ModelVadat
April 2019 - now
Rabobank, Utrecht
- Validation of a wide range of risk models within a bank: dMarket Risk (VaR, SVaR, IRC, TRIM obligations) dOperational Risk (AMA model, reporting to ECB)
- Regulatory Capital (CPM, FX, Migration Matrix, Real Estate, NiGEM)
- ALM (Prepayment, LBB CPR)
- Developing tools to automate Model Validation activities
MathematicalSoftwareEngineer
October 2018 - February 2019
Ibeo Automotive Eindhoven B.V., Eindhoven
- Radar signal simulation and processing in MATLAB/C++
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MathematicalSoftwareEngineer
October 2017 - September 2018
Sioux LIME, Eindhoven
- Mathematical consultancy for ASML, Nexperia, and ProRail:
dMathematical modelling and numerical analysis of physical processes in MATLAB
dComputational Fluid Dynamics simulations in COMSOL
dStatistical analysis of experimental results in Python/Excel
dFast detection of small objects using advanced image processing techniques in C++ (with OpenCV)
dDevelopment of Convolutional Neural Network-based deep learning algorithm for image classification in Python/C++ (with Caffe)
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TeachingAssistant
February 2017 - July 2017
(Object Oriented Scientific Programming with C++ course)
TU Delft, Delft
- Assisting and supervising graduate students
- Evaluating and grading assignments
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ProgrammerAnalyst
July 2013 - January 2014
ProfitLAB, Saint-Petersburg
- Development of automated trading systems
- Stock trading and strategies testing using TSLab on Moscow Exchange
Education
Erasmus Mundus Joint MScprogrammeCOSSE (Computer Simulation for Science and Engineering)
September 2015 - September 2017
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TUDelft, MSc, Applied Mathematics
September 2016 - September 2017
Master thesis: Adaptive Deflated Multiscale Solvers (numerical experiments are implemented using MATLAB Reservoir Simulation Toolbox)
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- TUBerlinSeptember 2015 - August 2016
MSc, Scientific Computing
Saint-PetersburgStateUniversitySeptember 2011 - June 2015
BSc with distinction, Applied Mathematics and Informatics
Bachelor thesis: Mathematical models of competition in biology and economics
(the model is based on the system of nonlinear PDEs and solved numerically using MATLAB)
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COURSEWORK
TU Delft
â—ƒ Â Introduction to High Performance Computing
â—ƒ Â Parallel Programming
â—ƒ Â Martingales, Brownian Motion and Stochastic Processes
â—ƒ Â Programming and Data Science
TU Berlin
â—ƒ Scientific Computing
â—ƒ Numerical Linear Algebra
â—ƒ Matrix Theory
â—ƒ Numerical Methods for Engineering
â—ƒ Differential Algebraic Equations
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Coursera Certificates
(John Hopkins University)
◃ The Data Scientist’s Toolbox ◃ Getting and Cleaning Data
â—ƒ Exploratory Data Analysis
â—ƒ R Programming
IBM Analytics Badges
â—ƒ Hadoop Programming â—ƒ Watson Analytics
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