Blaž Kovač

MANAGER

Bio

Before joining EconLab, Blaž held a senior associate position at Grant Thornton Advisory Slovenia. Prior to that, he worked as a quantitative analyst in two leading energy companies in the region where his main focus was model development and data management with development of data parsing software. In Grant Thornton his main area of expertise was credit risk modelling with focus on stress testing, IFRS 9 impairment models and their interaction with the Basel framework. Since he joined EconLab, Blaž held a portfolio management position overseeing a corporate banking segment and has worked as project lead for EBA Stress Test and ICAAP. He studied Money and finance at Faculty of Economics, University of Ljubljana with the main focus on monetary economics, financial modelling and time series analysis. His technical expertise includes Python, R, Matlab, SAS, Stata, C#, VB.NET, VBA, MS SQL, My SQL and Teradata.

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Selected references

Project Lead for EBA EU-Wide Stress Test Exercise and advisory on ICAAP Stress Test for an Irish pillar bank. This included IFRS9 PD/LGD model review, development of benchmark PD/LGD/EAD models, IFRS9 Impairment calculations, data, analytics and documentation for regulatory review and industrialization of Stress Test/ICAAP framework.

Advisory on Stress Test development which included development of PD/LGD models and complete stress test engine for Slovenian pillar banks.

Credit Portfolio Management for an Irish pillar bank. This included development of end2end analytical and reporting tools, regulatory compliance, internal model governance and reporting to senior management and stakeholders, capital allocation, RAROC and financial planning (RWAs, ICAAP, Stress Test and Capital Models), development of Early Warning System (EWS) and Risk Appetite Statement (RAS).

Development of macro PD model for LRA assessment within (EBA GL16 compliant) corporate IRB PD model with Development and implementation of a one-parameter representation of credit risk and transition matrices with calculation and forecasting/back-casting of the systematic component.

Development of Algo-Trading solution for intraday electricity market based on AMQP using C# and .NET framework with trading strategies implementation.