4 mo., German provincial/land bank
Verifying IFRS 9 fair values of credit-related financial instruments (loans, bonds, hybrid), as considered in IFRS balance sheet, income statement and notes.
Accounting for contractual/projected cash flows, loan commitments, optionalities (callable/puttable), refinancing/liquidity costs, credit costs / expected losses, capital/equity costs, SPPI criteria, special features.
Dealing with calibration issues (transaction values, historical transfer from IAS 39) and processes (daily, monthly, quarterly, annual).
OneSumX, Excel, SAS
3 mo., small French hedge fund
Verifying, backtesting and improving strategies for intraday trading of stocks.
Using various trading indicators, technical analysis and machine learning.
Python, Excel, TradingView
9 mo., German captive bank
Critical review of IFRS 9 ECL methodology for car loans. Verifying/modifying code for lifetime IFRS9 PD calculation.
Calibration/parametrization of the model for a new market.
Dealing with technical issues such as default definition, delinquencies, migrations, multiple defaults etc
SAS, Excel, Ambit Focus
3 mo., small French hedge fund
Calculating a list of candidate accounting/market ratios/factors for data-driven optimization/re-balancing of investment portfolios.
Usage of large databases of financial statements. Big data analysis applied for accounting/market/investment metrics.
Python, Excel, FactSet, Bloomberg
3 mo., small US mortgage broker
Development of underwriting tools for valuation of real estate and analysis of mortgage applications (refinance, purchase, construction, acquisition). Drawing on property types, occupancy types, LTV, DSCR, gross rent multipliers, capitalization rates.
Accounting for debt schedules, projections, project costs, personal financial statements, discretionary cash flows, vacancy/collection allowances, management fees, replacement capital reserves, repair and maintenance fees.
Visual Basic, Excel, Access
2 mo., small US equipment lessor
Risk-profit analysis for leases of equipment to small business clients.
Using Monte Carlo for simulation of cash flows (leasing payments, equipment buyouts, equipment returns, delinquencies/
Calculation of expected value and statistical distribution for profit/
Visual Basic, Excel
1 yr., large German bank
Validation of pricing for financial instruments/
Applying Black & Scholes, Bachelier, SABR, Malz, Vanna-Volga models, SDE equations.
Implementing multi-curves, negative interest rates.
Validation of credit/funding valuation adjustments for prudential valuation (AVA/XVA, CVA, FVA, FCA, funding curves).
Proprietary valuation software for derivatives, Prime / Front Arena, Python, Bloomberg, Reuters, Excel, Wilmott papers
2 mo., large German bank
Validation of RaRoC pricing for FX/
Inspecting methodology for EPA (expected positive exposures, market based, SDE equations), expected capital/
5 mo., small German bank
Bank-side support during a supervisory inspection of internal (pillar 2) credit portfolio model, in particular regarding profit-and-loss (balance-sheet) modeling.
Ad hoc analyses, answering supervisory enquiries. Inspection of rating migration approaches, distributional assumptions, loan provision modeling. Suggestions for further development of the model.
Visual Basic, Excel, C#, R
1 yr., large German bank
Development of general quantitative methodology for lifetime PD/
Specific quantitative methodology, calibration and implementation for real estate portfolios.
Working with regulatory texts (IFRS 9 standard, Basel requirements, auditors’ recommendations). Sub-project management.
SAS, SAS IML, SAP, ABIT, JSON, JavaScript
4 mo., mid-sized German bank
Development of a new PD (Probability of Default) rating model for corporate obligors, based on accounting ratios and market information (reduced-type), with additional adjustments and qualitative factors.
Quantitative modeling/calibration (log-regression, shadow-ratings, through-the-cycle adjustments), backtesting, initial validation, RWA impact analysis, implementation, liaising with credit analysts.
SAS, Moody’s RiskCalc, Moody’s CreditEdge, balance-sheet databases (BvD OSIRIS, S&P Compustat, Bloomberg), Visual Basic, Microsoft Access
4 mo., mid-sized German bank
Development of a new LGD (Loss Given Default) model for corporate obligors, based on accounting/
Quantitative modeling (non-linear tobit-regression), backtesting, regulatory adjustments (downturn scenario), initial validation, RWA impact analysis, implementation, liaising with credit analysts.
SAS, Moody’s Ultimate Recoveries Database, balance-sheet databases (BvD OSIRIS, S&P Compustat, Bloomberg), Visual Basic, Microsoft Access
3 mo., mid-sized German bank
Validation of a regulatory AMA (Advanced Management Approach) portfolio model for operational risks. Suggestions for further model development.
Inspecting model assumptions, modeling approaches for frequencies and severities, Monte Carlo simulation settings, business line / event types matrices, representativity of external data used, backtesting.
Matlab, SAS, Excel
1 mo., large German bank
Validation of an internal (pillar 2) credit portfolio model (asset-value /
ML (maximum likelihood) estimation for the R2 (systematic) coefficients based on empirical default data for various retail portfolios. Calculation of confidence intervals for the coefficients and statistical testing.
Verifying methodology for derivation of the R2 coefficients for wholesale portfolios.
SAS, Excel, R
2 mo., mid-sized German bank
IFRS portfolio hedge accounting for fair value hedges of residential mortgage portfolios via interest rate swaps.
Validation of hedge designation methodology, hedge ratios, treatment of termination/
Excel, proprietary valuation software
3 mo., large German bank
Development of a new CCF (Credit Conversion Factor) model for SME obligors, based on loan types (revolvers, money market accounts, syndicated loans, guarantees etc.).
Data cleansing for internal history of credit lines / outstanding debt, with conservative assumptions. Stratification/
Excel, Visual Basic, SAS, SAP, review of individual loan agreements
2 mo., mid-sized German bank
Validation of internal models for forecasting market data (vacancy, rental prices, prices, cap rates) for commercial real estate (office, retail, residential, hotels).
ARIMA autoregression, time series, data cleansing/unsmoothing.
Excel, Access, R
3 mo., German financial-services consultancy
Research on valuation/
Inspecting rating methodology of rating agencies (Moody’s, Fitch) for RMBS/CMBS (residential/
Excel
3 mo., German university
Detailed comparison of Ukrainian Accounting Standards (UAS) with IAS/
Writing several chapters on financial reporting in a commercially available investment guide for Ukraine.
IAS / UAS text