End to End default definition validation - direct triggers and unlikeliness to pay criteria. Gap assessment against relevant regulations.
Estimation of Economic Capital (Advanced statistical methodologies):
- Operational Risk
- Credit Risk
- Rate of Interest Risk
- Market Risk
- Strategic Risk
- Reputational Risk
Credit Risk Model Validation:
- Validation of methodologies related to Credit Risk valuation: PD, EAD, LGD, Scoring.
Functional definition and statistical estimation of:
1. Rating Models
2. Scoring Models
3. Parameters Estimation: PD, LGD y EAD
Stress Test Methodological definition of scenarios and effects on Net Income.
Valuation of the following metrics: RWA (risk-weighted assets), RPC (Liability Patrimonial Computable), requirements of ordinary Capital, Ratios of liquidity and leverage.
Development of Credit Risk Management Software:
1. Estimation of: Expected Loss, Economic Capital and RAROC
Operational Risk Management:
1. Frecuency and Monetary Expected Loss
2. Functional support
3. Development of Operational Risk Management Software (Scenario analysis)
SAS Strong experience (more than 8 years). Advanced level
SPSS Clementine Strong experience (more than 8 years). Advanced level
Excel Strong experience (more than 8 years). Advanced level (including Macros)
SPSS Strong experience (more than 8 years). Advanced level with Python
Functional support in many Entities: Banco do Brasil (Brasilia), Bank of Galicia, ICBC, Macro, Supervielle.
Business Valuation: Impairment Test, Purchase Price Allocation, Goodwill Analysis
Derivative Instruments Valuation: Forwards, Swaps, Futures, Stock Options, Bonds
English: Advanced level
Portuguese: Advanced level
Teacher of:
UBA: Course - Statistics II (Dur: 1 year) 