IFRS Fair Values for Credits
4 mo., German provincial/land bank
(Banken und Finanzdienstleistungen)
Schlagwörter
Skills
PhD in credit risks, FRM designation
10+ 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
Looking for contacts/projects in the following fields:
risk management, risk controlling, ICAAP, economic capital, stress testing, IAS 39, IFRS 9, valuation, procing, Basel III, solvency II, portfolio models, counterparty risk, market risk, real estate financing, project financing, derivatives, credit derivatives, interest rate derivatives, CVA, XVA, RaRoC, treasury, credit ratings, EL, PD, LGD, CCF, EAD, IRBA, A-IRBA, credit risk, quantitative/statistical modeling
Skills:
credit ratings, credit risk modeling, PD, LGD, IRBA, SolvV, SAS, SQL, Python, Java, VBA/Macros, Compustat, Bloomberg, Reuters, Datastream/Worldscope, Osiris, Dafne, Basel II, capital adequacy, risk controlling, operational/AMA, IFRS, IAS 39, valuation, derivatives, statistics, econometrics, regression, probability theory, time series, modeling, programming, SAP, IFRS 9, ECL, RaRoC
10+ 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
Looking for contacts/projects in the following fields:
risk management, risk controlling, ICAAP, economic capital, stress testing, IAS 39, IFRS 9, valuation, procing, Basel III, solvency II, portfolio models, counterparty risk, market risk, real estate financing, project financing, derivatives, credit derivatives, interest rate derivatives, CVA, XVA, RaRoC, treasury, credit ratings, EL, PD, LGD, CCF, EAD, IRBA, A-IRBA, credit risk, quantitative/statistical modeling
Skills:
credit ratings, credit risk modeling, PD, LGD, IRBA, SolvV, SAS, SQL, Python, Java, VBA/Macros, Compustat, Bloomberg, Reuters, Datastream/Worldscope, Osiris, Dafne, Basel II, capital adequacy, risk controlling, operational/AMA, IFRS, IAS 39, valuation, derivatives, statistics, econometrics, regression, probability theory, time series, modeling, programming, SAP, IFRS 9, ECL, RaRoC
Projekthistorie
10/2023
-
bis jetzt
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
08/2023
-
09/2023
Intraday Trading Strategies
private US investor
Verifying, backtesting and improving strategies for intraday trading of stocks, with various trading indicators, technical analysis and machine learning.
Python, Excel, TradingView
Python, Excel, TradingView
10/2022
-
06/2023
Review and Modification of Retail IFRS9 PD Model
captive bank, Germany
(Banken und Finanzdienstleistungen)
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
Calibration/parametrization of the model for a new market.
Dealing with technical issues such as default definition, delinquencies, migrations, multiple defaults etc
SAS, Excel
07/2022
-
10/2022
Accounting Ratios for Asset Management
small French hedge fund
(Banken und Finanzdienstleistungen, 10-50 Mitarbeiter)
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.
Usage of large databases of financial statements. Big data analysis applied for accounting/market/investment metrics.
01/2010
-
06/2022
Investment Analysis for Equipment Leases
2 mo., small US equipment lessor
Details:
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.
Technology:
Visual Basic, Excel
Details:
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.
Technology:
Visual Basic, Excel
01/2010
-
06/2022
Validation of Derivatives Pricing
1 yr., large German bank
Details:
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).
Technology:
Proprietary valuation software for derivatives, Prime / Front Arena, Python, Bloomberg, Reuters, Excel, Wilmott papers
Details:
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).
Technology:
Proprietary valuation software for derivatives, Prime / Front Arena, Python, Bloomberg, Reuters, Excel, Wilmott papers
01/2010
-
06/2022
Inspection of RaRoC Pricing for Derivatives
2 mo., large German bank
Details:
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.
Technology:
Excel, Visual Basic, Prime / Front Arena, proprietary valuation software for derivatives, Bloomberg
Details:
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.
