Helena Skrapec, Cfa Email & Phone Number

Vienna, AT

Vienna, Austria

Moscow, Moscow City, Russia

• Management of the Department with the following Banking Book Desks:
• Liquidity Desk (Liq buffer, LC repricing risk, FTP methodology, BS structure, Liq model proposals)
• Capital Planning Desk (Capital cost structure optimization, RWA optimization, Dividend forecasting/budgeting)
• Funding Desk (Securitization, Funding transactions)
• OCP Desk (Banking Book)

Moscow, Moscow City, Russia

• Management of the department with the following Banking Book Desks:
• IRRBB Desk (Interest Rates/NII Steering, IR Models,IR Product Pricing)
• Capital Planning Desk (Capital cost structure optimization, RWA optimization, Dividend planning)
• Funding Desk (Securitization, Funding transactions)

Moscow, Russian Federation

• IRRBB managing (directional and basis risk)
• IRRBB models development
• Optionalities pricing (quant team) and managing IRRBB exposure
• Funds Transfer Pricing Methodology, mostly for new products
• Capital planning (RoE optimization)

Vienna, Austria

• Liquidity Management: Analyse the development of liquidity positions of all Network Banks (going concern/stress scenarios as well as regulatory requirements) and derive an overall assessment of liquidity positions.
• Treasury Securities Book: develop a group-wide treasury book strategy; review treasury book activities for all NWBs; advise on optimising their volume, risk and PnL impact
• Interest Rate Management: Analyse on- and off-balance sheet interest rate profile of Network Banks; derive appropriate balance sheet management strategies
• FTP: procure an adequate Funds Transfer Pricing policy for the Network Banks; identify the drivers of FTP rates and their impact on external prices and business volumes
• Performance and Budget: Review budget and business goals of Network Banks; monitor the performance and identify drivers, challenges and opportunities for treasury income

Zagreb, Croatia

• Monitors, analyses and projects legally required parameters (minimal ratio of foreign currency a/l ratio, obligatory reserve maintenance etc.)
• Optimizes cash flows and manages short term funding of the Bank
• Creates valuation models and scenario analysis of loans and other illiquid assets
• Executes strategies using derivatives (CCS, IRS, FRA) to achieve targeted effect (duration or currency structure change, hedging of part of the Bank’s assets or liabilities, liquidity optimization etc.)
• Creates model for calculation costs of obligatory reserve, special obligatory reserve and other costs imposed by CNB measures
• Publishes yield curves and competitive quotes in major currencies to internal departments and external counterparties.

Zagreb, Croatia

• Preparation of software and hardware base for workstations
• Scripting and configuration of server system
• End-user training and support

Master Degree (Dipl. Ing. In Mathematics), Mathematics

Certified Investment Advisor

Chartered Financial Analyst

Certified Assets Liabilities Manager