Work Experiences
I manage a transversal team that is responsible to validate those risk and valuation adjustment methodologies that have been developed globally within Risk - Capital Markets (R-CM). The job incorporates the review of IRC/CRM, VaR, CVA, PFE and other risk methodologies. The team qualifies and quantifies the model risk that is present in these methodologies. The team checks the consistency of sensitivity and risk indicators across asset classes and as a second level control verifies that all important risk factors are well recognized and monitored at R-CM.
I am concerned with the implementation of the valuation process controls on the R-CM side in Brussels. Covering all product lines within capital markets, the Validation and Valuation team provides an independent analytic and methodology control function supervising the valuation control process that covers among others the marking policy, model approvals, model reviews, map reviews, price verifications and reserve calculations.
In the Financial Markets business area I learn and share know-how in finance. I generate new ideas and I develop pragmatic solutions for clients, applying the best practices in pricing and risk management.
I worked in the Model Risk & Validation team of Risk Management Merchant Banking and I validated front office models to price equity, energy and commodity derivatives. I dealt with combination of local volatility, stochastic volatility, jump and time-changed Lévy models. I focused on the modelling of financial asset price and volatility dynamics. I implemented and developed pricing and risk management models in C++. I developed advanced numerical pricing techniques. I worked on market data management tools as well as on a flexible payoff clause language defining products and risk factors. I made functional analysis of the risk management system.
I built a stochastic model to revalue residential mortgage swaps. The model captures interest rate, default, prepayment and delinquency risks. It manages the tranching of the mortgage pass-through and handles the swap as interest rate derivatives. The correlation between the outstanding swap notional and the floating rate that is referenced in the swap contract is modelled explicitly.
I set up new scorecard for the credit card business line. I created a framework for future scorecard developments in SAS EM. I developed and challenged expert, statistical and non-statistical models.
I validated the fair valuation of interest rate and foreign exchange rate derivatives. I made functional analysis of the revaluation system.
I developed risk management models and a combination of statistical and neural network based credit scoring methods for the Leasing Department in MATLAB environment.
I gave financial lectures and I examined the candidates.
In the Banking Degree Programme I taught advanced financial studies for bankers.
I taught Intermediate Microeconomics (Varian) for a group of 40 students.