Experience

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  Banco santander

  Jul 2009 - Apr 2010

  Market data analyst

  - Data integration between the systems involved: Liquidation and Payment Platform: Asset Control, Kondor, Murex.

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  Serfiex risk management & alm

  Apr 2010 - Feb 2011

  Market risk analyst

  - Measurement, control and management of market risk, credit risk and liquidity risk of assets and liabilities of financial institutions.- Market Risk: VaR RiskMetrics, VaR Historical Simulation, VaR Montecarlo, Expected Shortfall.- Liquidity Risk: ALM.- Creation of operation limits, control ex-ante and worse sceneries. Simulation of the possible sceneries (stress-testing) and back-testing.- Development and implementation of mathematical models for the valuationof financial derivatives. Stochastic models. Use Matlab language Show less

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  Ceca

  Feb 2011 - May 2012

  Senior front-office risk analyst

  - Responsible for the development and Implementation of Kondor 3.0 new version. (Front-Office and Risk Management platform). New valuation for IRS, Caps, OTC Options, SABR model.- Development of market risk reports and liquidity risk reports for Security and FX trading desks. VaR calculation, Cash flows gap analysis.- Development of new FX operational platforms for FX trading desk: Spot rates, futures and swaps.- Banks’ merges into the Front environment.

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  Honda brasil

  Oct 2012 - Mar 2018

  - Design, implement an overall risk management process within a challenging environment of regulatory change. - Analyse risk as well as identifying, describing and estimating the risk affecting the business.- Collaborate with the business line on establishing strong risk management controls and new product initiatives.- Establish and quantifying the organisation´s risk appetite. - Develop quantitative credit risk models and tools to help manage, measure and monitor credit risk: PD (Markov, Logistic), LGD, EAD.- Ensure all new statistical models are soundly developed, accuratey back-tested and benchmarked.- Lead in the development of market quantitative analysis, risk metrics and tools to manage, measure, and monitor market risk exposures: VaR, EVE, EAR, Stress Testing, Backtesting.- Responsible for oversight of the Risk department.

  • Credit & Market Risk Manager at Honda Bank

    Sept 2016 - Mar 2018

  • Senior Quantitative Risk Analyst at HONDA BANK

    Oct 2012 - Aug 2016
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  Santander

  Mar 2018 - now

  Responsible of Internal Validation for Northern Europe:- Manage independent reviews across the model lifecycle including new developments, model changes, periodic validations, ongoing monitoring and implementation in respect to their design, calibration, validation, usage, reporting, and governance.- Providean an insight and evaluation of weaknesses and making recommendations for improvements.- Present independent reviews to Model Governance Committee or Model Technical Forum. Inside of the Single Validation Office:- Ensure the consistency and homogeneity of the validations carried out by the internal validation teams: credit & market risk.- Oversight of the independent reviews across the model lifecycle including new developments, model changes, periodic validations, in respect to their validation, usage, reporting, and governance.- Ensure all models remain fit for purpose in accordance with internal policies, model validation stadandards and regulation. Model Risk:- Lead the model risk oversight framework- Present independent reviews to Model Governance Committee.Credit Risk:- Providing credit loss projections for internal projections: IFRS9 & BRGAAP

  • Senior Internal Validation Manager - Credit Risk Validation

    Jan 2024 - now

  • Model Risk Expert - Credit & Market Risk Validation

    Oct 2018 - Dec 2023

  • Risk Manager - Model & Credit Risk

    Mar 2018 - Sept 2018