Senior Manager
CurrentManagement experience► Providing quantitative and qualitative consultancy services for banks and financial companies to improve their risk management framework► Managing numerous projects including projects with budget above EUR 100k and engagement teams of 2-7 persons in various projects in Hungary and abroad► Project management communication to various stakeholders, such as partners, internal risk management, other managers, staff, and clients► Project management tasks: identification of sales opportunities, formulating proposal with scope and budget, project planning and delivery, internal management of resources, project controlling, handling difficult internal and external situations► Performance Development of junior and senior colleagues, formulating strategic plans► Giving webinar and conference presentations on risk management topics to professional audience and senior management, writing newslettersProfessional experience► Quantitative Validation of Risk (VaR, SIMM) and Valuation (EQ and IR derivatives) models► Independent Valuation of Interest Rate, FX, Equity and Commodity derivatives► Liquidity Risk and IRRBB - stress testing based in Oracle SQL, measurement tools, scenario design, risk management, model development for automatic and behavioral (sight deposits, prepayments) optionalities► Development of econometric models (for loans, deposits, NPLs) and tool in Bank Business Model Analysis that forecasts balance sheet, PnL, financial and supervisory ratios► Development of models for sight and term deposit interest rates, and sight deposit ratios► ICAAP and Pillar I capital► Audit of IFRS9 Expected Credit Loss models and approaches► Support in supervisory (MNB) and regulatory requirements, formulating action plans► Oracle SQL, PL/SQL, VBA, Python and R. ► VaR (e.g. quantile estimator, backtesting, distribution testing), derivative (e.g FX options, cap/floor), and time series (e.g ARIMA, GARCH, ARX, ECM, Fourier-based seasonality) models
