Freelancer profile translated to English.
Back to original languageAbout Jochem
I am a quantitative risk consultant with over 10 years of experience in financial modeling, risk analysis, and automated regulatory reporting. After my Master's in Stochastics & Financial Mathematics at the University of Amsterdam, I built my career at leading financial institutions such as ABN AMRO Clearing, ACT Commodities, and CBOE Clear Europe.
My specialization lies in building and implementing quantitative models — think margin models for Cash Equities and Fixed Income, IRB/PD models, PFE Monte Carlo simulations, and counterparty credit risk frameworks. Additionally, I automate complex reporting processes for regulators such as ESMA, DNB, and AFM, and within the scope of MiFID-II, using Python, SQL, and PySpark.
As an independent consultant, I work result-oriented and deliver solutions that are immediately deployable in production environments. I combine a strong mathematical background with hands-on programming skills and in-depth knowledge of the financial sector. My approach is analytical, pragmatic, and always focused on quality.
Available for senior freelance assignments in financial services, fintech, energy trading, or related sectors.
Dutch
Native or bilingual
German
Native or bilingual
English
Fluent
Russian
Fluent
Can work on-site
Amsterdam (up to 50km)
Experience
- JB Master ConsultancyIndependent Quantitative Risk Consultant / FreelancerBANKING AND INSURANCEOctober 2023 - Today (2 years and 10 months)EuropeCBOE• • Securities Financing Transactions (SFT) Project• • Automation Securities Financing Transactions Regulatory Reporting for ESMA, BOE, DNB and AFM using Python, SQL and PySpark• • Developed and prototyped a margin model for Cash Equities and Fixed Income to acquire license in clearing SFT using Python, enhancing risk management processes. See documentation Margin model• • Designed and implemented an algorithm to split portfolios into N sub-portfolios, optimizing for equitable P&L per sub-portfolio in Python• • Developed Python based Internal Ratings-Based (IRB) model, supporting advanced risk assessment and regulatory compliance based on Moody's Rating Model for Banks and Financial Institutions in Python
- ACT Commodities Amsterdam•Senior Risk AnalystENERGY AND UTILITIESSeptember 2020 - September 2023 (3 years)Amsterdam, NetherlandsDesign and implementation of a cloud-based automated risk reporting tool for ACT Commodities global in Python• • Design and implementation of counterparty credit risk model calculating credit limits based on credit rating, FX rate and balance sheet data• • Implementation Capital at Risk Framework, including PFE Monte-Carlo model and matching algorithm to ascertain risk metrics in certificate production• • Implementation and automation in Python of COREP Framework for MiFid-II regulated entity ACT FS• • ERM (Enterprise Risk Management) within ACT. This is an internal risk assessment identifying and addressing methodically the potential events that represent risks to the achievement of strategic objectives• • Collaborate with trading desks to enhance risk framework to execute on profitable trading strategies• • Automate risk and financial controls formerly manually executed on trading performance (Forward book valuation, Drawdowns, Settled P&L, VaR, OPL, Sharpe ratio, Duration, Working Capital, IPV etc) in Python• • Automate FX Hedging for Treasury Department by aggregating payment and hedging data with daily hedging alerts
- ABN AMRO Clearing AmsterdamQuantitative Risk AnalystBANKING AND INSURANCESeptember 2018 - August 2020 (1 year and 11 months)Amsterdam, NetherlandsFixed-Income model improvement for the purpose of calculating margins (credit risk spread, yield risk and issuer risk)• • Design and implementation PD-model for regulatory purposes for estimation of low default portfolios by means of Logistic Regression in Python• • Validation of FX models through recalibration of interest rate curves and modelling pricing engines for Dividend Futures• • Python prototyping of model feature specification and implementation• • Improving option pricing in illiquid markets
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Education
- Master Stochastics & Financial Mathematics - Master of ScienceUniversity of Amsterdam2016Master Stochastics Master of Science
- Student ExchangeSaint Petersburg State University2014Student exchange
Skill set
Categories
- Other