Dr. Sven Teichmann

SELECTED PROJECT EXPERIENCE

1) Counterparty Credit Risk (CCR)

• Quality assurance and support for customer’s CCR Internal Model (IMM) waiver
• Design and implementation of database for CCR-relevant trades (OTC derivatives) and reconciliation with customers regulatory and CCR (IMM and non-IMM) databases and RWA calculation based on that database
• Calculation of Basel III default and CVA risk charge (standard, advanced) Basel II default charge
• Design and feeding of term sheets for OTC derivatives portfolio valuation
• Counterparty credit risk rating research
• Identification of Specific Wrong Way Risk and legal connection between counterparties and issuer for single-underlying trades credit derivatives, equity derivatives, SFTs and regulatory capital treatment as separate netting sets
• Completeness and correctness testing of Backtesting and Stresstesting


2) Internal Capital Adequacy Assessment Process (ICAAP)

• Stress Testing based on macroeconomic scenarios at institution group level including intra- and inter-risk diversification effects and methodological improvement (focus on Financial Investment, Real Estate and Business Risk)
• Economic Capital Calculation (focus on Market Risk) and group level Economic Capital Aggregation and simulation of Risk-Bearing Capacity
• Analysis and documentation of operational methodologies and processes and implementation of improvements regarding efficiency, data quality and operational risk (focus on Stress Testing, Market Risk Economic Capital, Economic Capital Aggregation and Real Estate Risk intra-risk diversification)
• Calculation of correlation matrices (intra- and inter-risk diversification) and update and methodological upgrade and improvement of associated P/L-time series
• Programming of IT prototypes, in particular for automated calculation of correlation matrices and automated analysis of correlation stability
• ICAAP documentation, presentations and translations