Introduction
After a long career with the ABN AMRO Bank in the Netherlands I decided to continue as an independent consultant under the name Han Oostdijk Quantitative Consultancy.
This page details my education, skills and experience which may add to your projects.
Education and experience
Study of Mathematics at the University of Amsterdam in The Netherlands (with a major in Linear Analysis and a minor in Operations Research) resulting in the equivalent of a "MSc".
Systems programmer (MVS/XA) at the computer centres of ABN AMRO with focus points JES2, end-user support (APL) and performance.
(Senior) Quantitative Consultant for quantitative problems of internal (ABN AMRO) customers.
Validation of Economic Capital models for Credit Risk for ABN AMRO.
Modeller of AMA (Advanced Measurement Approach) Operational Risk models for ABN AMRO and Royal Bank of Scotland.
Working as an independent modeller for financial institutions mainly on Operational Risk projects.
Knowledge and skills
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Command of the Mathematics and Statistics directly applicable to the everyday practice of modelling.
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A good eye for the possibilities and impossibilities for optimally tuning software without forgetting that software maintenance should always remain easy.
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Well experienced in running jobs on MVS/XA systems: JCL, ISPF, TSO/E, REXX, SQL/DB2.
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The ability to translate (at least part of) reality into a quantitative model that allows calculations and provides reports of the results. And the ability to communicate these results in each phase of the development in order to minimize potential misunderstandings.
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The ability to efficiently create summaries and provide conclusions from large amounts of data.
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Related to this vast experience in working with tools such as APL2 (MVS/XA), SAS (MVS/XA en PC) and SQL/DB2. Examples:
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Development of financial reporting systems for consolidation and cost allocation with APL2. Also proto-typing of other applications was done with this language in the mainframe environment.
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The creation of the SAS application that enabled ABN AMRO Business Unit Netherlands to calculate Economic Capital numbers for part of its portfolio by gathering the information needed from tape and disk files and DB2 tables. Also the creation of SAS applications calculating positions and cash flows enabling securitisations of SME and mortgage portfolios.
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Well experienced in Excel (VBA), MatLab and Stata in data analysis and modelling environments.
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Participating in building the first parallel implementation of the ABN AMRO Economic Capital calculator for Credit Risk making use of C++ en MPI (Message Passing Interface).
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Validation of Loss Given Default models for the Basel II framework. Verification of the implementation of the models and assessing the correctness of the use of statistical tests in the performance reports.
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Well experienced in creating and implementing (in MatLab) of AMA (Advanced Measurement Approach) Operational Risk models with the Loss Distribution Approach in the Basel II framework. Those models fit independent distributions for the number and the severity of Operational Risk losses.
Activities:-
Contacts with stakeholders such as the Operational Risk Management department, internal auditors, external validating parties and regulators.
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Contriving model variants and implementing these. Calculating the results, assessing sensitivity and stability and reporting on these subjects. Techniques used are fitting parameters of distributions, goodness-of-fit tests, Monte Carlo simulations.
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Documenting the model, writing documentation and supporting users of the model.
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