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Dipl. Ing. (FH) Robert Gerö, CFA, FRM
+971 565781981
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Professional Profile:
Quantitative financial analyst
main personal qualifications:
Solution-oriented thinking and goal orientation. When faced with problems and complex tasks, it was always able to find a solution that was quickly implemented, if there was no out of the box solution.
Analytical thinking and quantitative knowledge, which was mainly shaped by the participation in the math Olympics, gives him excellent skills to develop new systems and find the key elements. He could valuRe complex financial instruments, find methods to decompose complex instruments for VaR calculation and was a leading force in the implementation of highly quantitative solutions. Not at least he could find a solution to distinguish between systematic and overfitting errors, reached high scores at modeling and developed an unsupervised text clustering method, to find similar text elements in transactions without dictionaries.
profound work experience:
Quantitative Risk Management for Asset Management 15 Years
Credit Risk Modelling 3 Years
Financial Controlling and Project Financing 4 Years
Business Consultant for Financial Services (Banks, Insurance, Leasing) 3 Years
Masters And DIPLOMA DEGREES:
2000 Fachhochschule Wiener Neustadt – Industrial Engineering
Thesis: The Usage of OLAP Databases in Financial Controlling
2008 Financial Risk Manager (FRM)
2019 Chartered Financial Analyst (CFA)
PROFESSIONAL CAREER:
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07/2020 – date Addiko Bank AG 1010 Wien
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Credit Risk Modelling and Credit Portfolio Management Modelling a Credit Risk Model based on transactions for SME (SAS, SQL) high GINI was reached Customer value management from credit card transactions (Text Mining and machine learning methods - SAS, R, SQL) – preselect customer with higher probability to take a new product Modeling non-maturing deposits for liquidity risk and interest rate risk (SAS, R, SQL) – better estimation of duration for liquidity risk IFRS9 ECL modelling (SAS, R programming) Modelling of prepayment risk for loans and withdrawal risk for term deposits for credit risk and interest rate risk reasons
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06/2018 – 06/2020 Spängler IQAM Invest Gmbh 1010 Wien |
Risk- and Data Management Limit checking, Compliance (Constraints of Funds, InvFG, Pension Act) Performance measurement (performance contribution and attribution of bond portfolios) Data management (validation of master data, SQL Queries) Checking and validation of key figures of simple and complex bonds (yield, expected yield duration, spread) Implementation of convertible bonds development of tools of quarterly future rolls (VBA with Teletrader and automatically import to Allocare – internal fund system)
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02/2008 – 05/2018 Amundi Austria Gmbh 1010 Wien |
Risk Controlling (Management) limit checking, compliance (constraints of funds, investment law, pension act) responsible for VaR calculation credit spreads (Z-Spreads, OAS), basis spreads, inflation linked notes, callable bonds, options incl. non linear risks, swaps, CDS, forwards, structured financial instruments) validation of VaR model (variance and covariance method and historical simulation) back testing and stress testing exposure calculation (UCITS, net AIFM, gross AIFM, ESMA) implementation of money market guideline portfolio insurance: CPPI, modelling and immunisation
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04/2004 – 01/2008 Schaeffler Austria Gmbh 2560 Berndorf-St. Veit |
Financial Controlling investment and production planning for plants in Austria, Germany, China, Korea, Brazil, Hungary, Romania, Canada Profitability testing, monitoring of plants cost reports, budgeting Project based profitability analyses for plants in Asia, Eastern Europe Profitability testing, monitoring of plants cost reports, budgeting Tools for production cost analysis SAP-BW Assessment, inventory, production cost analysis, market price analysis in connection with production costs (correlation analysis) Stock analyses, slow mover identification and counter actions
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04/2002 – 03/2004 Self-employed |
Business Consultant strategic planning for expansion into CEE with focus on e-government HVB Leasing – Hungary: Analysis and modelling of business processes of a leasing company (In partnership with Re!lease Consult GmbH)
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02/2001 – 03/2002 Cap Gemini Ernst & Young Consulting Austria AG 1020 Wien |
Consultant CRM & DWH feasibility study for Ceska Sporitelna (leading Czech bank), analysing and modelling of CRM business processes, modelling of a DWH (OLAP), realization of the 10 CRM principles, Siebel pilot (Czech Republic) IT-Strategy and analysing the IT-Infrastructure for Tiroler Versicherung (insurance company), measuring the user satisfaction (Austria)
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Lecturing:
Since September 2022: Lecturer for database
management (SQL) at Fachhochschule Technikum Wien
Supervising scientific project works
April 2009: Presentation on Overview of capital preservation models (GARP Chapter Vienna)
Mandates:
Steering Committee PRMIA Vienna
vocational Education:
April 2021: Basic Credit Risk Modeling for Basel/IFRS 9 using R/Python/SAS
Summer 2020: SAS Statistics 1: Introduction to ANOVA, Regression, and Logistic Regression
SAS Programming 1: Essentials
June 2019: CFA Level III passed
June 2014: CFA Level II passed
November 2013: Credit Derivatives: Valuation of Credit Default Swaps (Dr. Walter Gruber)
Mai 2011: Risikomanagement (Prof. Dr. Stefan Reitz)
December 2010: CFA Level I passed
November 2008: Financial Risk Manager (FRM)
February 2008: CPPI in-house training at Simon Moore
Languages – bi-lingual
German: Native
Hungarian: Native
IT Skills:
Software Application: MS Office, Bloomberg, Reuters Eikon, PMS (Much Net), Teletrader, Allocare, SAS
Knowledge of all programs with script or macro programming
Programming: R, Python, SQL, SAS, Visual Basic
INTERESTS And Hobbies
Sport (Running, Mountain Biking, Skiing)
Hiking, Lesen (Fachliteratur)
PERSONAL Data
Date of Birth: June 26th 1974
Nationality: Austria
Marital Status: two children
Impressum:
Dipl. Ing. (FH) Robert Gerö
Donaufelder Straße 33/10
1210 Wien
Tel.: +43699/17818887