SimCorp Dimension, market risk business analyst (BA)

Sergii Oliinyk ( address: The Netherlands,Utrecht)

SimCorp Dimension, Risk, Performance, Portfolio and Settlement business analyst

I would need a work permit in order to work in UK, because currently I have a ukrainian passport

EDUCATION

2001-2007 MSc Mathematics - Taras Shevchenko National University of Kyiv

Main subjects: Probability Theory, Statistics, Stochastic processes, Actuarial mathematics

2005-2007 MSc Economics - Taras Shevchenko National University of Kyiv

Main subjects: Econometrics, Banking, Insurance, Financial modelling

2003-2005 BSc Finance - Taras Shevchenko National University of Kyiv

Main subjects: Economic theory, Management, Investments, Accounting

PROFESSIONAL EXPERIENCE

Rabobank International (The Netherlands, Utrecht) www.rabobank.com

Oct 2011 – Jan 2012 Business Analyst at GFM operations IT

Responsibilities:

• Analyse and design solutions for business cases, related to SimCorp Dimension software

• Automate the transaction netting, import and settlement processes

• Create implementation specifications and suggest validation scenarios for proposed solutions

• Investigate reporting and security issues related to transaction STP workflow

• Support ongoing projects

• SimCorp Dimension software coaching

Experience:

• SimCorp Dimension Communication, Transaction Status, Calculation and Message queue servers

• SWIFT instructions, confirmations, matching

• FOP and DVP Transaction STP workflows, Data import/export, Trade Netting, custody reallocations, security transfers, block trades, Crystal Reports

• Simcorp Dimension Portfolio Calculation key ratios

SimCorp – Investment management software vendor (Belgium, Brussels) www.simcorp.com

Aug 2010 – Jul 2011 Senior System Designer & Development Consultant in the Customer Services Department

Responsibilities:

• Customer support in the Front, Middle and Back office Dimension software modules

• Fixing SimCorp Dimension software

• Support implementation projects

• New functionality presentations for the customers

• Business Cases – business analysis of customer workflow

• Business Process Modelling

Experience:

• Instrument valuation (pricing methods, Greek key ratios, exposure) of Bonds, Security Lendings, Equities, Equity/FX Forwards/Futures, Equity/Bond/FX Options, Future Options, Quanto Options

• Relative/Historical/Parametric/Ex-Ante Value-at-Risk (VaR) Models, Fund Decomposition, Limit calculations, Benchmarks, Yield Curves analysis, Cost Calculation and mathematical adjustment for Futures transactions, corporate actions, Performance Measurement, Portfolio Management

• Oracle, SimCorp Dimension, Spotfire, OM , Siebel, APL

SimCorp – Investment management software vendor (Ukraine, Kyiv) www.simcorp.com

Apr 2009 – Aug 2010 Portfolio Management Senior System Designer & Development Consultant

Responsibilities:

• Analysis/Validation/Correction/Review and Documentation of Investment Modelling concept (setup the workflow for Index, Benchmark and Blended Index market data, recalculating TWR and weights of components)

• Setup the strategic asset allocation tree for model portfolios and benchmarks, portfolio rebalancing

• Support the Order Management module

• Fixing SimCorp Dimension software

• Support implementation projects

• Knowledge sharing in the Portfolio Management domains

• Support and deliver a new functionality for Portfolio Management applications of SimCorp Dimension software

• Quality control/ validation of solutions for Dimension Portfolio Management software module

• Business Cases – business analysis of customer workflow

• Analyse the Requirement specifications from clients

• Analyse the Business designs from SimCorp domains

• Write the Technical designs for SimCorp development departments

Experience:

• Monte-Carlo/Historical/Parametric/Ex-Ante VaR models, Attribution, Strategic and Tactical Asset Allocation, Portfolio Management, Order Management, Asset Management, Benchmarks, Portfolio rebalancing

• Oracle, SimCorp Dimension, Spotfire, OM , Siebel, APL, C#

SimCorp – Investment management software vendor (Ukraine, Kyiv) www.simcorp.com

Apr 2008 – Apr 2009 Team Leader in Risk Management Development Department

Mar 2008 – Apr 2008 Risk Management Senior System Designer & Development Consultant

