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Dac Bui is listed as Director of Risk Management at Vannam Capital, based in Greater Sydney Area, Australia. AeroLeads shows a matched LinkedIn profile for Dac Bui.
Dac Bui previously worked as Executive Manager - Market Risk Production & Reporting Controls at Commonwealth Bank and Director Financial Assurance & Services, Capital Market at Deloitte & Touche.
I am an adaptable and dedicated Risk and Finance Professional who promotes collaboration, challenge, and personal development amongst team members. Ability to resolves complex problems through implementing effective controls, visual data analytics, customer behavioural analytics, Data Mining Techniques (using R & SAS), risk assessment quantification and methodologies across diversified asset classes, including complicated structured finance transactions, and assessment of marginal credit risk at a bank’s portfolio level.My extensive experience expands across risk management and quantification of Credit Risk, Market Risk and Liquidity Risk. I have hands on experience in risk control functions with achievements in the areas of regulatory capital savings, raising revenue and enhancing internal controls. A reputation for identifying areas of savings in capital, and better allocation of economic capital to competing business units.Specialist skills include: - Risk quantification Techniques- Big data mining analytic using R, SAS , Python- Counterparty Credit Risk (CCR) quantification techniques - PD, EAD, LGD- IAS 39, IFRS 9 - Impairment, Classification & Measurement, Hedge Accounting - Exotic Financial Instrument Pricing- FRTB (Fundamental Review of Trading Book)- Asset & Liability Management key risk metrics- CPA accredited- VBA, SAS, R-AML/CTF
Listed skills include Risk Management, Banking, Credit Risk, Internal Controls, and 11 others.
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Australia
Provide advice to clients on key financial risks and metrics such as probabilities of default, customer retention rates using data mining techniques in R & SAS.
Sydney, Australia
The focus of this role is to ensure the integrity of Transactional Data in the data warehouse, Market Data in the Rate database and Risk data coming out of the Credit Risk and Market Risk Engine. In addition, I also made valuable contributions to the process of the improving the methodologies for quantifying Counterparty Credit Risk, Market Risk, Credit Risk policies, Regulatory Capital and Economic Capital for Credit Risk.- Independent Pricing Verification (IPV) Controller at Commonwealth Bank of Australia- Presentation findings at Valuation Committees & Risk Forums for IPV - IFRS 9 - Impairment, Classification & Measurement, Hedge Accounting, IAS 39- Best Practices in Liquidity Cost & Benefit Allocation post GFC - a behavioral modelling approach - Implementation Issues for Operation & Financial Controls in large Australian Banks- Practitioner of best practice in CVA, FVA & DVA- SAS Programming- Enterprise Miner, R Programming - Data Analytic Science, VBA- Providing sign-off for changes & implementation of Market Risk methodologies - Oversight the implementation and reporting of stress VaR, scenario analysis- Review selected APRA returns
Undertook various consulting engagements relating to key aspects of risk management including - ( Market Risk, Counter Party Credit Risk, Liquidity Risk, Operational Risk, & Financial Instrument Valuation. Consulting engagements relating to ALM and treasury activities. Specifics are:o Develop Duration Gap models (DGAP) & Duration Market Value of Equity (DMVE)o Develop Liquidity Gap/Interest Rate Gap frameworko Provide consultant advice on measuring Earning at Risk & Economic Value of Equityo Development of Interest Rate Risk Policies & Limits Monitoring toolso Provide advice on implementation of risk adjusted return methodologyo Review and advice on Funds Transfer Pricing (FTP) methodologyo Develop Contingency Plan for Group Treasuryo Scenario Analysis and Stress Scenario Test to complement VaR measureso Practical implementation of Weighted Average Cost of Capital (WACC) o Behavioral model analysis of pricing policies on levels of demand/saving deposit for bank Practitioner in implementation of Probability of Default (PD) methodologies using the following statistical techniques:o Logistic Regression (Logit)o Contingent-claim Merton modelo Transition Matriceso Modelling default prediction using linear regressiono Quantification of credit portfolio default risk using default correlationo Deriving probability of default using credit default swap spreads & bond prices Simulating dynamic Loss Given Default (LGD) using Beta distribution Expert in Monte Carlo simulation of Exposure at Default (EAD) Dealing with APRA Data integration using SAS and Enterprise Miner, SAS Visual Analytics VBA, Matlab, SAS, Fincad
I lead a team of professionals to oversee the function of quantifying credit risk exposure (Exposure at Default – EAD) for derivative products including FX, interest rate swaps, structured products and commodity swaps. I provided advice on VAR measurement and risk management of commodities and complex derivative products not being able to be processed by the risk system at the CBA.I also provided thought leadership on methodologies of measuring EAD for counterparty credit risk. Assisted the Credit Risk Executives with determining the credit ratings for non-rated clients, Exposure at Default (EAD), Probability of Default (PD) and Loss Given Default (LGD) for large size and complicated transactionso Default prediction using Structural Approacho Default prediction using credit score logistic regression (Logit) methodo Deriving PD from bond priceso Implementation of Ornstein Uhlenbeck (OU) process to model potential credit exposure (EAD) incorporating mean reversion factors o Implementation of a random Loss Given Default (LGD) model
Principal Financial Officer, oversaw the function of financial reporting and compliance monitoring for National Australia Securities Ltd (NASL), a special purpose vehicle owned by NAB specialising in securitisation and funding activities. Presented financial results at Board meetings and liaised with Corporate Regulator on compliance issues. Leading a team to oversee the process of P&L attribution and production of daily commentary for Daily P&L reporting to Executive General Managers and other Senior Management Participated in projects to enhance FTP (Fund Transfer Pricing) at NAB Dealing with ASIC on compliance issues concerning National Australia Securities Ltd
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Dac Bui works for Vannam Capital.
Dac Bui is listed as Director of Risk Management at Vannam Capital.
Dac Bui is based in Greater Sydney Area, Australia while working with Vannam Capital.
Dac Bui has worked for Vannam Capital, Commonwealth Bank, Deloitte & Touche, and National Australia Bank.
You can use AeroLeads to view verified contact signals for Dac Bui at Vannam Capital, including work email, phone, and LinkedIn data when available.
Dac Bui is listed with skills including Risk Management, Banking, Credit Risk, Internal Controls, Financial Risk, Fx Options, Finance, and Derivatives.
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