Macros/ Visual Basic (very good) , Java/C# (good), R (basics), Matlab (good)
- Web (good): HTML, CSS, JavaScript, WordPress
Quant & AI:
- Statistics / Econometrics / Probability Theory / Regression / Time Series (very good)
- Machine Learning: Python TensorFlow/PyTorch (good), LLM/NLP/ANN (good)
- OpenAI GPT-models (good): Web / API / prompt engineering / automatizations
Financial Data & Specialist Software:
- Market data: Bloomberg Terminal (good), Reuters / Refinitiv Eikon (basics)
- FIS Front Arena (good): Prime/GUI/ADFL, ADM/ASQL, AEL/ACM/Python
- SAP R/3 (good): FS-DM / FS-CML (incl. data tables/imports), Finastra Kondor (basics)
- Financial Reports (very good): S&P Compustat / Moody’s Osiris / FactSet / Edgar / Datastream / Worldscope / Osiris / Dafne
- Risk: FIS Balance Sheet Manager / Ambit Focus, Wolters-Kluwer RiskPro / OneSumX
Project Management:
- Experience of agile projects (Scrums), Experience in management of sub-projects
- Jira/Confluence (good)
Language Skills:
- German (fluent, 25 years in Germany)
- English (fluent, work experience in the USA, several stays in the UK)
- Ukrainian/Russian (native speaker)
- French (advanced), Polish (advanced), Spanish (basic)
Publications:
- Mean-Reverting SABR Models: Closed-form Surfaces and Calibration for Equities, 2024, in: SSRN
- Vanna-Volga Method for Normal Volatilities, 2018, in: SSRN
- Sparse Structural Approach for Rating Transitions, 2017, in: SSRN
- Endogenous Derivation and Forecast of Lifetime PDs, 2015, in: SSRN
- Forecasting Default with Aggregated Financial Ratios, 2013, in: Journal of Money, Banking and Finance
- Non-Classical Ratios and Lasso Selection for Bankruptcy Prediction, 2009, in: SSRN
- I nsolvenzprognose und Kreditratings für ukrainische AGs, 2007, in: Wirtschaft und Recht in Osteuropa
- Finanz- und Ertragslage ukrainischer AGs, 2007, in: Wirtschaft und Recht in Osteuropa
- Die handelsrechtliche Rechnungslegung in der Ukraine, 2006, in: Wirtschaftsstandort Ukraine
Sprachen
DeutschverhandlungssicherEnglischverhandlungssicherFranzösischgutPolnischgutRussischMuttersprache
Projekthistorie
Supporting the transfer of IRRBB / ALM / Liquidity / FV models from OneSumX to Balance Sheet Manager
Verifying model assumptions/requirements, unifying and improving the models (wrt optionalities, discounting, prolongations, commitments etc), pre-deployment / validation of models, regression tests, inspecting valuation differences, dealing with project management issues
Tools: OneSumX, Balance Sheet Manager, Excel, Access, SQL, Jira
Verifying model assumptions/requirements, unifying and improving the models (wrt optionalities, discounting, prolongations, commitments etc), pre-deployment / validation of models, regression tests, inspecting valuation differences, dealing with project management issues
Tools: OneSumX, Balance Sheet Manager, Excel, Access, SQL, Jira
Developing / improving market-risk VaR model, in accordance with CESR’s for UCITS, with absolute / relative (benchmark) VaR criteria. Covering stocks, indices, funds, FX futures, derivatives (stock / index options). Accounting for hedges, complex derivative strategies, equity volatility smiles/smirks, volatility dynamics, correlations. Applying Black & Scholes, SABR, SVI, Heston models, Monte Carlo.
Tools: Excel, VBA, Python, Patronas OPUS, StatPro, Bloomberg
Tools: Excel, VBA, Python, Patronas OPUS, StatPro, Bloomberg
Dealing with IFRS 9 / IFRS 13 valuation (fair values) of credit-related banking-book instruments (loans, bonds, hybrid), as considered in the bank’s IFRS balance sheet, income statement and notes. Reviewing / verifying /maintaining the existing methodology, creating new documentation (business / valuation / IT aspects), knowledge transfer.
Dealing with contractual/projected cash flows, loan commitments, impairments, POCIs, optionality features (callable/puttable, interest caps/floors), refinancing costs, liquidity costs, term liquidity premium, risk costs / expected losses, capital / equity costs (CRR RWAs, equity cover, equity profitability, RoE, RoRWA), spreads, SPPI criteria, clean/dirty items and accruals, calibration issues, historical transfer from IAS 39 to IFRS 9, manual adjustments, liaisons to pricing conditions for credits / loans.
Also performing analyses for specific valuation issues, dry-run bail-in valuations, SPPI tests, stress scenarios. Handling implementation issues (OneSumX, Java), reporting and processes (daily, monthly, quarterly, annual).
Tools: OneSumX, Balance Sheet Manager, Excel, SAS
Dealing with contractual/projected cash flows, loan commitments, impairments, POCIs, optionality features (callable/puttable, interest caps/floors), refinancing costs, liquidity costs, term liquidity premium, risk costs / expected losses, capital / equity costs (CRR RWAs, equity cover, equity profitability, RoE, RoRWA), spreads, SPPI criteria, clean/dirty items and accruals, calibration issues, historical transfer from IAS 39 to IFRS 9, manual adjustments, liaisons to pricing conditions for credits / loans.
Also performing analyses for specific valuation issues, dry-run bail-in valuations, SPPI tests, stress scenarios. Handling implementation issues (OneSumX, Java), reporting and processes (daily, monthly, quarterly, annual).
Tools: OneSumX, Balance Sheet Manager, Excel, SAS