Projects Completed

IFRS Fair Values for Credits

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

Intraday Trading Strategies

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

Review and Modification of Retail IFRS9 PD Model

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

Accounting Ratios for Asset Management

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

Underwriting Analysis/Tools for Mortgages

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

Investment Analysis for Equipment Leases

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/defaults, overhead costs, debt interest/amortization, equity funding, reinvestments).

Calculation of expected value and statistical distribution for profit/loss and final equity.

Visual Basic, Excel

Validation of Derivatives Pricing

1 yr., large German bank

Validation of pricing for financial instruments/derivatives: callable bonds, CDS, IR/CCY swaps, caps/floors, swaptions (physical/cash), FX options (plain/barrier).

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

Inspection of RaRoC Pricing for Derivatives

2 mo., large German bank

Validation of RaRoC pricing for FX/IR derivatives with non-financial counterparties.

Inspecting methodology for EPA (expected positive exposures, market based, SDE equations),  expected capital/RWAs, risk costs (expected losses/PD/LGD), margins/hurdle rates, RoE/RoC calculations.

Excel, Visual Basic, Prime / Front Arena, proprietary valuation software for derivatives, Bloomberg
Support during Supervisory Inspection of Credit Portfolio Model

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

IFRS 9 Expected Credit Losses (ECL) Modeling and Implementation

1 yr., large German bank

Development of general quantitative methodology for lifetime PD/LGD/EAD, adjustments for corresponding Basel IRBA models, PiT (Point-in-Time) macroeconomic adjustments.

Specific quantitative methodology, calibration and implementation for real estate portfolios.

Working with regulatory texts (IFRS 9 standard, Basel requirements, auditors’ recommendations). Sub-project management.


Development and Implementation of PD Model

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

Development and Implementation of LGD Model

4 mo., mid-sized German bank

Development of a new LGD (Loss Given Default) model for corporate obligors, based on accounting/loan information.

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

Validation of Portfolio Model for Operational Risk

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

Validation of Credit Portfolio Model

1 mo., large German bank

Validation of an internal (pillar 2) credit portfolio model (asset-value / Merton type).

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

Validation of IFRS Portfolio Hedge Accounting

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/prepayment rights, hedge effectiveness, liaising with auditors.

Excel, proprietary valuation software

Development of CCF model

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/aggregation by loan types, timing considerations, regulatory adjustments (downturn scenario).

Excel, Visual Basic, SAS, SAP, review of individual loan agreements

Market Data Modeling for Commercial Real Estate

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

Research on Credit Derivatives

3 mo., German financial-services consultancy

Research on valuation/pricing and accounting/regulatory treatment for then-emerging credit derivatives (CDS, ABS).

Inspecting rating methodology of rating agencies (Moody’s, Fitch) for RMBS/CMBS (residential/commercial mortgage-backed securities).

Guide on financial reporting/accounting in Ukraine

3 mo., German university

Detailed comparison of Ukrainian Accounting Standards (UAS) with IAS/IFRS.

Writing several chapters on financial reporting in a commercially available investment guide for Ukraine.

IAS / UAS text