I am working as a consultant of a leading advisory practice for financial services. The focus of my projects is on quantitative risk management: Analyzing, modelling, validating, processing data in order to develop and validate credit and market risk models in an efficient and effective way. After end of work, I enjoy doing sports such as football, running, Beach volleyball, hiking or skiing. As leisure, I also play piano and I am a fan of card and board games.
Senior Consultant • October 2015 - Present
I am part of EY's Financial services Advisory practice and member of the Quantitative Advisory Services team. I am currently based in the Stuttgart office. I model and validate the estimation of credit and market risk parameters such as PD, LGD or VaR and develop scorecards for rating systems. In addition, I perform valuation of derivatives, test banking software for P&L account and liquidity costs and assists in the audit of financial statements as well as NCAs in the of Asset Quality Review (AQR).
Research and student assistant • Februar 2011 - January 2015
I taught physics to undergraduates as a teaching assistant. I tutored exercise groups and instructed Lab courses. Further, I assisted in the administration covering personal management, purchases and office matters. In 2014, I was a scientific member of a measurement campaign in Brazil.
Volunteer • August 2006 - July 2007
As part of my Community service abroad, I was in charge of a residential youth group in the boarding house. I supervised their homework, provided coaching and offered individual sport activities.
M.Sc. Physics • March 2015
I was enrolled in the Master program of Physics and taught physics to undergraduates as a teaching assistant. My focus was on Theoretical Physics. I started doing research in the field of Environmental Physics and and completed my master degree in March 2015.
B.Sc. Physics • November 2010
Since 2007, I studied Physics at the University of Heidelberg. Besides, I attended several lectures and seminars on arab grammar and literature. I completed my undergraduate studies with a Bachelor thesis on “Quasar variability” at the Max-Planck-Institute for Astronomy, Heidelberg.
Studies abroad • September 2011 - Februar 2012
I studied Physics and Arabic abroad at the Cairo University in Egypt in midst of the Arab Spring.
Extensive group-validation of a credit risk model offered by a large German Rating-institute and IT-service provider used by specialized banks. Setup of database and data aggregation, analyse of calibration, discriminatory power and stability of the rating model. Benchmarking and horizontal analyses.Credit risk, PD, Risk database, Gini, Backtesting
Definition of risk database, automatic categorization and feature selection, scoring modell and calibration of the PD rating model for several banks, building societies and financial service providers.Credit Risk, Scoring models, Calibration, Predictive analytics
Testing of software for portfolio and bank management as well as controlling and review of methodology: Management of market and liquidity risk, Hedge Accounting, P&L account forecast, Balance sheet planning on interests, preliminary costing for a large banking software provider.Market risk, Liquidity risk, P&L, Balance sheet, interest rates
Valuation and pricing of derivatives with Monte Carlo-methods.Market risk, derivatives, Monte Carlo-methods
Enhancement of market risk model validation for Basel II Minimum capital requirements for an international bank: Review of methodology in place, backtesting of various VaR models.Market risk, VaR, Equity event risk, Credit spread risk
Modelling of market values of the financed objects and estimating the residual value or the LGD (recovery cashflows in comparison to EAD) for financial service providers in the automotive sector (Leasing and Finance portfolios).LGD, EAD, Residual value, Leasing
Design of PiT-calibrated PD and LGD models in compliance with IFRS 9 for Stage I and outlook for Lifetime-EL calculation in Stage II for a financial service provider in the automotive sector.IFRS 9, Lifetime-EL, Staging
Design of default reporting for both 90 Days past due (DPD) and Unlikely to pay (UtP) cases for a bank in automotive finance.Default, reporting, DPD, UtP
Audit support for year-end audit: Review of risk strategy and methodology in place for different risk types at international and medium-sized banks.Audit support, Market risk, credit risk
Quality assessment of the work on modelling Collective Provisions on bank side during the ECB's Asset Quality Review (AQR) for several European banks.ECB, AQR, Provisions, Impairment
Quality assessment of the ALM model enhancement for valuation of the embedded behavioral options and strategic planning for use cases for a large building society. ALM model development and validation review for a mortgage bank.ALM, embedded behavioral options, mortgages, swaptions, replication portfolio
Review of IRRBB implementation at a German mortgage bank both from earnings and risk perspectiveIRRBB, EBA GL/2015/08
Review of an Asset Value based approach for credit portfolio model and incremental risk charge model at a large German bankCreditmetrics, Credit-VaR, IRC, Vasiceck
0049 160 939 26501