Authorised Officer at UBS, working in the Quantitative Risk Modelling team.
Specializes in Quantitative Financial Risk Models and Financial Mathematics. In-depth experience with credit risk, market risk, and operational risk. Utilizes mathematical and programming skills to enhance risk management strategies. Academically grounded in Finance and Mathematics, with a keen interest in the complexities of financial markets. Proficient in design, testing, and implementation of mathematical models for financial market trends and risk measurement. Continually up-to-date with financial instruments, derivative pricing, and statistical methodologies in risk management. Passionate about contributing to open-source projects, especially those intersecting finance, mathematics, and data science. Active Github contributor, involved in various data science and risk modelling projects. Open for collaboration and discussion around quantitative finance and risk modeling.
I am currently developing clear R package for pricing various types of custom derivatives https://cran.r-project.org/web/packages/CustomDerivative/index.html
I have published a research on newly developed risk measures known as "TVaRD": Read more - https://arxiv.org/abs/2310.14604
