Andy Donaldson

Adviser on LGD modelling for Specialised Lending portfolio ( Aircraft Finance / Project Finance/Commodities Finance /Real estate lending ) - Expert based scoring models -Internal Model Inpection preparation

Implementation of MRB module for VaR Full Reval and FRTB-IMA in Paris branch of a Global bank: - Preparation of Murex configurations related to Risk module (MRB and MRA) related to the VaR metrics for Historical Full Reval and FRTB – IMCC y RTPL. - Support in the validation of Murex metrics through a comparison with current VaR system, a simplified Taylor, products reconciliation, scenarios application methodology and PLAT tests. - Validation of the scenarios produced outside Murex for Full Reval, IMCC and RTPL metrics, reviewing the format, calculations, traceability and consistency of the data generated from the different risk factors. - Integrated unitary tests execution between different Market Risk systems for the scenarios application and PnL vectors generation. - Follow-up and analysis of identified incidents. - Expertise in Market Risk modules, including Market Risk Aggregator (MRA) and Market Risk Box (MRB). -FRTB-IMA project for European client by participating in scope, design, build and delivery phases in terms of ES, SES, PLAT (HPL, RTPL, APL), IMCC, VaR, Total Capital Charge

Assisiting the Santander Metholdology team to model and becnhmark Inflation Linked Bonds vs Murex - Modelling -Documentation - Replica model vs front office risk systems -Liason with front office and market risk

Freelance Consultant to IRC ( Incremental Risk Charge) Model remediation with a particular focus to curve generation and sensitivities around risk weighting local currency sovereign bonds in LATAM. -DRC implementation for FRTB -IRB modelling (PD/LGD/EAD)

Freelance Market & Credit Risk Subject Matter Expert -Pillar 1 market assessment of models with a focus on modelling, model governance, data and IT. -VaR/sVaR/IRC/FRTB Implementation and remediation -XVA/AVA Framework design and implementation -Assistance with ECB internal model inspections for the client -ECB Trim Findings remediation for internal model approvals -Assistance in Securitisation IMI for Significant Risk Transfer and risk monitoring -Intraday Risk Frameworks using existing EOD architecture - Algorithmic Trading Risk Frameworks -Counterparty Credit Risk -LGD modelling for local sovereigns

Model Risk Course in Paris to market practitioners with a focus on AI/ML and IFRS9 model risk management for both market and credit risk -FRTB -TRIM market and credit including sample findings and remediation techniques -CRR

I gave several training courses on ECB Inspection Readiness for IMA Market and Credit -What to expect? -How to prepare? -How to deal with ECB /JST -Detailed examples for both market and credit risk

Freelance Quantitative Analyst IRB Credit Low Default Portfolio Mission -Pillar 1 credit/market assessment of models with a focus on modelling, model governance, data and IT. -Probability of Default Model -Margin of Conservatism -Downturn Modelling

Contrôleur dans le cadre d'une mission IRB Low Default Portfolio Credit Conversion Factor (CCF) -Pillar 1 credit/market assessment of models with a focus on modelling, model governance, data and IT.

Freelance consultant in counterparty credit risk and margin period of risk modelling to BBVA

Freelance Quantitative Analyst in a Market Risk Mission -Var/sVaR , market data models -FVA Frameworks -Pillar 1 market assessment of models with a focus on modelling, model governance, data and IT.

- Macro-prudential stress testing implementing Top Down Macro based and econometric stress-tests: Prototypes built and engineered with front office management -Econometric modelling and quantitative techniques used for risk assessment or stress testing techniques and analytical models - Stress testing in an analytical environment, by combining the stress impact on different risk segments and by assessing the overall result in terms of Profit & Loss and capital; - EBA ST Methodology for 2016 and 2018 EU wide exercises - Defining requirements, test plans for macro-prudential stress testing framework models and tools

- Global Macro Trader in FICC across Foreign Exchange , Interest Rates and Fixed Income in both cash and derivative products

Global Macro Proprietary trader across all FICC products.

Proprietary trader in JP Morgan Chief Investment Office , trading FICC products including RMBS and spread product across all markets

Interest Rate derivatives trader ($Bloc)

Quantitative Analyst in Model Validation -Benchmarking -Quantitative Projects -Exotic Option structuring