Areas of Expertise
QRM
Extensive experience in the implementation of Quantitative Risk Management (QRM) for large Dutch banks. This includes leading the implementations of the standardised methodology for NII, NPV, replication, hedging and behavioural modelling in multiple countries. Key areas of expertise within QRM include ETL and transformations, stratification, account links, planning trees, strategies, prepayment functions, assumption variables, instrument generator rules, FTP approaches, line item measures and liquidity analysis definitions.
Data (quality) management
Hands-on experience in the design, development and implementation of data quality frameworks aimed at structural measurement and improvement of data quality. This involves the development of data models supported by well-defined data definitions; data validations measuring technical correctness, consistency and economic plausibility of data points; data reconciliations measuring completeness and consistency with the ledger and/or FINREP; review of the plausibility of economic output metrics generated by the data; and periodic reporting of data quality, translating the results of validations, reconciliations and output checks into condensed, actionable management reports.
ALM / IRRBB
Design, development and implementation of ALM/IRRBB models for measurement of EVE, NPV and NII for internal (management information) and external (formal IRRBB reporting) purposes. This includes the general models for calculating these value and earnings metrics, the necessary product-specific supporting models (e.g. savings and prepayment models), curve frameworks and pricing models (e.g. OIS, FTP), and more advanced model extensions for measuring, for example, spread risk (CSRBB) and client behavioural risk from both value and earnings perspectives.
Liquidity risk
Determination and setting of liquidity risk drivers, stress scenarios, risk appetite, liquidity buffer and contingency measures, and the formalisation of these in the ILAAP and internal liquidity policy documents. Calculation and reporting of liquidity ratios (LCR and NSFR) and additional liquidity monitoring metrics (ALMM). Application of FTP in banks’ internal pricing, liquidity risk transfer and risk centralisation processes, and associated internal reporting on liquidity risk.
Regulatory reporting
Expert knowledge of regulatory reporting requirements prescribed by DNB/EBA/ECB and extensive practical experience with reporting and validation of COREP, leverage ratio, LCR, NSFR, ALMM, large exposures, FINREP and IRRBB. This includes optimisation of reporting chains, development of validation tools based on XML and XBRL, enhancement of data quality and support in ad hoc regulatory reporting such as the AQR and EBA Stress Test.
Stress testing
Active and leading involvement in a variety of stress testing projects in the fields of interest rate and liquidity risk (such as the NII component of the EBA EU-wide stress test in 2014, 2016, 2018, 2020 and 2023). This includes the application and interpretation of regulatory requirements and guidelines, the design and development of stress testing models and processes, formalisation of stress testing policies, execution of regulatory quality assurance processes, development of quality controls and interpretation of stress testing results.
Financial modelling
Expert financial modelling skills in MS Excel, Visual Basic for Applications (VBA), Procedural Language (PL) SQL, MS SQL Server and QRM. This involves the development, enhancement, review and rollout of a wide variety of financial models, including risk-based NII forecasting models, stress testing models (e.g. credit, liquidity and interest rate risk), strategic projection models, liquidity forecasting models, valuation models, replication models and various types of risk reporting models.