Quantitative Analyst

• Aug 2021 - Present

Treasury Risk Consultant - Financial Modelling and Analytics

• Jul 2019 - Aug 2021

Designed, developed and project managed the First Line IRB, Credit, Liquidity and Structured Finance models. •Designed and Developed the ABS Credit Vector Model Suite including RMBS, Auto and Credit Card Loans. This model suite was built in Python using Elastic Nets, selected among other Machine Learning methods (namely Random Forests, Neural Networks and Gradient Boosting). •Quant First Line SME on the IRB Credit Rating model. •Designed and built a VaR model with a XCCY Swap Valuation engine for IM approximation.

Market and Liquidity Risk Associate

• Oct 2017 - Jul 2019

• Responsible for the production activity associated with reporting and limit management for Market Risk and Regulatory/Liquidity Risk Management. • Excess management analysis and monitoring. • Ownership of systems requirements and testing. • Responsible for the production activity associated with reporting and limit management for Market Risk and Regulatory/Liquidity Risk Management. • Excess management analysis and monitoring. • Ownership of systems requirements and testing.

Quant Development M.Sc. Project Placement

• Jun 2017 - Sep 2017

Developed a python classification algorithm for detecting Overnight Indexed Swap yield curve anomalies by combining pure statistical analysis with machine learning methods (Kernel SVM, K-NN, Decision Trees) awarded with a distinction. Developed a python classification algorithm for detecting Overnight Indexed Swap yield curve anomalies by combining pure statistical analysis with machine learning methods (Kernel SVM, K-NN, Decision Trees) awarded with a distinction.

Master Thesis Project

• Jun 2015 - Aug 2016

Developed a dynamic model for the computation of the European Emission Allowance price using Marginal Abatement Cost Curves. Developed a dynamic model for the computation of the European Emission Allowance price using Marginal Abatement Cost Curves.