I worked on the following issues:
– Management of interest rate and liquidity risk in ALM
– Calculation of ALM indicators (EVE, SOT, MNI)
– Credit Risk Management (IFRS 9, Basel II & III, MRM)
– Construction of a rating system (scoring) by Machine Learning.
My skills are based on three pillars:
– IT: Python, R, SAS, Matlab, VBA, C/C ++, Java, Hadoop, Mongo DB, Teradata.
– Statistics: Data Mining, Machine Learning.
– Finance: Credit Risk Management.