Grigory Boldyrev

(Co)development and improvement of valuation and risk models and tools (team-/department-wide); maintaining the tools in accordance with the bank’s “IDV Standards” (development, documentation, testing, versioning). Modelling experience with the following asset classes: CDO/CDO²; CMBS; RMBS; CLO; CDO-ABS. Modelling of cashflows in diverse SPV structures (both Asset- and Liability Side) and experience within other general risk-management Topics.

Responsible for maintaining and improvement of internally developed credit valuation models for structured finance securities in a role of a junior quantitative analyst. Providing support to the other analysts in team, specializing on particular classes of SF-securities, that deploy related valuation models. Performing other operating activities: regular valuation of corporate CDOs, creating various performance reports on constituents of CDO-portfolios and performing credit analysis of watchlist-credits.

Assist the team administering CDOs of global corporates (incl. marketdata and reporting updates). Learning types of structured finance securities, and methods and tools used for their analysis and valuation.