risk analyst
Erste Bank
Total years of experience :2 years, 5 Months
Providing quantitative and qualitative justifications for modeling choices, data selection, reliability of
model inputs including risk sensitivities and market data.
* Develop and implement benchmark models for model review and model risk management purposes
* Preparation of validation reports and technical documents for the model being validated.
* Backtesting of VaR models and methodologies by using quantitative and qualities tests.
* Build ARMA-GARCH models on financial time series for statistical analysis, forecasting and the calcula-
tion of the Value at Risk (VaR) based on Filtered Historical Simulation (FHS) and Monte Carlo simulation
(MC).
* Validation of IRRBB and CSRBB
Numerical Analysis, Innovation & Entrepreneurship, Signal Processing, Computation Theory, Fields & Waves in Communications, Linear Algebra, Object-oriented Programming, Algorithmic Operational Research, Discrete Mathematics, Data Structures, Algorithms and Complexity, Network Management, Probabilities and Principles of Statistics