Martin Davies

Current

Credit and Counterparty Risk PM at Royal Bank of Scotland
Managing Director at Causal Capital

Past

Operational Risk Framework Architect at Mizuho Corporate Bank
Principal Consultant at Capco
Op Risk Capital Architecture Design at Suncorp Metway

RBS Basel Mng at Commonwealth Bank
Project Manager at Ulysses Systems

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Martin Davies’s Summary

Specializes in designing risk measurement systems with a particular focus on regulatory capital frameworks such as Basel II Pillar I and Pillar II contract based value analysis for asset liability management.

10 years experience developing bespoke workflow, scorecard systems and Bayesian network models for banks in both strategic & processing areas.

Experience in retail, commercial and investment banking.

Interest in lending products with a focus on structured finance and project finance valuations, process transformation, trade finance including LOCs and money / commodity markets hedging strategies for interest rate and currency exposures.

Strong database development, programming and use of R-Project for statistical analysis.

Chaired the Singapore Op Risk Congress, Indian Risk Auditors Conference in Delhi, Malaysian Treasury Forum. Worked with a regulator in the Middle East to present risk based regulation to a large group of banks and hosted an Integrated Risk workshop with the Indonesia Risk Professional Association.

In the capital markets arena have worked closely with an exchange in Asia running up a feasibility study for a new energy instrument & futures contract.

Recent work involved developing an advanced program for Fixed Income investment strategies including portfolio yield immunisation of default adjusted term instruments.

Accredited trainer for the American Academy of Financial Management on structured finance, credit & operational risk.

Martin Davies’s Specialties:

Specialise in Basel II, Control failure analysis in repetitive volume processing areas, scenario modelling, demarcation between credit & operational risk, loss incident management, dataset correlations, risk framework development and policy design. Good understanding of: RCSA, KRI's, Probability & Decision Tree Analysis, Frequency/Severity Distribution Modelling, EVT, Monte Carlo, QQPlots, Discriminant Analysis

Martin Davies’s Experience

Credit and Counterparty Risk PM

Royal Bank of Scotland

(Public Company; rbs; Banking industry)

August 2009 — Present (4 months)

PM for credit and counterparty risk in local markets structured products Singapore. The project goal is to integrate ABN Amro N.V. existing client base and to novate the trading book to RBS. Activities include : Ensuring that the bank is compliant from a transactional credit perspective, RBS is able to dimension global limits, margin and utilisation across equities, fixed income, rates, FX vanilla and exotic instruments.
Managing Director

Causal Capital

(Banking industry)

January 2007 — Present (2 years 11 months)

Director at Causal Capital, subject matter expert for risk management, treasury and project finance. Involved in development of risk products, delivering risk based and finance workshops. Workshop banks include : OCBC, UOB, Bank Mandiri, Abu Dhabi Islamic Bank, BNI, BDI, BTN, BRI, BCA, Asif Ali Habib Bank, Marafiq, Mazoon, Oman International Bank and many more.
Operational Risk Framework Architect

Mizuho Corporate Bank

(Public Company; MFG; Banking industry)

March 2008 — December 2008 (10 months)

Development of a regulatory operational risk reporting framework for that will capture KRI’s, CSA and Loss Data to show an integrated risk profile of the banks operations from a product, process, function or business unit perspective.

The advanced dashboard should then allow potential threats and their causes analysed to assist sound business decision and policy development.
Principal Consultant

Capco

(Privately Held; Financial Services industry)

February 2006 — January 2007 (1 year )

Martin Davies is a principal consultant operational risk SME within the business solutions competency at Capco.

Developing operational, credit and market risk solutions for financial institutions in Asia with a focus on Basel II and economic capital programs. Involved in promoting and delivering bank transformations which involve efficiency modelling, product streamlining, post M&A system/process integration.
Op Risk Capital Architecture Design

Suncorp Metway

(Public Company; Financial Services industry)

February 2005 — February 2006 (1 year 1 month)

Working in Group Operational Risk to design a model that will support the generation of a Value at Risk capital charge for the banks various business lines using both loss data and scenario analysis.

Emphasis on meeting Basel II requirements for Operational Risk capital charge and preparing the process for the bank to reach AMA through an integrated forward looking risk framework.
RBS Basel Mng

Commonwealth Bank

(Public Company; CBA; Banking industry)

November 2003 — February 2005 (1 year 4 months)

Basel Subject Matter Expert

Working for the retail division of the banking group as a program implementation specialist to identify key Basel GAPS in the processing areas of the bank and propose methods for implementation of key points to the operational quantification framework at group which consisted of Loss Data, KRI's, CSA and Scenario Analysis.

Running a program on the demarcation between credit and operational risk, improving loss event causal analysis and the development of a reporting and policy system for reducing capital arbitrage.
Project Manager

Ulysses Systems

(Privately Held; 51-200 employees; Computer Software industry)

January 2001 — December 2001 (1 year )

Martin Davies was the project manager for a development unit of the core product platform team.