Quantitative Risk Analyst

Professional Experience:

MiFID II/MiFIR
Deal matching & central clearing via MarkitWire
EMIR
Interfacing between business & IT departments
SME structured finance mapping & financial engineering – treasury & risk management (vola surfaces, OIS discounting, P/L)

GEOS, MarkitWire, Front Arena, Asset Control, Xenomorph, Kondor+

Collateral management (CSA, initial/variation margin, credit limits)
Products: FXOption, FXSwap, NDF, Bond/PRL/FRN, Cap/Floor, IR/XCCY-Swap, Swaption, CDS, structured products (CMS), listed derivatives
Programming:SQL, Python/NumPy/SciPy/pandas
Electricity market & exchange trading

Projects:

MiFID II/MiFIR readiness

Target2Securities

IRC Compliance

EMIR & CCP MarkitWire

Basel II Asset Control – consolidation and normalisation of data

Reuters Entitlements und Open DACS

OIS Discounting for CSA

Counterparty limit reconciliation between Front Arena & Kondor Global Risk (KGR)

Audit Trading Business – Python Development of user groups & profiles

SAP Credit Risk Analyzer

Bond interface Front Arena/Kondor+

Internal risk model implementation

Qualifications:

Collateral Management: Collateralisation of OTC transactions (DRV & ISDA incl. BSA & CSA)

PRMIA Certificate of Completion CVA: Credit Models and Advanced Counterparty Risk Pricing and Restructuring

ACI (The Financial Markets Association) Dealing Certificate

EEX (European Energy Exchange) Dealing Certificate

Certified management seminar „Riskmanagement“

Certified Arena Extension Language Developer, Front Arena University

Certificate of the Center for European Economic Research, seminar „Liquidity Risk“

MSc in Mathematical Finance „Transaction costs in the Bouchaud-Sornette approach to pricing“
included transaction costs in the pricing model of Bouchaud & Sornette

PhD in theoretical physics
„Energy transport and optical absorption in dendrimers“
developed a stochastic model to describe energy transport and optical absorption in dendrimeric structures

University Diploma in theoretical physics „Hybridexcitons in organic-inorganic heterostructures“ studied new energetic excitations in heterostructures

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    PHONE

    +49 017 37034161

    EMAIL

    info@deltaxchange.de