Michal Chovanec

Experience

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  University of Ulm

  Jan 2010 - Dec 2011

  Researcher in Partial Differential Equations and Mathematical Finance

  Postdoctoral researcher (Analysis, Mathematical Finance; application of degenerate parabolic PDE's in Finance)Lecturer (courses on Option Pricing with Stochastic Volatility Models and Differential Operators in Finance)Member of a commitee for allocating new PhD-scholarships

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  ETH Zurich

  Feb 2012 - Aug 2012

  Researcher in Mathematical Finance

  Projects:• identifying and implementing boundary conditions for the transition probability function in the SABR model - important for correct and precise derivatives pricing under this model; • functional-analytical setting allowing for robust numerical schemes for affine processes with jumps

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  Deloitte

  Oct 2012 - Jul 2019

  Quantitative SME, Manager, International FS Risk

  - Risk management and validation of internal models (VaR calculation engines, SST internal models), critical review and analysis of model assumptions and underlying methodology.- Design of macro-economic scenarios and evaluation of their impact on complex and illiquid investment products, stress tests, sensitivity of product valuation to risk factors- Modelling of dependencies among market risk factors (functional dependencies, vector-valued auto-regressive lagged models, copulas)- Expertise in the area of pricing financial derivatives with focus on deriving and implementing stochastic volatility models.- Know-how and experience with market and credit risk internal models in financial institutions- Modelling of propagation of insolvencies in a network of companies bound by the ownership structure and intra-group transactions- Expertise with economic scenario generators- Experience with the Basel II-III requirements and Solvency II requirements, Analysis of the content of the Regulatory Reporting sheets and the impact on the as-is IT architecture. Show less

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  Independent Risk Advice

  Aug 2019 - now

  Independent Advisor

  Advisory in the area of financial and insurance risks, focusing in particular on market, credit and model risks. Past and current projects include leading projects and providing subject matter expertise for audit and advisory of large international financial institutions headquartered in Switzerland.