M. Tuna Kök, Cfa, Frm Email & Phone Number

Rotterdam, South Holland, Netherlands

Amsterdam Area, Netherlands

Conducted CRD IV compliant LCR, NSFR and ALMM reporting.Built models in IRRBB framework.Involved in implementation of Axiom SL software to banking systems.Calculation of hedge effectiveness and ad hoc reports.

Istanbul, Turkey

Istanbul, Turkey

Running the Risk Management DepartmentOverseeing risk management activities of AUM 8 bln $• Reported directly to the Board of Directors, prepared reports and presentations for Risk Management Committee.• Supervised a team of two, conducting risk management and performance monitoring activities.• Prepared UCITS compliant reports, SRRI calculations and preparation of fund facts & KIID.• Constructed distribution models using approaches such as Cornish-Fisher expansions, adaptively employed copulas and historic simulations to overcome mostly platy/leptokurtic and skewed nature of emerging market returns. Our backtest exception counts were mostly stable during market turmoils.• Implemented a multi-asset Black Litterman based volatility budgeted allocation advisory model. My model employed Ito’s Lemma for market view mismatches and GARCH processes for covariance instabilities. Sustained high positive Sharpe ratios in three consecutive years.• Developed a quasi-causal backtesting method with Monte Carlo techniques for market view models which enabled usage of longer series for backtesting. With more data in use, our algorithms achieved higher levels of precision.• Developed quantitative models for factor risk analysis, Markovian regime shifts, ADF cointegration tests.• Performed non-parallel yield curve stress tests to better understand risk immunization in fixed income portfolios.

Istanbul, Turkey

-Daily VaR measurement-Weekly and Monthly reports to Portfolio Management and Board-Backtesting risk models-Risk adjusted performance calculations-SRRI calculations-Developed & Maintained Quantitative models for valuation and market analytics-Implemented a Black-Litterman based multi-asset optimized pension allocation model-Developed a sector based key rate duration positioning prediction algorithm

Istanbul Area, Turkey

Risk Management and Performance Monitoring of Mutual Funds, Hedge Funds, Pension Funds, Structured Funds.• Conducted liquidity risk measurement, derivatives valuations and limit validations.• Performed pre-trade fair price checks using Superderivatives platform for complex payoff structures.• Involved in development of m-VaR, c-VaR measurement enhancements of risk software.• Performed testing of duration and volatility matched index proxies, Credit Risk modelling and monitoring. Used Moody’s RiskCalc and CreditEdge platorms.

Istanbul, Turkey

Discretionary Portfolio Management Desk

Business and Project Development, Project Finance, Financial Modeling and Cash Flow Analyses, of Industrial Projects. Stress and Scenario Testing of Financial Models, Due Diligence and Dataroom Preparation, Market and Industry Analyses of Energy and Mining Projects

Mba, Finance, 3.58

Activities and Societies: Research and Teaching Assistant, MBA Club Membership%75 Scholarship. Selected courses: Financial Risk.

B.Sc., Electrical And Electronics Engineering

Activities and Societies: Mühendislik Topluluğu, Music Club,studied on control theory and computer networks

High School