Khagva Boldyrev

Experience

• 

  Sberbank

  Mar 2017 - Sept 2022

  - Developed and implemented dynamic modelling and forecasting of balance sheet and income statement in stress scenarios- Managed a team of software developers working on automatization of integrated stress testing and scenario analysis- Participated in structuring of embedded options in retail products- Implemented calculation of delta economic value of equity (EVE) for Bank Group- Evaluation and forecast of current account churn rates, mortgage conditional prepayment rates (CPR) and deposit withdrawals Show less

  • Senior Risk Manager

    Feb 2020 - Sept 2022

  • Risk Manager

    Mar 2018 - Feb 2020

  • Analyst

    Mar 2017 - Mar 2018
• 

  Raiffeisen Bank Russia

  Oct 2022 - now

  IRRBB Manager, VP

  - Daily management of interest rate risk in the banking book (gap risk, basis risk, optionality risk).- Scenario analysis and forecasts of IRRBB exposure and NII of the Bank.- Development and execution of hedging strategies of IRRBB exposure and hedge accounting- Review and development of quantitative models, used to assess, price and steer optionality risk in the banking book- Development of FTP methodologies for products in IRR part