Lavinia Petru

Commodities trading: gold, WTI Crude Oil, cryptocurrency

Build and maintain financial models to support CLO transactions according to the legal documentation  Use excel models to allocate a collateral pool’s payments to various bondholders, swap counterparties, and investment managers  Stress-test cash flow and collateral performance to gauge impact to portfolios under adverse market conditions  Calculate various portfolio statistics, ratios and thresholds for use in hypothetical trading scenarios and periodic reporting 

Pricing European ABS, RMBS, CMBS using market approach: market data collection, valuation modelling, price generation, quality control, communicating with clients  Derivate asset assumptions – review and run deal cash flow on a daily basis and explain prepayment, default, loss severity effects in the ABS/ RMBS price  Build matrix models based on observable market prices and assigns a fair value consistent with the observed prices to similar marketed securities

Calculation and Analysis of the RWA and EAD on Structured Finance deals (RMBS, ABS, CLO, CMBS)  Main risk support for key credit issues on Structured Finance deals: risk estimation due to a counterparty rating, global recovery rate downgrade/upgrade  Applying regulatory framework Bale II/III on securitisation deals

Banking and Finance