Peter Dobranszky

Peter Dobranszky

Looking for a Senior Model Validation Quant

Location
Brussels Area, Belgium
Industry
Capital Markets

Join LinkedIn and access Peter Dobranszky’s full profile.

As a LinkedIn member, you'll join 150 million other professionals who are sharing connections, ideas, and opportunities. And it's free! You'll also be able to:

  • See who you and Peter Dobranszky know in common
  • Get introduced to Peter Dobranszky
  • Contact Peter Dobranszky directly

View Full Profile

Peter Dobranszky's Overview

Current
Past

see less

see all

Education
  • Katholieke Universiteit Leuven
  • Universiteit Utrecht
  • Katholieke Universiteit Leuven
  • Katholieke Universiteit Leuven
  • Budapesti Corvinus Egyetem
  • Universität zu Passau
  • Otto-Friedrich-Universität Bamberg
  • Università degli Studi di Palermo

see less

see all

Recommendations

1 person has recommended Peter

Connections

377 connections

Websites

Peter Dobranszky's Summary

Check my personal homepage: http://peter.dobranszky.com

Specialties

Risk Management, Quantitative Finance, Modelling, Pricing, Numerical Techniques, Optimization, Credit Scoring, Economic Capital.

Peter Dobranszky's Experience

Head of Risk Methodology Validation

BNP Paribas

Public Company; 10,001+ employees; BNP; Banking industry

January 2010 – Present (2 years 5 months)

I manage a transversal team that is responsible to review the official market, liquidity and counterparty credit risk methodologies on the Risk - Investment & Markets (Risk-IM) perimeter. The job incorporates the review of IRC/CRM, VaR, CVA, PFE and other risk methodologies. The team qualifies and quantifies the model risk that is present in these methodologies. The team checks the consistency of sensitivity and risk indicators across asset classes and as a second level control verifies that all important risk factors are well recognized and monitored at Risk-IM.

Head of Validation and Valuation

BNP Paribas Fortis

Public Company; 10,001+ employees; FORB; Banking industry

January 2010 – June 2011 (1 year 6 months)

I am concerned with the implementation of the valuation process controls on the Risk - Capital Markets side in Brussels. Covering all product lines within capital markets, the Validation and Valuation team provides an independent analytic and methodology control function supervising the valuation control process that covers among others the marking policy, model approvals, model reviews, map reviews, price verifications and reserve calculations.

Senior Model Validation Quant

Fortis

Public Company; 10,001+ employees; FORB; Banking industry

January 2006 – December 2009 (4 years)

I worked in the Model Risk & Validation team of Risk Management Merchant Banking and I validated front office models to price equity, energy and commodity derivatives. I dealt with combination of local volatility, stochastic volatility, jump and time-changed Lévy models. I focused on the modelling of financial asset price and volatility dynamics. I implemented and developed pricing and risk management models in C++. I developed advanced numerical pricing techniques. I worked on market data management tools as well as on a flexible payoff clause language defining products and risk factors. I made functional analysis of the risk management system.

Senior Consultant

Finalyse

Privately Held; 51-200 employees; Financial Services industry

October 2005 – December 2009 (4 years 3 months)

In the Financial Markets business area I learn and share know-how in finance. I generate new ideas and I develop pragmatic solutions for clients, applying the best practices in pricing and risk management.

Consultant – Mortgage Swap Valuation

Dexia

Public Company; 10,001+ employees; DEXB; Banking industry

June 2009 – July 2009 (2 months)

I built a stochastic model to revalue residential mortgage swaps. The model captures interest rate, default, prepayment and delinquency risks. It manages the tranching of the mortgage pass-through and handles the swap as interest rate derivatives. The correlation between the outstanding swap notional and the floating rate that is referenced in the swap contract is modelled explicitly.

Consultant – Credit Card Scorecard Development

MKB Bank

July 2006 – July 2006 (1 month)

I set up new scorecard for the credit card business line. I created a framework for future scorecard developments in SAS EM. I developed and challenged expert, statistical and non-statistical models.

Consultant – Fair Value Structured Products

Dexia Banque Luxembourg

Public Company; 10,001+ employees; DEXB; Banking industry

October 2005 – January 2006 (4 months)

I validated the fair valuation of interest rate and foreign exchange rate derivatives. I made functional analysis of the revaluation system.

Junior Quantitative Analyst

Raiffeisen Bank

Privately Held; 10,001+ employees; Banking industry

August 2004 – September 2004 (2 months)

At the Integrated Risk Analysis Department I worked on Credit Scoring Methods. I developed risk management models and a combination of statistical and neural network based credit scoring methods for the Leasing Department in MATLAB environment.