Oct 2007 – Mar 2008 Risk Management Development Consultant

Nov 2006 – Oct 2007 Risk Management Quality Assurance Analyst

Responsibilities:

• Replication of the Monte-Carlo Value-at-Risk (VaR) model: mapping the market data to the risk factors, calculating the risk factor values/volatilities/correlations, simulating the Monte-Carlo risk factor value returns based on the covariance matrix, applying the risk factor value returns scenario files to pricing models of derivatives in order to get the simulated Dirty values and P/L, calculation of the VaR key ratios according to confidence level quantile. Aggregation of simulated P/L values from the risk interval in order to calculate the Incremental and Marginal Monte-Carlo VaR

• Replication of the Historical, Parametric and Ex-Ante VaR models from market data

• Implementing the mapping of new risk factors according to pricing methods

• Risk Decomposition of VaR result across the involved risk factors

• Recalculating the residual risk based on equity and index returns

• Delta vectors modelling from market Yield Curve data

• Compare the realised P/L vectors with VaR results back in time in order to calibrate the VaR model (Backtesting)

• Model the Stress Testing Scenarios (Look back, Predictive and Standard)

• Analyse the P/L distribution to replicate the Expected Shortfall and Upside

• Customer support: explaining the outcome from VaR models to business consultants and clients

• Fixing SimCorp Dimension software

• Create the technical designs for development according to business designs and requirement specifications from clients

• Manage the Risk Management Development team

• Support implementation projects

• Knowledge sharing in the Risk & Portfolio Management domains

• Support the Portfolio Management, Performance Measurement and Benchmark applications of SimCorp Dimension software

• Support and deliver a new functionality for Risk Management applications of SimCorp Dimension software

• Quality control/ validation of solutions for Dimension Risk Management software module

Experience:

• Monte-Carlo/Historical/Parametric/Ex-Ante VaR models, Contribution to IVaR (Incremental VaR), Marginal VaR, Expected shortfalls, Backtesting, Stress scenarios, calculation of risk factor returns/volatilities/correlations, Residual risk, Delta vectors, Risk specific Greek key ratios, VaR decomposition, risk reporting, derivative pricing and risk factor mapping, Investment Modelling concept, Benchmarks, Time Weighted Returns, Attribution, Strategic and Tactical Asset Allocation, Portfolio Management, Order Management, Performance Measurement

• Oracle, SimCorp Dimension, Siebel, APL

Business-Link–Business and education in UK training company (Ukraine, Kyiv) www.businesslink.kiev.ua

Aug 2005 – Sep 2006 Financial Analyst

Responsibilities:

• Control and forecast a budget of company

• Analyse a service quality

• Analyse the financial software solutions for accounting department

• Contract negotiations with clients

Experience:

• Microsoft Excel data analysis module, “1C” Accounting software, Budgeting

LANGUAGES AND IT SKILLS

Languages Mother tongues: Russian and Ukrainian

Fluent: English

Basic: French

IT Skills SimCorp Dimension Software,Spotfire, OM

Office: Word, Excel, Access, Power Point

Programming: APL (experienced), C# (basic)

Data base: Oracle

ACTIVITIES & INTERESTS

I have 6 years of experience in business analysis, customer support and software development within Financial sector, working with Monte-Carlo/Historical/Parametric/Ex-Ante Value-at-Risk (VaR) models, Incremental VaR, Marginal VaR, Expected shortfalls and upsides, Backtesting, Stress scenarios, Delta vectors, risk specific Greek key ratios, VaR decomposition, investment modelling structures, benchmarks, portfolio analysis and rebalancing, transaction STP workflow, SWIFT instructions, confirmations, matching, netting. My main interests refer to the SimCorp Dimension software, risk measurement and portfolio performance analysis, where I can apply all my educations and skills in a full measure. I possess the master degrees in mathematics and economics and really like to develop not only my expert skills but also the management ones. I believe, that a good motivation, professionalism and common goals generate a high productivity and success.

COURSES & CONFERENCES

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