I am a finacial risk professional with a wealth of experience in applying quantitative methods to Market, Credit and Counterparty Credit risks in Pillar 1 risks as well as Economic Capital & Stress Testing in Pillar 2.
I also have detailed knowledge of the regulatory requirements and regulatory landscape (e.g. Basel III/CRDIV). I am very interested in innovation in general and in particular on quantum computing and its potential applications in Finance.
In previous roles I have lead the regulatory coordination globally (being the primary contact for regulators) as well as ensuring model compliance against regulations across different jurisdictions.
I have experience across the whole modelling cycle: design, implementation, calibration and validation for: Market Risk (VaR, IRC, CRM), Credit Risk (PD, LGD, EAD) and Counterparty Credit Risk (IMM), Credit Portfolio Models (ACPM), Economic Capital and Stress Testing.