Teaching Assistant

Corvinus University of Budapest, Financial Department

Educational Institution; 1001-5000 employees; Higher Education industry

February 2004 – June 2004 (5 months)

As a teaching assistant I gave financial lectures and I examined the candidates.

Lecturer

International Training Center for Bankers

March 2004 – May 2004 (3 months)

In the Banking Degree Programme I taught advanced financial studies for bankers.

Teacher

Corvinus University of Budapest, Microeconomics Department

Educational Institution; 1001-5000 employees; Higher Education industry

September 2003 – February 2004 (6 months)

As a teacher I taught Intermediate Microeconomics (Varian) for 40 students.

Modeller and Developer

D&K Information Technology Co.

July 2000 – May 2002 (1 year 11 months)

As a database modeller and programmer I designed database architectures and I engineered front-end applications to the Web. During my work I got to know data warehousing. I used SQL, Perl and PHP on Linux.

Peter Dobranszky's Publications

  • Assessing the Emerging Caveats of the New Market Risk Metrics

    • August 31, 2011
    Authors: Peter Dobranszky

    The Basel Committee made extensive efforts for strengthening the resilience of the banking sector. In 2009, various new stressed, incremental and comprehensive risk capital requirements have been introduced to cover market risks (see the updates in BCBS193 and BCBS193a). The revisions to the market risk framework require embracing a stronger capital regime. The application calls for the establishment of pro-cyclicality risk analytics, stricter model validation policy and further risk management governance. This paper focuses on model uncertainties that institutions may discover during the implementation and independent internal review of the internal approaches for stressed value-at-risk (Stressed VaR), incremental risk charge (IRC) and comprehensive risk measure (CRM). Throughout the paper we will assume that the reader is familiar with the basics of the Stressed VaR, IRC and CRM requirements.

  • Scenario Analysis in Charge of Model Selection

    • January 26, 2012
    Authors: Peter Dobranszky

    This paper presents how scenario analysis techniques can be used for building financial models that are able to capture the dynamics of the underlying asset prices both in benign periods and in times of stress. The paper presents case studies for building pricing models for equity and FX derivatives. In the course of model calibration, the scenario analysis techniques are applied to identify the shortcomings of the assessed models and to propose improvements. The presented techniques may help in managing model risk and valuation uncertainties, which attracted increased attention in the aftermath of the recent financial crisis.

Peter Dobranszky's Education

Katholieke Universiteit Leuven

PhD candidate in Mathematics, Quantitative Finance

2007 – 2013 (expected)

Universiteit Utrecht

Summer School in Theoretical Physics, Physics

2009 – 2009

Katholieke Universiteit Leuven

MSc. in Statistics, Statistics

2005 – 2007

Final Grade: magna cum laude 77.54%. Title of the thesis work: "Joint Modelling of CDS and LCDS Spreads with Correlated Default and Prepayment Intensities and with Stochastic Recovery Rate".

Katholieke Universiteit Leuven

Advanced Studies in Master of Financial Economics, Finance

2004 – 2005

Final Grade: cum laude 74.1%.

Activities and Societies: Graduate School of Business Studies

Budapesti Corvinus Egyetem

MSc. in Financial Investment Analysis and Risk Management, Finance

2000 – 2005

Final Grade: Excellent. Title of the thesis work: "Extended Bootstrap Technique for Modelling Conditional Correlations between Market and Credit Risks".

Activities and Societies: Heller Farkas College for Advanced Financial Studies (HFC), AEGEE, DSG.

Universität zu Passau

Deutschsprachiger Studiengang, Correspondence Student, Economics

September 2002 – June 2004

I studied Investment and Finance, Insurance and Corporate Economics at my home university, but in German. The courses and the exams were organized by the German partner university.

Otto-Friedrich-Universität Bamberg

Erasmus Scholarship, Economics

March 2003 – August 2003

Activities and Societies: AEGEE

Università degli Studi di Palermo

Summer University, International Relations

August 2002 – August 2002

Activities and Societies: AEGEE

Peter Dobranszky's Additional Information

Websites:
Interests:

I like the sports in the nature. I like sailing, hiking and skiing. I love my family, my wife and my children.

Groups and Associations:

Senior Member of Heller Farkas College for Advanced Financial Studies (HFC).

Honors and Awards:

Master degrees awarded cum laude and magna cum laude. Studying in Germany with ERASMUS Scholarship. From 2001 to 2003, Professional Director of HFC. Enhanced Scholarship attained four times at BCE. Highest distinction and Highest Award of the secondary school.

View Peter Dobranszky’s full profile to...

  • See who you and Peter Dobranszky know in common
  • Get introduced to Peter Dobranszky
  • Contact Peter Dobranszky directly

View Full Profile

Name Search:

Search for people you know from over 150 million professionals already on LinkedIn.

Example: Jeff Weiner

Viewers of this profile also viewed...