Risk Controller
CurrentWorking area: Market Price Risk• Development and validation of risk models - e.g., credit portfolio model (CreditMetrics) and VaR transformation model in market price risk• Designing and programming risk models in MATLAB and VBA - e.g., custodian risk model (Monte Carlo simulation to determine a loss distribution)• Market price risk measurement and reporting to the management board• Financial instrument pricing• Participation in the development of a DQ management in accordance with BCBS 239