Vahagn Melik-Parsadanyan, Cfa, Phd Email & Phone Number

Armenia

Yerevan, Armenia

Yerevan, Armenia

· Asset-Liability Management (ALCO member)· Balance Sheet Optimization, Asset Allocation & Budgeting· Funds Transfer Pricing· Benchmarking & Performance Attribution· Loans & Deposits Pricing· Economic and Market Analysis· Product/Project Analytics · ATM Optimal Cash Replenishment Methodology and Implementation · Libor Transition

Yerevan, Armenia

Yerevan, Armenia

Fixed Income Modeling

Yerevan, Armenia

Fixed Income Securities

Yerevan

· Supervised activities and evaluated performance of Risk Management Department (Domestic Markets; Global Markets and Operational Risk Management Divisions)· Member of Investment Committee

Yerevan, Armenia

• Supervised activities and evaluated performance of risk management unit• Analyzed macroeconomic developments, possible impacts on financial markets and reported on monetary policy implementation, monitored key domestic and international factors, triggers- introduced empirical models for identifying macroeconomic vulnerabilities, key domestic and foreign indicators and triggers• Managed risks of monetary policy operationso Estimated Yield Curve for Armenian Treasury bonds: - developed yield curve construction model/methodology for Armenia- proved the pattern and ordering of the par, spot, and forward yield curves - introduced and proved the relationship of the yield-to-maturity as being the duration and market value weighted average of spot rateso Calculated haircut for repo operations incorporating interest rate, credit, and currency risks: - built up haircut calculation model/methodology for Armeniao Performed the valuation of the repo eligible bonds: - proposed a new approach for assessing credit spreads, liquidity spreads and implied default probabilities• Utilized key risk indicators (KRI) to identify and solve operational risk issues• Reviewed non-government bond documentation against repo eligibility: established repo eligibility criteria• Monitored non-government bond credit developments, presented recommendations on repo eligibility to the board• Analyzed domestic bond and FX markets, calculated Treasury bond/bill indexes: - introduced index calculation model/methodology for Armenian government bonds- monitored FX market developments and key driving factors- analyzed yield curve dynamics using decomposed risk premiums of spot rates • Forecasted medium term banking liquidity and presenting recommendations on Monetary Policy tools- proposed an empirical model for mid-term liquidity forecasting• Researched and analyzed both domestic and international financial market developments

Yerevan, Armenia

• Managed a multi-currency fixed income portfolio (up to $2bln)• Designed, tested and implemented various active investment management strategies, including security selection, relative value, outright and duration hedged strategies (interest rate, swap spread), indexation, trade execution and booking- built up relative value assessment models• Traded sovereign, supranational, corporate, and agency bonds (fixed and floating coupon) as well as Eurodollar and Bond Futures• Analyzed portfolio risk and performance attribution, using various hedging strategies to meet benchmark risk/return profile• Analyzed international markets to monitor and generate scenarios on interest rates and credit risk developments• Portfolio Indexation according to both benchmark index developments as well as interest rate and credit risk expectations• Selected and presented new counterparties (trading, deposit) to the investment committee for approval based on credit analysis

Yerevan, Armenia

• Managed a multi-currency held-to-maturity fixed income portfolio (up to $1bln)• Traded money market instruments and sovereign bonds (including Indexation, trade execution, booking)• Analyzed monetary policies of advanced economies with the aim of building trading and investment strategies• Analyzed sovereign and credit risks• Delivered relative value and yield curve analysis (flattening, steepening, and butterfly)

Yerevan, Armenia

• Introduced a new framework for monetary policy implementation under Inflation Targeting regimeo Designed reserve requirement mechanism to manage short-term interest rates effectivelyo Established Indirect Instruments of Monetary Policy and Mechanism of Use in the CBAo Developed short-term liquidity management model/methodologyo Focusing on the profit function of the banking system, proposed an interest rate pass-through model• Made recommendations on effective monetary policy implementation based on liquidity conditions and target interest rate developments (short-term liquidity management)

Aligned bachelor and master of finance program curriculums to best practices.

Yerevan, Armenia

• Lectures on Monetary Policy Implementation, Risk Management and Fixed Income.

Yerevan, Armenia

• Trainer in a range of quantitative finance topics including - fixed income, - structured finance, - derivatives, - valuation, - financial modeling, - risk management and others.• Delivered a professional training course on fundamentals and key issues for valuation of financial instruments and financial market analysis. The course covered areas such as quantitative methods, structured finance, derivatives, valuation, financial modeling, risk management and others.

Yerevan, Armenia

• Formulated recommendations and drafted analytical reports on monetary policy to the Monetary Policy Committee• Analyzed macroeconomic developments and forecasted macroeconomic indicators• Established credit scoring model for non-financial corporation, and for real sector analysis• Proposed a model introducing the influence of the income inequality on the aggregate demand for Armenia

Doctor Of Philosophy - Phd, Econometrics And Quantitative Economics

Modeling government bond yield curve: the case of Armenia

Masters, Economics

(honours)

Bachelor, Economics

(honours)