Dmitry Popfalushi Email & Phone Number

Wien, Österreich

Vienna, Austria

Responsibilities:• Leadership of the Modelling Team comprising of 5 people. Managing models development for all subsidiaries of Sberbank Europe Group operating in 8 national markets. The unit covers about 70 models across the group.• Ensuring compliance with the model governance requirements.• Support of the models’ implementation in production: IT implementation, manuals and documentation creation, user demonstration and teaching.• Communication with validation, internal and external auditors in all model related topics.Achievements:• Decreased Model Risk in the bank, the share of red models in production decreased from 46% to 3,6%.• Implemented new model-based credit decision procedure in Czech subsidiary Bank that decreased decision time by 23%, Default Rate by 28% and increased Approval Rate by 6%.• Developed IFRS9 LGD models that became the first in the bank’s history to successfully pass validation.

Moscow, Russia

Responsibilities:• Lead 2 teams, Leadership of the Development Team comprising of 6 people and Leadership of Methodological Team comprising of 5 people.• Product ownership of IT system which calculates Market Risk and Counterparty Credit Risk RWA (Risk-Weighted Assets).• Creating and maintenance of RWA calculation methodology.• Management of RWA calculation and reporting. Impact estimation of regulatory changes on RWA numbers.• Interaction with Bank of Russia regarding RWA methodology.• Stakeholder management of department leaders and representatives of partners.Achievements:• Automatized RWA calculation, that allowed to increase calculation frequency from monthly do daily basis.• Elaborated and implemented RWA allocation methodology, allowing allocation of RWA numbers between business units.• Implemented convenient pre-trade functionality for business users. It allowed them to estimate the impact of planned trades on RWA. • Implemented Agile methodology and workflow in Methodology and Developer Teams, making the development process more effective and flexible.

Moscow, Russia

Responsibilities:• Development of Fund’s portfolio investment strategy. It includes portfolio performance forecasting in different scenarios and target portfolio structure determination.• Macro analysis. Forecasting monetary policy, level and shape of a fixed income yield curve etc.• Stress scenario calculation.• Improvement of the Fixed Income asset management process.Achievements:• Developed ML models for macroeconomic forecasting (FX rate, inflation, interest rates etc.), that allowed the prediction of portfolio return in different scenarios, choose optimal strategy and portfolio structure.• Developed and implemented ML models for fair credit spread curves for issuers estimation, that allowed the identification of good deals.

Moscow, Russia

Responsibilities:• Management of a fixed income portfolio and development of fixed income strategy.• Macro analysis. Forecasting of monetary policy. Forecasting level and shape of a fixed income yield curve.Achievements:• Developed interest rate forecasting model, which also predicted the level and shape of a fixed income yield curve.• Automated initial analysis of FI universe for picking the most attractive bonds, using Bloomberg API and in-house yield curve predictions.• Implemented in-house interest rate and inflation models for floating and inflation-linked bonds valuation.• Made the portfolio management process more effective and established on a strong theoretical base.

Moscow, Russia

Responsibilities:• Management of a fixed income portfolio.• Hedging market risk of fixed income portfolio using derivatives.• Management of Back office and Settlement Departments.Achievements:• Developed the investment business in the bank, the share of net revenue from the portfolio in the bank’s operational revenue was increased from 2,6% to 22,7%.• Developed ML scoring models for corporate and financial institution credit risk estimation, that allows establishment of a sound risk management framework.• Developed ML model for bond’s fair value estimation, that allowed the automatic finding of underestimated bonds for the portfolio.

Moscow, Russia

Bachelor'S Degree, Economics

Master'S Degree, Financial Mathematics

Master's thesis: "Scoring model for the credit risk assessment of corporate borrowers"