Model Vadat
April 2019 - now
Rabobank, Utrecht
- Validation of a wide range of risk models within a bank: d Market Risk (VaR, SVaR, IRC, TRIM obligations) d Operational 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
Mathematical Software Engineer
October 2018 - February 2019
Ibeo Automotive Eindhoven B.V., Eindhoven
- Radar signal simulation and processing in MATLAB/C++
Mathematical Software Engineer
October 2017 - September 2018
Sioux LIME, Eindhoven
- Mathematical consultancy for ASML, Nexperia, and ProRail:
d Mathematical modelling and numerical analysis of physical processes in MATLAB
d Computational Fluid Dynamics simulations in COMSOL
d Statistical analysis of experimental results in Python/Excel
d Fast detection of small objects using advanced image processing techniques in C++ (with OpenCV)
d Development of Convolutional Neural Network-based deep learning algorithm for image classification in Python/C++ (with Caffe)
Teaching Assistant
February 2017 - July 2017
(Object Oriented Scientific Programming with C++ course)
TU Delft, Delft
- Assisting and supervising graduate students
- Evaluating and grading assignments
Programmer Analyst
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 MSc programme COSSE (Computer Simulation for Science and Engineering)
September 2015 - September 2017
TU Delft, MSc, Applied Mathematics
September 2016 - September 2017
Master thesis: Adaptive Deflated Multiscale Solvers (numerical experiments are implemented using MATLAB Reservoir Simulation Toolbox)
- TU Berlin September 2015 - August 2016
MSc, Scientific Computing
Saint-Petersburg State University September 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)
COURSEWORK
TU Delft
◃ Introduction to High Performance Computing
◃ Parallel Programming
◃ Martingales, Brownian Motion and Stochastic Processes
◃ Programming and Data Science
TU Berlin
◃ Scientific Computing
◃ Numerical Linear Algebra
◃ Matrix Theory
◃ Numerical Methods for Engineering
◃ Differential Algebraic Equations
Coursera Certificates
(John Hopkins University)
◃ The Data Scientist’s Toolbox ◃ Getting and Cleaning Data
◃ Exploratory Data Analysis
◃ R Programming
IBM Analytics Badges
◃ Hadoop Programming ◃ Watson Analytics
Upstaffer since June, 2022
