Project management role for the development of a new LGD model for retail loans in the A-IRB approach Hands-on development of a new PD model for retail loans in the A-IRB approach

BAWAG P.S.K. | Oct 2019 - Jul 2021

Senior Quantitative Analyst - LGD Model Development

Management of a development project to create a new loss model for IFRS9 Stage 3; thereby increasing the predictive power of the loss estimation Development of a new loss given default model (LGD) for the retail portfolio in the AIRB approach from scratch; thereby increasing accuracy of loss prediction and optimizing the capital allocation across the portfolio

BAWAG P.S.K. | Apr 2018 - Sep 2019

Senior Quantitative Analyst - PD Model Development

Project management and hands-on development of two new scorecards (application and portfolio) for a subsidiary institute, replacing scorecards of external provider Support of the implementation project for an application scorecard in the online segment

Commerzbank AG | Jul 2017 - Mar 2018

Assistant Vice President - Department PD Models

Development of the statistical methodology behind the early-warning system for the corporate portfolio, enabling the bank to identify increased risk and to intervene early Validation of PD models (application and portfolio) for the retail portfolio (IRB approach) Representation of the bank in several on- and offsite audits by the banking supervision (e.g. TRIM), as well as internal and external auditors

Commerzbank AG | Apr 2014 - Jun 2017

Associate - Department PD Models

Development, technical specification and test of a fraud-prevention scorecard for the private mortgage lending segment preventing losses of more than € 10mn per year Revision of the PD scorecards for the retail segment (application and portfolio), resulting in a more efficient capital use

Commerzbank AG | Apr 2012 - Mar 2014

Trainee - Devision Models

Development of a scorecard module for co-branded credit cards Extension of the methodology for VaR calculation for daily P&L of the trading book

Technische Universität Berlin | Jan 2009 - Apr 2011

Graduate Research And Teaching Assistant

Various teaching and research activities "Constructive quantization: Approximation by empirical measures S. Dereich, M. Scheutzow und R. Schottstedt"

My Education

Take a look at my formal education

Master of Science (MSc), Management Mathematics (Diplomstudiengang Wirtschaftsmathematik)Technische Universität Kaiserslautern | 2008

Erasmus Semester, several courses in probability and analysisThe University of Sheffield | 2006

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