Thomas M.

Freelance consultant with 10+ years in banks, backed by a PhD from UCLouvain in Belgium and Cornell University in New-York. I do it for you, intervening in business-as-usual projects or for emergency requests: * Academic writing * Should you need help writing your thesis, papers and classes in finance, statistics and engineering fields. * Risk Management in Banks * TRADING • Pricing of bond, futures, swap, cds, cap floor, swaption, exotic option and other financial derivatives • Par rate, zero coupon rate, forward rate, discount factor, curve bootstrapping • Day count convention and holiday calendar • Interest rate models (Hull-White, BGM) • Historical market updates: OIS discounting, negative rates, normal volatilities, IBOR transition and coming ones • Market data snapshot and derived market data • Replicating Murex, Calypso, Summit, Kondor, Diogene, internal pricing architecture • Risk sensitivities DV01, CS01, CDS01 • Stress scenarios and stress tests • Value-at-Risk (VaR, CVaR), backtesting • Principal Component Analysis • Risk reporting and management information (PnL, PnL explainer, exposure, audit trail) • Risk Appetite Statements and font office risk limits • Compliance with regulations such as FRTB, EMIR, Basel III, Basel IV, SoX controls BANKING • Asset and Liability Management (ALM) • Modelling assets and liabilities • Modelling term deposits and non-maturing deposits • Modelling current accounts (client rate, core ratio) • Modelling savings accounts (client rate, attrition) • Modelling mortgages (pipeline, prepayments) • Replicating mortgages and savings • Stress tests, reverse stress tests • Assistance with QRM, Prometeia, Service Now and other on-the-shelf systems • ICAAP and ILAAP reporting • Regulatory Capital • Economic Capital • Liquidity Risk • Operational Risk • Risk Weighted Assets (RWA) • Capital management under CRR and CRD • Compliance with regulations such as the EBA Guidelines on the management of interest rate risk and credit spread risk in the Banking Book * Model validation in Banks * • Follow-up assessment • Model description • Conceptual soundness (hypothesis testing and global assessment) • Implementation check • Independent model replication • Compliance with internal policies and external regulations * Statistical consulting * • Variable selection • Regression models (OLS, GLS, GLMM, quantile regression) • Time series • Monte-Carlo simulations • Machine learning • Censored data • Bayesian statistics * Trading * • Live connection with the exchange (websocket, rest interfaces, could running applications) • Market making • Arbitrage • Implementation of specified trading strategies * Outsourcing * • Outsourcing your risk management or quantitative project to PhD and engineers in Philippines * Programming languages * • C++ | Java | Python | SAS | R | Stata | Matlab | Octave | SQL | Cuda | VBA • I deliver everything in Excel on request