rafael morales

* Performed model validation of risk and pricing models of the Bank and its counterparties via independent implementation (Excel, VBA, C++) or by verification in other pricing environments (e.g. Bloomberg or other third party software) * Made a business case for risk management group to pursue Advanced Measurement Approaches (AMA) for operational risk by showing that Minimum Capital required under Standardized approach is highly overstated * Computed for transition probabilities between the bank’s internal ratings using both cohort and hazard approach * Assisted in the training of Bank’s Management Trainees in Risk Management * Direct report to CRO

* Validation of actuarial assumptions used in pricing and reserve valuation via various experience studies (mortality, persistency, reinstatement, expense and nonmedical limit studies) * Made the business case of transferring to another reinsurer by comparing the costs of competing contracts. * Handled large accounts that required reinsurance (monthly reports, projections, accounting, financial statements).

* Member of the Quantitative Assurance Services, a group within the FSRM team that is tasked to validate marked-to-market values of derivatives and other financial instruments of various clients including non-banks * Designed a system in which the client bank can estimate the value-at-risk of its swaps portfolio (composed of currency and interest rate swaps) * Consultant for various advisory engagements such as Value-at-Risk and Earnings-at-Risk Model Validation, Seminar on Financial Instrument Valuation and Internal Capital Adequacy Assessment Process Advisory for Banks * Lectured on topics such as VaR, Stochastic Processes, Monte Carlo Simulation, etc. for training seminars conducted by the firm.

* Regular reports and presentations to the Model Efficiency Review Committee * o Monitors scorecard performance and liases with country contacts to seek justification for breaches * o Monitors IRB parameters (actual vs predicted) and suggests post model adjustments when necessary * o Automation and streamlining of model governance MIS reporting with Excel, VBA and SAS * Other tasks include: Performing data quality checks on IRB modeling data; Review and re coding of monitoring code (PD and LGD) to ensure congruence with country definitions and model documentation