Natalia Shestakova

regular and initial validation of Pillar I PD models, quarterly monitoring of model performance (non-retail segment) :

• improvements in validation methodology (obligation closing, alignment with new regulatory requirements)
• development of validation software (data sourcing - SQL, execution of validation methods - R, automation of report preparation - R + LaTeX)
• challenging of model design, assumptions and methodologies
• testing of model implementation
• report preparation
• alignment with internal (model development, rating analysts, internal audit) and external (OeNB / ECB) stakeholders

regular validation of IFRS9 non-retail models:

• improvements in validation methodology
• development of validation software
• report preparation
• alignment with internal and external stakeholders

• completion of research projects in area of consumer and trader behavior
• teaching courses in Economics, supervision of research projects, refereeing of grant proposals and journal submissions