Process optimization and testing IFRS 9
Q3 2018 – Q4 2018

Developer/Testing

  • International insurance company
  • Creation of a data collection tool
  • Creation of test cases for the SPPI implementation
  • Review and testing of the impairment calculations (expected credit loss)
  • Automation for data processing that was previously handled manually
  • Programming in Python (Pandas/Quantlib), data retrieval via SQL (SQLAlchemy)
  • Close collaboration with risk management

IFRS 9 transition support
Q4 2017 – Q1 2018

Analyst

  • Large German bank
  • Documentation of manual processes
  • Planning of procedures and processes for the IFRS 9 transition
  • Testing support
  • Close collaboration with accounting, IT and risk management

 

Implementation of an IFRS 9 SPPI software
Q2-Q3 2017

Designer/Developer

  • Dutch insurance company
  • Software for the automated classification of securities according to IFRS 9 (SPPI test)
  • Programming of a server daemon (service) in Python
  • Database design in Microsoft SQL Server
  • Documentation of the decision trees
  • Design and programming of a graphical user interface
  • Close collaboration with IT, accounting and end users

Model development for the valuation of subsidiary agreements
Q3 2016 – Q1 2017

Technical Analyst

  • Regional state bank
  • Development and documentation of models
  • Prepayment rights client/bank, expected cash flows, etc.
  • Close collaboration with risk management and IT

Implementation of a process to classify securities according to IFRS 9
Q1 – Q3 2016

Technical Analyst

  • Regional state bank
  • Process design and documentation
  • Business model test, SPPI test
  • Close collaboration with accounting and IT

Calculation of IFRS 9 impairments
Q4 2015 – Q1 2016

Technical Analyst

  • Regional state bank
  • Development of a VBA prototype
  • Calculation of one-year and lifetime expected loss based on a rating transition matrix
  • Model documentation
  • Close collaboration with risk management

Gap analysis of the business model and SPPI test
Q3 – Q4 2015

Technical Analyst

  • Large international bank
  • Inventory survey and sampling of instruments
  • Classification of loans and securities according to IFRS 9
  • Documentation of outcomes
  • Close collaboration with accounting and front-office

IFRS 9 SPPI test support
2015 – 2017

Analyst/Reviewer

  • EY internal point of contact for SPPI testing
  • Classification of securities based on static market data

Development of an IFRS 9 SPPI software
Q2 2015 – Q3 2015

Designer/Developer

  • Internal EY project
  • Update of an Access prototype to Python and SQLite
  • Software for the automated classification of securities
  • Backtesting and regression testing of results

Fair value calculations in the context of audits
2015 – 2017

Executive position

  • Internal EY department
  • Team of specialists for fair value calculations
  • Large portfolios of securities, loans, derivatives or structured products
  • Calculation of fair values and sensitivities
  • Close collaboration with EY audit teams

 

Contract review
Q4 2014 – Q1 2015

Technical support

  • Swiss private bank
  • Support and development of an Access database
  • Automated reporting, user interfaces, maintenance
  • Programming in VBA
  • Close collaboration with reviewers and attorney’s offices

European Central Bank Asset Quality Review
Q2 2014 – Q3 2014

Audit Senior

  • Part of NCA bank teams in working block 8: “level 3 fair value exposures review”
  • Central point of contact for the valuation of illiquid structured instruments (ABS)

Audit and consulting on pricing processes                                                                                                                                       2011 – 2015

Audit Assistant/Senior

  • Funds, Local state banks
  • Fair value calculations and controls
  • Sensitivities regarding inputs (interest rates, volatilities, etc.)
  • Close collaboration with risk management

Valuation of financial instruments in the context of audits
2011 – 2015

Audit Assistant/Senior

  • Funds, Local state banks
  • Fair value calculations
  • Securities, loans, derivatives

Other projects
2011 – 2015

Audit/Consulting Assistant/Senior

  • Leverage calculations for reporting purposes
  • IFRS 9 look-through test
  • IFRS 9 tranche vs. pool test
  • Software testing