Greater Adelaide Area
Accomplished risk professional, specialising in stress testing, collective provisioning, insights analysis and performance measurement, with over 20 years of experience in the banking sector. Proven track record in developing comprehensive risk assessment models and delivering regulatory compliance reports to stakeholders. Successfully led a team to enhance operational efficiency, ensuring robust financial analysis and reporting mechanisms. Brings actionable insights to foster growth at prospective employers, leveraging a unique blend of technical proficiency and collaborative management style. #IFRS9 #AASB9 #stresstesting #modeldevelopment #creditrisk #climaterisk #collectiveprovisioning #tutoring #mentoring #financialmodelling #creditriskmodelling #riskmangement
• Building and maintaining stress testing models • Conducting periodic stress testing as required by the Australian Prudential Regulation Authority (“APRA”) as well as for internal purposes • Conducting climate specific scenario analysis, including physical risk and transition risk stress tests • Development of macroeconomic models to link the performance of the general economy to the performance of the Bank’s major asset portfolios • Development of lifetime Probability of Default (“PD”) and point-in-time PD models for AASB 9 purposes • Development and implementation of an AASB 9 framework • Producing reports and submissions to present to relevant committees, the Bank’s Board, regulatory authorities and other stakeholders • Addressing queries from the Bank’s regulator (APRA) and auditors and liaising with stakeholders across the Bank • Peer review of risk models developed in other areas of the Bank • Managing and mentoring a team of 7 people
• Credit Risk and Performance Analysis on the Bank’s major asset portfolios • Writing reports and submissions to be presented to relevant management and Board committees • Development of a model to measure the inherent risk in Margin Lending transactions to assist in defining appropriate lending ratios for each stock • Development of a credit risk stress testing framework • Development of PD, Loss Given Default (“LGD”) and Exposure at Default (“EAD”) models to Basel II standards • Development of collective provisioning models (incurred loss models) to determine expected losses on the Bank’s major asset portfolios
• Development of techniques to identify and measure concentration risk within portfolios • Presenting the Bank at the South African Concentration Risk forum • Testing and validation of PD models • Researching approaches to PD and LGD modelling
• Acting as quantitative researcher on the fixed income trading desk • Developing new investment products, especially capital guaranteed structured products • Developing financial models to aid in the risk management process of Mettle, for example scenario analysis, asset / liability matching, cash flow analysis, etc. • VAR attribution in terms of volatility, trading and correlation • Investigating arbitrage opportunities for fixed income trading • Designing and implementing client-specific models after consultation with clients, for example property loan stock companies and Johannesburg Treasury • Implementing and debugging of Panorama (trading and risk management system) • Research on hedge funds – mainly quantitative investment strategies • Optimisation of call spreads
• Doing analysis of equity and bond portfolios using BARRA • Developing models in-house to aid in the analysis of fund managers • Working on research projects, for example the development of style indices for the South African market • Staying on top of developments in the financial markets by reading academic literature and implementing relevant techniques into the company’s process • Building and leading the quantitative research team
• As a junior lecturer at the Vaal Triangle campus, my main responsibilities were lecturing of Mathematics for 1st, 2nd and 3rd year students and assisting with tutorials. • After moving to the Potchefstroom campus, my responsibilities included lecturing of Mathematics and Applied Mathematics to 1st, 2nd and 3rd year students, as well as post-graduate up to Masters level. I also took responsibility for the development and teaching of mathematics to students studying Business and Economics. • Implementation and maintenance of TeX and LaTeX for the Science Faculty. • Since I was still working on my PhD during this time, my research focussed predominantly on Computational Geometry, although I did successfully publish papers as a co-author on other topics, for example integral equations.