Zurich, Zurich, Switzerland
▪ Responsible for the development and maintenance of VaR model and VaR analysis tools (implemented in Python and VBA), covering physical commodities as well as derivative trades. Improved the model by more accurately modelling physical position ▪ Responsible for defining, implementing and testing VaR related changes in our infrastructure as well as the final implementation in our third-party Risk System provider ▪ Built a VBA tool that allows for a quick pricing of vanilla options (commodity future and physical trades) as well as calendar spread options. The tool is being used by derivative traders on a daily basis for hedging purposes ▪ Responsible for setting up and analyzing new stress scenarios ▪ Daily monitoring of limits and production of reports, covering physical positions, derivative trades and exchange traded margin requirements ▪ Created a template that allows for simple monitoring of exchange traded derivatives, required margin payments and optimization of margin requirements. It also provides a forecast/view on required liquidity given position and price movements which allows for more accurate and simplified planning ▪ Automation and simplification of various tasks, reports and analyses, such as limit monitoring of price list business and assessing volume risks and suitability and profitability of new business strategies ▪ Regularly presenting main risks to Group Commodity Risk Committee as well as to the Risk representatives of the Board
▪ Worked with Front Office, Risk Managers and Structuring teams in order to analyze the impact of new trades and client strategies across Market Risk metrics and capital ▪ Defined new analysis tools for Market and Issuer risk models to help senior management understand drivers and changes across non-linear calculators ▪ Product owner of multiple streams across Market Risk analytics, automation of regular reporting and analytical requirements including leveraging Cloud and SPARK technology, FRTB streams covering standardized and internal models’ calculations and designing UI for new analytical tools ▪ Assisted with ad-hoc analysis of new regulatory tests and capital calculations through SQL, VBA and Python ▪ Held regular internal presentations (60+ people) for Front Office and Risk on the impact of latest regulation, changes within UBS infrastructure, optimized queries for risk analysis and best practices for analytical tools ▪ Worked as the main Risk analyst together with Front Office, Methodology, IT and Risk Officers in order to specify architectural, analytical and operational changes resulting from the FRTB ▪ Spent 2 weeks in Nashville and Krakow onboarding new team members and held presentations on financial markets, products and UBS risk systems/infrastructure
▪ Analyzed drivers and changes across VaR and Stress scenarios and presented commentary to Risk Officers on a weekly basis in global risk call ▪ Developed VBA algorithm that verifies daily risk of positions and speeds up closing times of businesses within UBS by 1 hour every day. It was regarded as the best tool of the year for which I received praise across senior management ▪ Responsible for the production of risk reports for the Executive Risk Committee and Chief Risk Office ▪ Spent 3 weeks in Mumbai onboarding new joiners in the newly established Analysis and Reporting team ▪ Automated various reports through VBA/Python
▪ Developed a macro to rewrite Excel tables in an HTML code to the email body and enabling VaR/Stress emails to be sent automatically through the server (reducing the manual work and the overall size of the emails) ▪ Analyzed market risk changes in the Legacy Structured Credit portfolios ▪ Coordinated and monitored the global production process for the two major weekly market risk reports covering the Investment Bank and the Non-Core and Legacy portfolios ▪ Improved multiple Excel templates in terms of their user-friendliness, reducing operational risks and minimizing manual work required ▪ Assisted in the testing and improvement of IT-related solutions