Christian Koehncke, CFA, CQF

Experience

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  NORD/LB

  Jun 2007 - Feb 2014

  - Calculated and priced complex structured loan transactions- Advised the loan departments from a funding cost perspective to optimise transaction structuring - Managed the ABS portfolio with a particular focus on European CMBS, Leveraged Loan CLOs and SME CLOs- Modelled individual ABS transactions, performed stress testing and ran cash flow and yield analyses using customised spreadsheets, Trepp and Bloomberg- Analysed and monitored ABS holdings to determine their risk and return profile- Assessed market developments and analysed their (potential) impact on the portfolio- Developed and maintained relationships with market participants - Produced and analysed P&L and risk reports for the Treasury and Fixed Income departments- Monitored portfolio liquidity risk and the liquidity position of the branch

  • Transfer Pricing Specialist, Asset Liability Management/Treasury

    May 2013 - Feb 2014

  • ABS Portfolio Manager, Corporate ABS

    Jan 2011 - Apr 2013

  • Risk Controller, Market Risk Controlling

    Jun 2007 - Dec 2010
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  Fitch Ratings

  Mar 2014 - Jun 2015

  RMBS Credit Analyst (Associate Director) - Structured Finance

  - Rated new European RMBS issues with particular emphasis on UK and Dutch RMBS- Conducted asset and cash flow analyses

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  HSBC

  Jul 2015 - Sept 2016

  ABS Stress Testing Specialist, Traded Risk Management

  - Devised a stress testing methodology for European and US ABS asset classes (ABS, RMBS, CMBS, CDOs and CLOs)- Led the initial design, implementation and ongoing improvements of an ABS stress testing platform- Defined ABS stress testing scenarios in close collaboration with the front office and market risk managers- Performed portfolio valuations based on market and stressed assumptions- Conducted cash flow analyses and valued individual ABS securities- Participated in the preparation and execution of regulatory stress testing exercises for the PRA and EBA Show less

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  Deutsche Bundesbank

  Oct 2016 - Sept 2017

  Fixed Income/ABS Analyst, Directorate General Markets

  - Analysed and priced securities eligible for the ABS Purchase Programme (ABSPP) of the ECB- Determined bid levels for ABS securities considered for purchase in the primary and secondary markets- Developed and refined valuation methodologies for Sovereign, Corporate and Covered Bonds

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  Fitch Ratings

  Dec 2017 - Jan 2023

  Director, Structured Finance

  - Responsible for credit ratings of UK RMBS from engagement to publication- Modelled foreclosure frequencies and recovery rates of the underlying mortgage portfolios to assess credit risk- Cash flow modelling to stress test the transaction structures under various economic scenarios- Rated European CLOs (primary issues and refinancings) during a secondment in the Structured Credit department- Reviewed transaction and legal documentation- Model officer for Fitch's residential mortgage model used to rate RMBS transactions in the UK- Developed, reviewed and back-tested rating criteria- Drafted and published transaction-related reports as well as research on credit topics affecting the industry- Communicated and maintained relationships with transaction arrangers, originators and investors- Participated in on-site due diligence reviews of mortgage originators and servicers- People management responsibility Show less

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  BNP Paribas

  Jan 2023 - now

  Vice President - Securitisation Risk

  - Acting as Lead Analyst for transactions related to residential mortgages and NPLs & REOs- Analysing transaction proposals presented by the Securitised Products Group covering securitisation transactions and related exposures, these include warehouse facilities, portfolio purchase facilities, term investment commitments, balance guaranteed swaps, interest rate and cross currency swaps- Undertaking holistic assessments of credit requests presented by Business Lines in scope focusing on regulatory capital compliance, strategy, risks (market, credit, funding, operational, reputational, ESG/CSR, structural), stress testing, profitability, internal rating (IR) and global recovery rate (GRR)- Conducting annual reviews and assessing amendment requests for existing commitments- Modelling of transactions on an ad-hoc basis- Participating in due diligence meetings with originators and servicers- Leading the implementation of a portfolio-level stress testing methodology and infrastructure- Maintaining professional relationships with Business Lines in scope, as well as key stakeholders across Functions Show less