Jean Pierre Fernández Prada Saucedo
Lima,ARE
Summary
FRM level I economist with experience in risk management, data science and quantitative finance. I’m passionate about reading academic papers and integrating this knowledge into my work.
Overview
7
7
years of professional experience
1
1
Certification
Work History
Senior Model Risk Validation Data Scientist
Banco De Crédito BCP
05.2020 - Current
- I carried out the periodic validation of expected loss models and IFRS 9 risk parameters (PD, LGD, EAD, PD Forward Looking) of all Credicorp Group commercial banks using SAS.
Currently, - I lead the validation front of the Economic Capital models and Through the Cycle parameters using Python and R.
- I personally led the validation of quantile regression, cointegration and Markov Chain models used for Stress Testing exercises.
- I incorporated the next practices in my team validation standard: the Harding and Pagan algorithm to date economic cycles, the use of the Hansen, Lunde & Nason Model Confidence Set technique to compare forecasting power.
Consultant
Ernst & Young
05.2018 - 04.2020
- I created an independent engine to estimate the expected loss of the credit portfolios of Intercorp’s Group making intensive use of the statistical software Stata and Matlab.
- I have experience estimating IFRS 9 parameters such as 12-month PD, PD Lifetime, credit conversion factor (CCF), LGD, EAD, forward looking stress factors, prepayment probabilities and ratios, absolute and relative variation thresholds, among others.
- I applied methodologies of Transition Matrices, Loss Rate, Practical Expedients, Recovery Flows and ARIMA Models for the projection of scenarios macroeconomics.
Macroeconomic Modeling Department Intern
Central Reserve Bank Of Peru
07.2017 - 05.2018
- Participated in the development of an exogenous block SVAR model to assess the impact of commodity price shocks on macroeconomic aggregates of the Peruvian economy using Matlab and E views.
- I collaborated in the calibration and simulation of DSGE models in DYNARE.
- I was in charge of updating databases for models of prediction using Visual Basic and Bloomberg.
Education
Bachelor of Arts - Economics
Pontifical Catholic University of Peru
Lima, Peru12.2017
Skills
IFRS 9 Modeling and Validation
Economic Capital Validation
Stress Testing Validation
Time Series Modeling
Certification
FRM Level 1
Languages
Spanish
Native language
English
Advanced
C1
Additional Information
I agree to the processing of my personal data by 90mph Consulting Łukasz Bielawski based in Legionowo 05-120, Mieszka 1/25 street and Business Partners for the needs of this recruitment process and any future recruitments in accordance with Personal Data Protection Act of 10 May 2018 (Journal of Laws 2018, item 1000) and in agreement with Regulation (EU) 2016/679 of the European Parliament and of the Council of 27 April 2016 on the protection of natural persons with regard to the processing of personal data and on the free movement of such data, and repealing Directive 95/46/EC (General Data Protection Regulation). At the same time I declare that I have been informed that: - The administrator of my personal data is 90mph Consulting Łukasz Bielawski; - I have the right to access my data, as well as rectify, delete or limit processing. Personal data may be transferred to authorized entities, e.g. potential employers on the basis of legal provisions. I hereby consent to my personal data being processed by 90mph Consulting Łukasz Bielawski, Mieszka I/25 street, 05-120 Legionowo for the purpose of considering my application for vacancy Senior Credit Risk Model Validation Specialist and else vacancies in ING Hubs B.V. spółka z ograniczoną odpowiedzialnością Oddział w Polsce, ING Hubs B.V. and ING Business Shared Services B.V. spółka z ograniczoną odpowiedzialnością.
Timeline
Senior Model Risk Validation Data Scientist
Banco De Crédito BCP
05.2020 - Current
Consultant
Ernst & Young
05.2018 - 04.2020
Macroeconomic Modeling Department Intern
Central Reserve Bank Of Peru
07.2017 - 05.2018
Bachelor of Arts - Economics
Pontifical Catholic University of Peru
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