Professional Projects

Zanders

Behavioural Modeling of Non-Maturing-Deposits (NMDs)

Modeling behavioural maturity of non-maturing-deposits for a Swiss multinational private bank. We used vintage outflow analysis to determine a replicating portfolio.

Validation of the IRRBB framework of a Swiss D-SIB

Review and validation of IRRBB framework of a Swiss D-SIB. The validation comprised

  • interest rate risk measurement
  • non-maturing deposit modeling,
  • replicating portfolio calibration
  • risk steering and limit framework

UNIQA

  • Lead for remediation model changes of the Partial Internal Model (PIM) and point of contact for FMA and OeNB
  • Lead in development of UNIQA’s R package for interest rate, credit and market risk modeling, including risk dashboard creation and automatisation of (monthly, quarterly, sensitivity) risk calculations and reports in Rmarkdown/quarto
  • Quarterly reporting to the Internal Model Committee (IMCO)

QuantiCo and Mantigma

  • Energy demand forecasting for a large German utility provider
    • We improved the forecast accuracy of the aggregate one-day-ahead forecast of energy demand of 10,000 corporate customers.
  • Outlier detection for a German bank to classify suspicious lease contracts
  • Account balance forecasting of retail customers for a large Austrian Bank