Credit Risk

• Conceptual design and implementation of a MBS servicing tool for Deutsche Bank Privat- und Geschäftskunden AG
   
• Business case for the introduction of a securitization transaction for a middle-sized German bank
   
• Development and implementation of a prototype of error estimation in analysing credit-worthiness of problem-loans based on the Bayesian Belief Networks
   
• Selection and implementation of a credit risk portfolio model for a middle-sized German bank
   
• Analysis of a MBS-Tool with regard to the technical mapping of the contract's separate components
   
• Construction of a bond database; conceptual design and implementation of term structure and spread curve algorithms, vola surfaces; support in the implementation of credit spread VaR
   
• Specification and implementation of an integrated trading system for spread and credit derivatives for a large German bank
   
• Implementation of a trading and risk management system for securities and credit derivatives for a large German bank
   
• Extension of an expert rating to an internal rating model in compliance with Basel II for a specialized German financial institution
   
• Development, implementation and validation of an internal rating procedure (in accordance with Basel II) for a middle-sized German bank with a significant proportion of specialized loans. Application of complex statistical methods for the determination of default probabilities and losses due to default
   
• Development, implementation and validation of an internal rating procedure in compliance with Basel II for a middle-sized German bank with a focus on private customers. Application of a variety of techniques to ensure that the requirements for various segments are satisfied
   
• Development, implementation and validation of an internal model in compliance with Basel II for a specialized German bank with a focus on non-profit clients. Application of a variety of techniques to ensure that the requirements for various segments of credit engagement are met satisfactorily
   
• Specification and implementation of an algorithm for a large German bank to calculate the term structures of interest rate bonds and the associated "corporate spread" curves, broken down according to rating and industrial sector