Matei Blaja

Experience

• 

  Swiss Re

  Jun 2001 - Dec 2006

  Risk Manager

  Financial Market Risk Manager, responsibilities:- Design and maintain the Group Assets and Liabilities Management Report meaning capturing, modelling and reporting the financial market risks of the company's assets and liabilities portfolio;- Model a multi asset class portfolio;- Model and integrate non-linear derivative positions into the Group Risk Model;- Determine the capital costs allocation for the Group;

• 

  UBS

  Jan 2007 - now

  Risk Management for Lombard Lending- Develop a credit rating model for Lombard loans collateralized by illiquid assets;- Develop the Lombard Stressed RWA Model for UBS Group;- Redevelop and implement the credit rating model for the Lombard business, including modelling the risk of multi asset class portfolios. Attain regulatory approval;- Develop quantitative and qualitative haircut methods for Lombard lending for various asset classes, including derivative instruments;- Develop and implement the back-testing methodology for haircuts;- Establish policies and guidelines governing the risk management framework for Lombard lending; Show less

  • Model Risk Auditor

    Apr 2024 - now

  • Senior Quantitative Analyst

    May 2019 - Apr 2024

  • Risk Modelling Specialist

    Jan 2007 - May 2019