​Deep NLP Learning NewsTrack Analytics

Developed AI and advanced analytics strategies, incl. use case repositories, business case considerations and implementation roadmaps for several institutions and groups

Developed and implemented various machine learning and advanced algorithms to enhance credit risk assessment approaches, both from performance and efficiency/objectivity perspective (e.g. built various corporate and market sentiment models)

Performed various projects on exploiting advanced analytics and AI techniques for risk management purposes, incl. data provider/ source due diligences, end-to-end development pipeline design, pilot development and operational implementation, tech platform design and selection etc.

Various projects focused on implementing machine and deep learning algorithms for NLP, e.g. early warning frameworks based on various news feeds to anticipate adverse movements in markets/ counterparts credit quality

Led the 2014 Comprehensive assessment (AQR and ST) for the Austrian National Competent Authorities. Post 2014, supported various banks in the preparation for SSM supervision as well as execution of AQR and supervisory stress tests

Developed and implemented a multitude of assignments on development and implementation of quantitative risk models, corresponding processes and implementation, design and implementation of governance, validation frameworks and operating models

Various model risk and model governance frameworks

Overseeing sophisticated quantitative analytics of large data sets

Development of analytical tools to automate processes including model validation and credit provisioning

Led the Oliver Wyman team that supported the ECB in carrying out the Comprehensive Assessments. Involved defining a prescriptive set of thresholds to drive consistent interpretation of IAS 39. Has led further support for the ECB in 2015

Stress testing of major banks in a country on behalf of banks, regulators or multi-lateral bodies

Development of provisioning models for banks and advising regulators on provisioning guidelines. Includes developing best practice collective provisioning models. Support for a number of banks in meeting the requirements of IFRS 9 for provisioning purposes

Valuation and forecasting of loss for a wide range of asset classes (from retail through to structured credit/ABS portfolio etc for both accounting and transaction related purposes

Set and oversaw implementation of wind down strategy for a complex financial products business (including correlation trading portfolio, ABS, and equity derivatives)

Improving risk governance of large, complex businesses

Acting as Group Risk Analytics and Modelling Director reporting into the CRO of a big 4 UK bank

The development, validation and review of more than two hundred credit risk models:

Including IRB, IFRS 9, credit underwriting, EWS, Limit setting, pricing and ECAP

Across most asset classes (including mortgages, personal loans, credit cards, SMEs, Global large corporates, Banks, NBFIs, specialised lending and Sovereigns)

Using a variety of techniques including regularised regression, clustering, NLP, Neural Networks and ensemble methods (including Boosting and Random Forests)

Helping 15 banks across major European markets to achieve Basel II/CRR compliance

Helping more than 15 banks to develop or validate provisioning approaches globally

Developing or reviewing Model Risk Management, validation and governance frameworks for more than 25 financial  institutions including:

Leading the development of Oliver Wyman’s Model Validation Tool for the automation of model validations

Establishing and evolving model risk management approaches across Europe and Asia

Training teams on the governance and validation of Machine Learning models

Developed AI and advanced analytics strategies, incl. use case repositories, business case considerations and implementation roadmaps for several institutions and groups

Developed and implemented various machine learning and advanced algorithms to enhance credit risk assessment approaches, both from performance and efficiency/objectivity perspective (e.g. built various corporate and market sentiment models)

Performed various projects on exploiting advanced analytics and AI techniques for risk management purposes, incl. data provider/ source due diligences, end-to-end development pipeline design, pilot development and operational implementation, tech platform design and selection etc.

Various projects focused on implementing machine and deep learning algorithms for NLP, e.g. early warning frameworks based on various news feeds to anticipate adverse movements in markets/ counterparts credit quality

Led the 2014 Comprehensive assessment (AQR and ST) for the Austrian National Competent Authorities. Post 2014, supported various banks in the preparation for SSM supervision as well as execution of AQR and supervisory stress tests

Developed and implemented a multitude of assignments on development and implementation of quantitative risk models, corresponding processes and implementation, design and implementation of governance, validation frameworks and operating models

Various model risk and model governance frameworks

Overseeing sophisticated quantitative analytics of large data sets

Development of analytical tools to automate processes including model validation and credit provisioning

Led the Oliver Wyman team that supported the ECB in carrying out the Comprehensive Assessments. Involved defining a prescriptive set of thresholds to drive consistent interpretation of IAS 39. Has led further support for the ECB in 2015

Stress testing of major banks in a country on behalf of banks, regulators or multi-lateral bodies

Development of provisioning models for banks and advising regulators on provisioning guidelines. Includes developing best practice collective provisioning models. Support for a number of banks in meeting the requirements of IFRS 9 for provisioning purposes

Valuation and forecasting of loss for a wide range of asset classes (from retail through to structured credit/ABS portfolio etc for both accounting and transaction related purposes

Set and oversaw implementation of wind down strategy for a complex financial products business (including correlation trading portfolio, ABS, and equity derivatives)

Improving risk governance of large, complex businesses

Acting as Group Risk Analytics and Modelling Director reporting into the CRO of a big 4 UK bank

The development, validation and review of more than two hundred credit risk models:

Including IRB, IFRS 9, credit underwriting, EWS, Limit setting, pricing and ECAP

Across most asset classes (including mortgages, personal loans, credit cards, SMEs, Global large corporates, Banks, NBFIs, specialised lending and Sovereigns)

Using a variety of techniques including regularised regression, clustering, NLP, Neural Networks and ensemble methods (including Boosting and Random Forests)

Helping 15 banks across major European markets to achieve Basel II/CRR compliance

Helping more than 15 banks to develop or validate provisioning approaches globally

Developing or reviewing Model Risk Management, validation and governance frameworks for more than 25 financial  institutions including:

Leading the development of Oliver Wyman’s Model Validation Tool for the automation of model validations

Establishing and evolving model risk management approaches across Europe and Asia

Training teams on the governance and validation of Machine Learning models