Credit Risk Stress Testing

Milos Cipovic

Hoboken, NJ ***** *************@*****.*** +1-201-***-****

[L1 Visa holder requiring H1B sponsorship]

PROFESSIONAL EXPERIENCE

UBS, New York City, NY November 2020 – present

Quantitative Credit Risk Specialist (Product Owner-3 models) GWM SBL portfolio

Model 1: Security Backed Lombard lending RWA under stress ($200B portfolio) Model developer

Trained and onboarded junior quantitative analysts in Monte Carlo simulation techniques, C++, R programming, and time series analysis, credit and liquidity risk to develop and maintain the model, enhancing team capabilities and ensuring robust model performance for combined stress testing and credit risk management.

Led the full model life cycle, including data analytics, methodology development, regular model confirmation and validation and model documentation.

Expanded and adopted model to be Basel 3+ standards compliant. Oversaw the cloud migration of the model.

Responsible for LIBOR decommission and switch to ARR, risk factors time series extension algorithm refinement to account for shocks, OTC derivatives reevaluation simulation and many more.

Model 2: Structured Margin Lending RWA under stress ($20B portfolio) Stress testing methodology development lead

Developed simulation based structural model methodology for TTC PD estimation by emulating margin tracking measure and client top-up behavior.

Developed bootstrap-based liquidation methodology for downturn LGD computation under extreme market liquidity shrinkage.

Coded the prototype in R and Rcpp.

Successfully submitted/defended the model to internal validator.

Model 3: Standard Lombard IFRS9 under stress (EMEA model) for EBA stress testing Model developer

Developed PiT PD bootstrapping methodology by deducing forward/conditional PDs from overlapping sampling windows.

Involved in the migration of stress test and valuation calculators to a cloud environment.

Mutual Funds and Hedge Funds methodology development and remediation as part of Lombard Security Based Lending CCAR model.

Central Bank of Serbia, Belgrade, Serbia June 2015 – August 2019 Senior Quantitative analyst

Developed new Stress Testing model for the Serbian banking system, automatization of process in excel using R through Excel environment and VBA.

Development of Early Warning system for banks (bottom-up approach) by calculating probabilities of default using brute-force model selection during the multivariate phase.

Developed top-down approach of Early Warning system for finding troublesome banks using combination of Kohonen Neural Networks and Machine Learning algorithms (Lasso logistic regression).

Inspection and assessment of ICAAP methodologies of banks, quantitative assessment and validation of banks IRB models (Discrimination, Calibration and Use Test).

Calculating Credit Transition matrices of regulatory rating grades of Serbian banking system using cohort method with corresponding standard errors.

Incorporated various quantitative tools and optimizations during stay.

Inspected the first ever IFRS9 models in the local banking sector. NCR Corporation, Belgrade, Serbia August 2019 – September 2020 Financial analyst

Monthly reporting and analyzing/consolidating total OI as a part of transaction services’ P&L, revising plans with outlooks based on current costs.

Cost allocation by division for the NCR corporation Transaction Services department based on different cost drivers.

Developed, improved and documented VBA generated reporting and automatization of parts of reporting processes of department.

Semi-automatized cost allocation process with a set of a VBA driven excel templates connected in a joint module which are pulling data from local Oracle database through Hyperion Hercules COM add-in.

Designed clear and organized written procedures to allow replication of work which improves and depersonalizes workflow process.

Ministry of Public Administration and Local Self-Government, Belgrade, Serbia December 2014 – June 2015 Junior Advisor

Providing supporting calculations as a ground for determining upper and lower boundaries for Law of maximum number of employees in Serbian Public Sector.

Preparing monthly reports on employee numbers change dynamics in Public Sector by querying databases of confidential data using Microsoft Access, Excel and SQL.

I interacted frequently with the Minister to present various analyses, discuss recommendations and provide project financial advice.

Performing statistical and comparative analysis on data in R on a year-to-date basis.

Closely cooperating with consultants at inter-discipline wage coefficients calculations and providing analysis based on wage financial database of Public Sector. Leversys, Belgrade, Serbia March 2014 – May 2014

Financial Analyst Internship

Received training in derivative valuation with an emphasis on convertible bonds.

Learned the basics of setting up and maintaining convertible bonds in the firm’s valuation software. EDUCATION

University of Belgrade, Faculty of Economics, Belgrade, Serbia November 2012 – December 2017 IMQF-International Masters in Quantitative Finance University of Belgrade, Faculty of Mechanical Engineering, Belgrade, Serbia October 2006 – October 2012 Master’s degree in mechanical engineering, Thermal Engineering major CERTIFICATIONS & PROJECTS

Actuarial Exams: P1 exam (May 2019); FM exam (February 2020); IFM (Nov 2020) Projects:

VBA Time series library for Excel: http://www.real-statistics.com/blogs/ Garch models for Wolfram language: https://github.com/GinIchimaru/mathematica-garch Master thesis in Wolfram Mathematica: https://github.com/GinIchimaru/master-thesis-in-Mathematica LinkedIn Blog/articles (VBA): https://www.linkedin.com/in/miloscipovic/detail/recent-activity/posts/ SKILLS

Programming: Built projects in Wolfram Mathematica, R, VBA. Currently working in SQL, C++ and Python. Quant: Credit rating models, Logistic regression, Lasso regression, Sharpe regression, Kohonen Neural networks, GARCH and VAR time series, transition matrices, Markow models, Bootstrapping and Monte Carlo, Structural models, Structured products, Stochastic calculus,. In case you skimmed through this CV you should know that you have skipped this great movie recommendation: Going by the Book.

Contact this candidate