Dr. Sikandar Siddiqui

Main tasks and responsibilities: • Development, implementation and maintenance of a computerised toolset for the risk-based calculation of minimum credit margins • Quantitative decision support of investment, structuring and origination processes • Credit quality assessment and valuation of structured products (e.g. ABS tranches, CDOs, n-th to Default Swaps) • Modelling of correlation + spread risks • Credit portfolio modelling & analysis • Programming (GAUSS, VBA, SQL)

Main tasks and responsibilities: • Credit portfolio modelling and analysis • Econometric modelling of market risks (Methods employed: GARCH, quantile regression, Moving Blocks Bootstrap) • Analysis of credit derivatives and structured credit products • Programming of statistical tools in GAUSS • Programming of database operations in PL/SQL • Project management as to the implementation of newly developed methods

Main tasks and responsibilities: • Risk and performance evaluation of investment strategies (e.g. by Bootstrap methods) • Development of an econometric model for sector allocation purposes • Development and implementation of quantitative decision models for asset selection purposes • Statistical analysis of stock price indices using nonlinear time series methods • Management of two equity funds and one umbrella fund • Maintenance of two quantitative „master portfolios“

Selected assignments: • Performance of a Due Diligence audit in preparation of a cross-border corporate acquisition • Design and implementation of a multi-country reporting system for an automotive component supplier • Econometric investigation of the demand for business services by companies in El Salvador (by order of the Gesellschaft für Technische Zusammenarbeit) • Design, financial valuation, and implementation of equity–based incentive systems (for several companies)

Ökonometrie, Geld und Währung, internationale Wirtschaftsbeziehungen