I am working as a management consultant of a leading consulting practice for financial services. I have succesfully completed projects in the field of quantitative risk management, mathematical simulation and data analytics such as analyzing, modelling, validating, processing data in order to develop and validate mathematical-statistical models in an efficient and effective way. After end of work, I enjoy doing sports such as football, running, Beach volleyball, hiking or skiing. As leisure, I also play piano and I am a fan of card and board games.
Manager • October 2015 - Present
I am part of EY's Financial services consulting practice and member of the Quantitative & Analytics Services team. I am currently based in the Stuttgart office. I am a subject matter expert for modeling and estimation of credit and market risk parameters such as PD, LGD or VaR. Moreover, I develop scorecards for rating systems and advanced Machine Learning models. In addition, I build tools in R and Python and design frameworks for the validation of risk model and AI systems. In addition, I perform valuation of derivatives, test and certify banking software and support the audit of financial statements at EY as a specialist.
Research and student assistant • Februar 2011 - January 2015
I taught physics to undergraduates as a teaching assistant. I tutored exercise groups and instructed Lab courses. Further, I assisted in the administration covering personal management, purchases and office matters. In 2014, I was a scientific member of a measurement campaign in Brazil.
Volunteer • August 2006 - July 2007
As part of my Community service abroad, I was in charge of a residential youth group in the boarding house. I supervised their homework, provided coaching and offered individual sport activities.
M.Sc. Physics • March 2015
I was enrolled in the Master program of Physics and taught physics to undergraduates as a teaching assistant. My focus was on Theoretical Physics. I started doing research in the field of Environmental Physics and and completed my master degree in March 2015.
B.Sc. Physics • November 2010
Since 2007, I studied Physics at the University of Heidelberg. Besides, I attended several lectures and seminars on arab grammar and literature. I completed my undergraduate studies with a Bachelor thesis on “Quasar variability” at the Max-Planck-Institute for Astronomy, Heidelberg.
Studies abroad • September 2011 - Februar 2012
I studied Physics and Arabic abroad at the Cairo University in Egypt in midst of the Arab Spring.
Extensive group-validation of a credit risk model offered by a large German Rating-institute and IT-service provider used by specialized banks. Setup of database and data aggregation, analyse of calibration, discriminatory power and stability of the rating model. Benchmarking and horizontal analyses.
Credit risk, PD, Risk database, Gini, BacktestingDefinition of risk database, automatic categorization and feature selection, scoring modell and calibration of the PD rating model for several banks, building societies and financial service providers.
Credit Risk, Scoring models, Calibration, Predictive analyticsTesting of software for portfolio and bank management as well as controlling and review of methodology: Management of market and liquidity risk, Hedge Accounting, P&L account forecast, Balance sheet planning on interests, preliminary costing for a large banking software provider.
Market risk, Liquidity risk, P&L, Balance sheet, interest ratesValuation and pricing of derivatives with Monte Carlo-methods.
Market risk, derivatives, Monte Carlo-methodsEnhancement of market risk model validation for Basel II Minimum capital requirements for an international bank: Review of methodology in place, backtesting of various VaR models.
Market risk, VaR, Equity event risk, Credit spread riskModelling of market values of the financed objects and estimating the residual value or the LGD (recovery cashflows in comparison to EAD) for financial service providers in the automotive sector (Leasing and Finance portfolios).
LGD, EAD, Residual value, LeasingDesign of PiT-calibrated PD and LGD models in compliance with IFRS 9 for Stage I and outlook for Lifetime-EL calculation in Stage II for a financial service provider in the automotive sector.
IFRS 9, Lifetime-EL, StagingDesign of default reporting for both 90 Days past due (DPD) and Unlikely to pay (UtP) cases for a bank in automotive finance.
Default, reporting, DPD, UtPAudit support for year-end audit: Review of risk strategy and methodology in place for different risk types at international and medium-sized banks.
Audit support, Market risk, credit riskQuality assessment of the work on modelling Collective Provisions on bank side during the ECB's Asset Quality Review (AQR) for several European banks.
ECB, AQR, Provisions, ImpairmentQuality assessment of the ALM model enhancement for valuation of the embedded behavioral options and strategic planning for use cases for a large building society. ALM model development and validation review for a mortgage bank.
ALM, embedded behavioral options, mortgages, swaptions, replication portfolioReview of IRRBB implementation at a German mortgage bank both from earnings and risk perspective
IRRBB, EBA GL/2015/08Review of an Asset Value based approach for credit portfolio model and incremental risk charge model at a large German bank
Creditmetrics, Credit-VaR, IRC, Vasiceck
0049 160 939 26501
email@matthias-knecht.de
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