Financial Services

Grigori Tymchenko

Expert in Financial Risk Modeling, IFRS9, Validation and Management

I have 12 years experience in Financial Risk modelling and validation, compliance, data management as well as development of early warning systems based on open data.

I delivered numerous projects on Basel IRB, IFRS9, market, operational, business and model risk topics at financial institutions in and outside of the EU.

Recent work includes:

  • Basel IV readiness assessment and designing the transition roadmap for G-SIB in Europe to achieve regulatory compliance.
  • Development of early warning systems and KYC checks for credit risk and market compliance monitoring based on structured and unstructured public information: social media data, news, blogs etc. for internationally operating large banks in Germany to improve separation power of existing rating/scoring systems.
  • Risk & regulatory management content, credit risk model development and validation incl. backtesting and ongoing monitoring (PD/LGD/EaD/CCF retail/non-retail under ECB/EBA-GL, esp. DoD, MoC, TRIM), automation of reporting in R, SAS as well as closure of regulatory findings, action point control, model tiering and model risk management for large banks in Europe.
  • IFRS9 gap analysis incl. road map design, implementation planning and budgeting, followed by complete implementation projects esp. PD/LGD/EaD modelling for IFRS9 purpose in R, SQL as well as model validation in R, SAS, SQL, external and internal data management, software selection at large European banks.

Before joining Data, Risk and Regulatory of Capgemini Invent, I have been working for several years at KPMG and Deutsche Bank in risk analytics and regulatory area.

I am fluent in German, English, Russian and Ukrainian. I like travelling a lot, as well as going for biking and surfing.

Grigori Tymchenko

My experience

Senior Manager @ Capgemini Invent

Oct 2018 - Present

Manager @ Management Consulting

Jan 2016 - Sep 2018

Senior Risk Analyst @ Banking

May 2012 - Dec 2015

Latest Publications

Basel IV

An effective early warning system for the post-pandemic banking sector

Grigori Tymchenko

Regulators are aware that a significant proportion of zombie companies are currently on bank...

Basel IV

COVID-19 and implementation of regulatory requirements

Grigori Tymchenko

Innovative risk management, automated regulatory compliance audits, and communication with...

Basel IV

Basel IV: What influence do PD/LGD input floors have on RWAs?

Grigori Tymchenko

Small-parameter adjustments have a great effect on risk-weighted assets (RWAs). We have...