Experience

IAD Investments

• Slovakia
• Investment Management
• 1 - 100 Employee

• Risk Manager

  • Dec 2018 - Present

  • Implementation of multi-layer perceptron (MLP) algorithm, a type of supervised neural network model, trained for assigning credit rating based on selected financial figures of a company (scikit-learn, pandas, NumPy) • Implementation of liquidity stress testing according to the ESMA guidelines on stress testing of UCITS and AIFs • Simulation of asset paths of underlying portfolio assets used for estimating probability distribution of expected returns and total costs incurred by investor (one-time costs, ongoing costs, success fee - high watermark) - Monte Carlo simulation, correlations assessed via Cholesky decomposition (pulp, NumPy, pandas) • Implementation of PRIIPS regulation - SRI, performance scenarios, cost impact and compound effect of the costs (pandas, NumPy) • GJR-GARCH value at risk model of portfolio returns (arch, pandas, NumPy) • Mark to market valuation of IR/FX derivatives • Mark to market valuation of fixed income assets • Yield curve bootstrapping • Setup process of risk reporting and valuation (access + VBA, Python, SQL) Show less



ČSOB Finančná skupina

• Slovakia
• Banking
• 700 & Above Employee

• Market risk and capital management specialist

  • Dec 2016 - Oct 2018

  • Participation on the group wide project defining the methodology for net interest income (NII) stress testing • Development of behavioral model of current/saving accounts • Modelling of consumer loan prepayments • Participation on the Murex upgrade project • Participation on the Global trading project – migration of local trading desks to KBC trading desks • Analysis and implementation of new Basel frameworks: IRRBB & FRTB • Ad hoc analysis • Participation on the group wide project defining the methodology for net interest income (NII) stress testing • Development of behavioral model of current/saving accounts • Modelling of consumer loan prepayments • Participation on the Murex upgrade project • Participation on the Global trading project – migration of local trading desks to KBC trading desks • Analysis and implementation of new Basel frameworks: IRRBB & FRTB • Ad hoc analysis



Sberbank Slovensko, a.s.

• Slovakia
• Financial Services
• 1 - 100 Employee

• Head of Market Risk

  • Sep 2015 - Nov 2016

  • My primary responsibility was to lead the Market risk management department, that is: - responsibility for the trading & non-trading market risks, liquidity risk and market price conformity - employee guidance and development - coordination and implementation of regulatory requirements (IRBBB, CRD IV, ICAAP) - communication both with internal/external with audit• Member of ALCO, RICO committees• Risk assessment (in cooperation with IRM) within the bank’s ICAAP process (interest rate risk of BB/TB, fx risk, credit spread risk)• Executing of managerial controls Show less

• Market Risk Analyst

  • Jul 2010 - Aug 2015

  • Participation in the implementation of Murex as the main Treasury system.• Defining the valuation engine used in our internal collateral management software solution (zero-coupon bootstrap, valuation of FX swaps, FX forwards, FX vanilla / barrier options, IRS)• Fair Value / Cash Flow Hedge effectiveness testing (IAS 39)• Participation on setting of group-wide counterparty credit risk monitoring tool (daily monitoring of groups’s exposures to third parties)• CVA/DVA calculation• Daily mark-to-market valuation of AFS bond portfolio• Quantification of interest rate risk: - forecasting future evolution of yield curve via Nelson-Siegel-Svensson model - historical value at risk (hVaR),• Stress testing of net interest income (NII) & economic value of banking book (EVE)• Analysis and reporting of liquidity and interest rate risk• Ad hoc analysis for SBSK and Sberbank Europe Show less

• Market Risk Trainee

  • Jul 2008 - Jun 2010