Risk Controller
Current- Working 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