Anton Shprenger

 Creation of Low Default Portfolio PD Model (Financial Institutions): representativeness, modelling methodology and results, model performance, homogeneity, quantification methodology, MoC, compliance to Basel Regulations and Internal Standards, independent tests);  Remediation of PD quantification methodology framework for Law Default Portfolios to respond to ECB’s obligations.  Creation of Internal Standards of IRB parameter modelling (Representativeness, Homogeneity, Heterogeneity): interpretation of Basel Regulations, benchmark with best PD/LGD modelling practices.

 LoD2 review before submission to ECB of IRBA Retail models (LGD, CCF and LGDD/ELBE models): Reference Data Systems, representativeness, modelling methodology and results, model performance, homogeneity, quantification methodology, downturn, MoC, compliance to Basel Regulations and Internal Standards, independent tests);  LoD2 review before submission to ECB of IRBA Large Corporate PD/Scoring model: Reference Data Systems, representativeness, modelling methodology and results, PD quantification, MoC, homogeneity, compliance to Basel Regulations and Internal Standards, independent tests;  Creation of Internal Standards of IRBA parameter modelling (LGD, Homogeneity, Heterogeneity, Representativeness, MoC, Downturn): interpretation of Basel Regulations, benchmark with best PD/LGD modelling practices, discussions with modeling entities.

 Optimization of Credit RWA;  Analyse of French banks' Credit RWA key figures for benchmarking;  Review of IRB / IFRS 9 / EBA stresstests models;  Development of IFRS 9 models in French and North African banks;  New definition of default impact study  Audit of market risk (several banks and asset managers, reference of the file of BNPParibas): Independent valuation of financial instruments, review of IPV process, review of Fair Value Level classification, review of Valuation Adjustment process (XVA), review of market risk parameter uncertainty reserve calculation, review valuation models reassessment process;  Project and team management mainly in market risk audit (leading teams of consultants up to 5 persons);  Interpretation of new Basel regulation (IRB Repair, Basel IV, FRTB);  ALM: Interest Rate and Exchange Rate risks hedging optimization in banking book under accounting and sensitivity tests;  Review of Solvency II scoring and market risk models.

 Research and development of capital requirements models for credit products trading books (Basel 2.5: IRC – CRM models);  Regular IRC-CRM model control work (calibration, statistical tests, backtests, stresstests, Expert and Validation Committee preparation);  Supporting French Prudential Control Authority’s (FCPA) audit mission of IRC – CRM models;  Remediation work due to the FCPA’s recommendations;  Contribution to the methodology of IFRS 9 models (Corporates and Retail);  Supervising interns.

Validation of derivative valuation models (vanilla and exotic derivatives), key rates diffusion models (correlation structure, calibration, stresstests) for EPE construction and CVA calculation (CCR).

Validation of financial portfolio hedging strategies / Development of derivative valuation models / Development of derivative pricing software / Producing of reports for the FPCA