Eastern & Central Europe
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Overview
Provided guidance in multiple engagements to two of the primary central banking authorities in Central Europe, focusing both on IRB implementation and Advanced Measurement Approaches. Devised plan for supervision of banks and testing of IRB and AMA frameworks. Also provided training of central bank supervisors to this effect.
Advised more than 20 Serbian, Brazilian (operating in Eastern Europe) and Russian institutions in (emergency) business continuity planning strategies
Projects
ALBANIA
Banka Kombetare Tregtare (BKT) (Credit Risks Department)
Projects
Credit Risk Model development: Trained key risk management staff in the development of credit scoring and rating techniques—i.e., creation of scorecards, development of statistical scoring models, specification of ratings grades and quantitative mapping of scores to ratings. Addressed concerns related to bank assessment of the local Albanian market. Illustrated techniques for the evaluation of credits when information is incomplete and unreliable.
Validation and backtesting of credit models: Provided training guidance for implementation of Basel II-compliant validation and backtesting methods aimed at scoring models and risk component frameworks with application to difficulties in the Albanian market.
BULGARIA
Corporate Commercial Bank, AD (Risk Control division)
First Investment Bank (Credit policy, analysis and risk division; Methodology Division)
Projects
Credit Risk Modeling and Best-Practice: Provided credit risk modeling guidance in the adoption of internal scoring platforms along with conversions from qualitative scorecard approaches to quantitative, statistical scoring model approaches. Guided application of control setting and audit functioning for credit risk management. Furnished templates for the development of credit assessment systems when market collateral values are indeterminant.
Credit Model Validation and Backtesting: Established internal outline of validation and backtesting of credit models for individual retail and portfolio applications. Provided policy-setting tools for the drafting of an internal, credit policy manual. Helped resolved difficulties in credit assessment of unaudited companies.
GEORGIA
Bank of Georgia (Deputy General Director)
Projects
Credit Risk Assessment and Modeling: Provided training related to credit assessment and quantitative, internal model development for eventual Basel II compliance (not yet required for Georgia). Illustrated scoring model and risk component estimation technique development with application to Georgian entities. Provided guidance in database enhancement and development when data are poor in quality.
ROMANIA
BancPost (Project management)
STFB Transfond SA (Risk management)
Raiffeisen Bank (Risk and Credit Management; Risk division; Asset and Liability Management division; Treasury unit)
Banca Comerciala Romania (Retail Risk Management), CFR Calatori (Control division)
Projects
Internal Credit Risk Modeling: Provided senior management guidance on the development of internal credit modeling architecture: scoring, risk components and ratings. Establishment of methodology for data collection and database development. Exposited validation and testing procedures applicable for a Romanian database.
Operational Risk Management and Modeling: Trained senior staff in Basel II compliance regarding the Standardized Approach (TSA) and Advanced Measurement (internal modeling) Approach (AMA). Offered guidance in the transition from TSA to AMA and created a risk matrix mapping template. Developed a scenario-testing model for relating business environment and internal control factors (BEICFs) to Romanian tail loss data.
Asset and Liability Management Quantification: Introduced senior ALCO member to Asset and Liability (ALM) models for interest rate margin forecasting. Provided asset and liability management models for scenario analysis and net interest margin forecasting. Offered guidance in the selection of ALM software suitable for the Romanian market.
TURKEY
Akbank (Retail credits, Credit Risk management)
C-Bank (Financial Control)
ddMortgage (Credit Risk Unit)
Denizbank/Dexia (Risk Systems SVP)
Egeli & Co. (Control and litigation)
Finansbank (Risk management, Treasury, Analytics and Scoring Group)
Finar/Dunn & Bradstreet (Risk management solutions)
Turk Ekonomi Bankasi (TEB) (Credit Products Allocation & Analysis)
Turkiye Is Bankasi (Internal audit and board of inspectors Financial analysis, Group Management, Risk Management and modeling, Head Office)
Garanti Bank (Risk Management department, Credit Risk assistant vice president, Internal Audit, Credit policy),
HSM Construction Trade and Tourism (Treasury)
Republic of Turkey Prime Ministry of the Undersecretariat of Treasury (Public Finance)
Sekerbank (Control and audit)
WestLB (Finance and Accounts)
YapiKredi/Unicredit (SME Credit Underwriting)
Projects
Credit Risk Audit and Assessment: Retained to evaluate the credit risk management and modeling operations with an aim to assuring Basel II compliance. Trained and advised clients in the necessary components of an advanced, Internal Ratings Based (IRB) system, subject to the Turkish central bank’s guidelines.
SME scorecard and ratings system creation: Developed SME scoring platform applicable for Turkish entities with definition of euro-equivalent 250.000 classification limit. Creation of “policy” scorecards for application against entities that have limited credit histories and dubious financial statements.
Credit Model Validation and Testing: Trained key analytical personnel at several institutions in the testing and backtesting of credit risk models, ratings systems and risk component estimates. Illustrated key issues related to the development of databases for eventual advanced Basel II compliance and formal backtesting programs.
Risk Management Implementation: Trained senior staff at several institutions in the design and implementation of effective, integrated, risk management systems to incorporate market, credit and operational risk concerns. Provided comprehensive, practical approach for estimating integrated tail loss.
Operational Risk Management: Provided training in the development of AMA systems that address Turkish event database quality difficulties, such as the lack of history, poorly recorded and documented events and missing values. Provided practical guidance in operational risk management implementation of models prescribed by Basel.
Asset and Liability Management: Guided efforts to implement ALM software and techniques for forecasting net interest income movements as well as P/L reconciliation. Provided structure for the creation of an ALM scenario-based analysis sub-committee of ALCO.