Technology:
Excel, Visual Basic, Prime / Front Arena, proprietary valuation software for derivatives, Bloomberg
01/2010
-
06/2022
Support during Supervisory Inspection of Credit Portfolio Model
5 mo., small German bank
Details:
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.
Technology:
Visual Basic, Excel, C#, R
Details:
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.
Technology:
Visual Basic, Excel, C#, R
01/2010
-
06/2022
IFRS 9 Expected Credit Losses (ECL) Modeling and Implementation
1 yr., large German bank
Details:
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.
Technology:
SAS, SAS IML, SAP, ABIT, JSON, JavaScript
Details:
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.
Technology:
SAS, SAS IML, SAP, ABIT, JSON, JavaScript
01/2010
-
06/2022
Development and Implementation of PD Model
4 mo., mid-sized German bank
Details:
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), backtesting, initial validation, RWA impact analysis, implementation, liaising with credit analysts.
Technology:
SAS, Moody’s RiskCalc, Moody’s CreditEdge, balance-sheet databases (BvD OSIRIS, S&P Compustat, Bloomberg), Visual Basic, Microsoft Access
Details:
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), backtesting, initial validation, RWA impact analysis, implementation, liaising with credit analysts.
Technology:
SAS, Moody’s RiskCalc, Moody’s CreditEdge, balance-sheet databases (BvD OSIRIS, S&P Compustat, Bloomberg), Visual Basic, Microsoft Access
01/2010
-
06/2022
Development and Implementation of LGD Model
4 mo., mid-sized German bank
Details:
Development of a new LGD (Loss Given Default) model for corporate obligors, based on accounting/loan information.
Quantitative modeling (non-linear tobit-regression), backtesting, initial validation, RWA impact analysis, implementation, liaising with credit analysts.
Technology:
SAS, Moody’s Ultimate Recoveries Database, balance-sheet databases (BvD OSIRIS, S&P Compustat, Bloomberg), Visual Basic, Microsoft Access
Details:
Development of a new LGD (Loss Given Default) model for corporate obligors, based on accounting/loan information.
Quantitative modeling (non-linear tobit-regression), backtesting, initial validation, RWA impact analysis, implementation, liaising with credit analysts.
Technology:
SAS, Moody’s Ultimate Recoveries Database, balance-sheet databases (BvD OSIRIS, S&P Compustat, Bloomberg), Visual Basic, Microsoft Access
01/2010
-
06/2022
Validation of Portfolio Model for Operational Risk
3 mo., mid-sized German bank
Details:
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.
Technology:
Matlab, SAS, Excel
Details:
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.
Technology:
Matlab, SAS, Excel
01/2010
-
06/2022
Validation of Credit Portfolio Model
1 mo., large German bank
Details:
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.
Technology:
SAS, Excel, R
Details:
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.
Technology:
SAS, Excel, R
01/2010
-
06/2022
Validation of IFRS Portfolio Hedge Accounting
2 mo., mid-sized German bank
Details
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.
Technology
Excel, proprietary valuation software
Details
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.
Technology
Excel, proprietary valuation software
01/2010
-
06/2022
Development of CCF model
3 mo., large German bank
Details:
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).
Technology:
Excel, Visual Basic, SAS, SAP, review of individual loan agreements
Details:
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).
Technology:
Excel, Visual Basic, SAS, SAP, review of individual loan agreements
01/2010
-
06/2022
Market Data Modeling for Commercial Real Estate
2 mo., mid-sized German bank
Details:
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.
Technology:
Excel, Access, R
Details:
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.
Technology:
Excel, Access, R
01/2010
-
06/2022
Research on Credit Derivatives
3 mo., German financial-services consultancy
Details:
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).
Technology:
Excel
Details:
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).
Technology:
Excel
Zertifikate
Bloomberg
Bloomberg
2021
Python
Python
2021
Reisebereitschaft
Weltweit verfügbar
DE, EU, UK, Switzerland
Sonstige Angaben
Tel/WApp: +49-157-5226-7664
Email: perederiy.consulting@gmail.com
Website: https://perederiy-consulting.de
Address: Blumenhof, 53119 Bonn, Germany
