Michal Polak

- Responsible for Swiss Solvency Test: market and credit risk, scenarios, capital optimization. Acted as SST model contact for internal / Allianz Group stakeholders. - Structured deals pricing: modeling of underlying investments, waterfall and tranches. Restructuring team member, meetings with clients. - Created liquidity risk model and participated on quarterly ALM. - Fixed income portfolio stress tests methodology & monitoring.

- Developed ILS Risk Simulator Tool (market & cat modeling) calculating portfolio CVAR. - Responsible for liquidity risk (funds projections, total return swap liquidity) - Proprietary ILS Risk Platform project: wrote model & risk reporting specifications. Responsible for testing, production phase and maintenance. - Support to portfolio management, building tailor-made investment solutions for clients.

- Creation of asymmetrical model for inflation. Conducted research for the best appropriate approach. Implementation into existing quarterly forecast processes. - Cooperation on structural econometric model of Slovakia. - Reviewing and approval of submissions concerning energy pricing policies for households.

- Created loan/deposit market potential tool based on corporate & retail statistical data. - Weekly comments about Slovakia Economy, released on bank’s webpage. - Participated on short inquiries with public media. Given speeches about macroeconomic development for bank’s clients. - Performed market player benchmarkings based on financial statements. Presentations for board of directors.

Mathematical Finance