Bio

Joining the EconLab team in 2019, Alen Rožac‘s work for EconLab includes development of stress testing models and other credit risk models among other provided consulting services. Before joining the EconLab team, Alen worked in the banking and consulting industries in the fields of risk, finance, and organization. His quantitative analytical work often requires the use of tools such as Python and R, but he is also experienced in financial and process management consulting for start-ups. Alen holds an undergraduate degree in Money and Finance and is pursuing his graduate degree in Money and Finance, both from University of Ljubljana. Alen’s main tool of choice is Python, but in addition to that, he also uses other tools such R, SQL, Matlab, and VBA

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Selected references

Development of stress testing models (EBA); including the calculation of transition matrices and IFRS9 impairments. Forecasting and back-casting of key stress testing parameters. PD & LGD modelling, ECL benchmarking, and stage transition methodology.

Validation of credit rating models for Slovenian banks. Data representativeness analysis in Python and R.

Investment strategy planning and support. Successful establishment of a start-up group entity Developer of a group-wide financial model. Development of KPIs for start-ups (project consultant).

Development of ML extreme rare event classification models in Python and related automated monitoring tools. Process optimization for a Slovenian bank. Development of process-oriented monitoring tools.