Functional Analytics

ownR platform engineering for Python, R and MATLAB - Advanced Analytics pipeline from raw data to results

Owner/CEO

Delta Lloyd

I was leading the team implementing the Volatility Adjustment methodology in R in production quality based on the EIOPA documentation and Matlab code. I also helped create the R production platform Delta Lloyd built based on RStudio and our own ownR suite. The Volatility Adjustment calculation package is deployed to the platform freeing up quant resources thanks to the automation.

Interim R Quant Developer / Solution Architect

With a fellow Quant we have improved the Credit Spread Internal Model to address (valid and constructive) criticism from the intenrnal Model Validation department (MVU) and the DNB. The documentation has been completely rewritten and extensive supporting analysis was carried out. The model is now awaiting approval from MVU and soon will be on it's way to DNB for final approval for Solvency II.

In addition I have reimplemented the Excel-based Volatility Adjustment solution in R using our RDBL package to connect to the source data directly. The new implementation allows for more analysis and faster and much more robust production code. In turn methodology issues were identitfied and fixed. The Volatility Adjustment implementation is now ready for production.

Solvency II Credit Risk Internal Model Consultant

Atradius

Stakeholder management for the Reinsurance Engine 
Solvency II compliant documentation for the Reinsurance Engine
Solvency II Pillar 1 expertise and support

Solvency II Internal Model (Reinsurance) Consultant

Subject Matter Expert (SME) and solution designer of the new Reinsurance Engine; 
Solution Architect for the Partial Internal Model integration; 
Solvency II Pillar 1 SME; 
SME for the Solvency II Data Model and the Pillar 1 Architecture

Interim Solvency II Internal Model Consultant

Senior Quantitative Analyst at the Departments Provisioning and Economic Capital responsible for the development and maintenance of the models used. Recently joined the Business Analyst team of Solvency II, working on implementing the the standard formula.

Senior Quantitative Analyst

ING Investment Management

1. Created a data model for all OTC Derivatives (Plain Vanilla European Equity and Index Options, Basked Index European Options, IRS, Plain Vanilla Swaptions, FX European Options).
2. Created an automated mapping from the daily flat data dump to the data store.
3. Supported development of pricing models in Matlab.

Quantitative Risk Manager

Vrije Universiteit Amsterdam

Research activities in the topic of Financial Mathematics. Analysed an existing approximation model for Heath-Jarrow-Morton Forward Rates model. Analytically proved that the model allows arbitrage and constructed an arbitrage portfolio. Proposed a different, arbitrage-free approximation that can be used for pricing and is easier to implement. The project is ongoing, two published papers are expected in the close future.

PhD candidate

Functional Analytics is a software and consulting company that can help you with all of your questions around analytics. Our award winning enterprise analytics solution, the ownR platform, supports  both the whole road from development to production and ad hoc analyses. The experts from Functional Analytics can advise you on strategic choices, recommend best practices and suggest improvements.

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