Credit Risk Quant2018 - 2020Bank of America Merrill Lynch
Technologies: SQL, Python, C++
- Delivered an IRC/CRM regulatory project dictated by Brexit migration requirements.
- Enhanced aspects of the model to better reflect theoretical requirements and historical behavior. Conducted statistical tests and submitted them to the validation department.
- Improved the performance of the model implementation. Identified properties of the current model, which enabled the execution to be reduced from days to hours.
Flow Rates Quant2018 - 2018BNP Paribas
Technologies: Python, C++
- Contributed to the pricing and risk platform of the electronic transformation project.
- Implemented pricers and risk across rates products such as swaps, bonds, and futures.
- Enhanced the C++ library for pricing and risk calculations.
Quant Developer2017 - 2018Bank of America Merrill Lynch
Technologies: C++, Python
- Collaborated with the model performance team for backtesting models of the bank for all asset classes.
- Improved and enhanced the Python codebase and user interface.
- Used Python and C++ coding for the simulation of risk factors and correlations, applied for calculating profit and loss, XVA, and margins.
Behavioral Modeler2016 - 2016Royal Bank of Scotland
- Led the behavioral modeling team in preparation for separating the Williams & Glyn division of the Royal Bank of Scotland.
- Developed predictive behavioral models for residential mortgages and current or savings accounts. The models' owner was the treasury, using them for the purposes of funds transfer pricing (FTP) and interest rate risk management.
- Coordinated the development of the Python library for the team and developed a web-based GUI for business users to run the models.
Python Quant Modeller2014 - 2016Barclays Bank, PLC
Technologies: SQL, C++, Python
- Developed predictive behavioral models for various portfolios of the bank's investment, corporate, and retail parts using historical time series data. I was personally responsible for the residential mortgage book and the corporate term loans book.
- Managed the full lifecycle of the models, from data cleaning to presentation and documentation of results. Performed ad-hoc statistical analyses, scenario analyses, backtesting, and model reviews.
- Contributed to the quant analytics grad training, gaining exposure to all the departments of the bank.
- Performed ad-hoc statistical modeling and statistical data analysis for various projects of the team.
Consultant2013 - 2014d-fine, Ltd.
Technologies: SQL, Java, C++, R, Python
- Conducted current accounts modeling for a major bank based in Vienna.
- Developed a supervisory mechanism for the EU bank regulator.
- Gained exposure and experience in the large-scale application architecture.