Profession
- Consulting during TRIM inspection for Counterparty Credit Risk (TIER I German bank)
- Independent Implementation of a Cross-Asset Hybrid Exposure Engine based on Stochastic Volatility HJM models and Heston (TIER I German bank)
- Acquisition of Quant-projects (e.g. Model Validation, Curve Methodology and CSA Negotiation, Rating Methods for ABS, PV Explain)
- Project review, quality assurance and key client relationships (Major German banks)
- Representation of the firm at major (international) conferences and with publications
- Consulting on Quant Finance Topics and development of an proprietary pricing library
- Development and Implementation of Volatility Structures for multi-curve modelling and negative forward rates
- Analysis and Pricing of expected yields for closed funds (e.g. ships, real estate)
- Lead Quant – FireDrill valuation methodology and IT for EMIR (Large German retail bank)
- Member of project team introducing OIS discounting (Large German retail bank)
- Negotiating deal details and conditions with market partners (with TIER I banks)
- Lead Quant – (Re-)Structuring of Fixed Income products (e.g. CMS Options, CMS Spread)
- Development, Implementation for Hedges and Hedge Accounting for interest rate risk in mortgages including micro and portfolio hedges
- (Quanto-) Cliquet Option Pricing and Model Development for retail products
- Asset Allocation and Optimization Methods for CPPI basket based structures with coupon payments using stochastic scenario generation
- Develop and Implement ALM applications for rolling portfolios and re-hedging
- Pricing Application and model for Spanish Tariff Deficit
- Implicit Options (Hedge, Risk Analysis, Pricing, Accounting) in Retail Products
- Development of an in-house training course for financial markets products and techniques
- Model development and validation for EQ, FX and IR derivatives
- Implement advanced models (Stochastic Volatility Libor market model, FFT methods)
- Time series analysis for statistical tests of risk controlling systems
- Implementing pricing algos for CDS CDO and iTraX products
- Product management “Derivatives and Pricing methods”, Reuters Germany
- Education and consulting on Financial Engineering, credit-, interest rate-, equity derivatives, numerical methods and volatility
- Lectures and seminars (finance and mathematics)
