Experience

Management Solutions

• Spain
• Business Consulting and Services
• 700 & Above Employee

• Experienced Senior Business Consultant

  • Nov 2018 - Present

  Validation of IRB Credit risk parameters (Sweden): - IRB parameters (PD, LGD) for retail, non-retail (high and low default portfolios). - Performance of statistical tests to assess the quality of the model. - Validation of the methodology of estimation assessing the compliance of the Regulatory Guidelines. - Issuance of the recommendations and development of the Validation report. Estimation of IFRS9 and IRB Credit Risk parameters (Spain): - Credit Risk parameters (PD, LGD, EAD) for retail and non-retail portfolios. - Data treatment of parameter estimation data, data mining and statistical analyses using SAS as the main analysis and reporting tool. - Model segmentation redefinition through testing and compliance assessment. - Implementation of the recommendations issued by Internal Validation and Internal Audit. - Calculation of the expected loss impact and capital impact. - Monitoring of the implemented models. Development of a regulatory Data Lake associated with Credit Risk (The Netherlands): - GAP analysis of the requested metrics with all the different areas. - Functional definition of the requested metrics. - Data extraction, analysis and transformation to build the new metrics. - Validation of the metrics. - Automation, optimization of SAS code and implementation with the IT area. - Functional and technical end-to-end documentation of the process. Statistical models development for a financial entity (Spain): - Extraction and treatment of relational databases, for generation of model’s data. - Performance of statistical (uni-, bi- and multivariate) tests to the candidate variables. - Clustering of contracts using techniques of classification and discrimination. - Monitoring and performance analysis of applied models according to the regulatory requirements. Show less