Before joining EconLab, Matej Kozjek worked as senior associate in Grant Thornton Slovenia where his primary focus was banking and risk management advisory. He also held an analyst position in Deloitte financial advisory services Slovenia, also focusing on financial and banking sector. During his time with Deloitte he participated in an AQR of a major Slovenian bank and participated in NPL studies of Slovene banks. Additionally, he has in recent years worked as a contractor on a project for the BAMC (Bank Asset Management Company in Slovenia) and few independent corporate finance (mostly M&A) projects. His key skills are credit risk model development (including data work, model validation and testing, development of supporting tools, assistance in communication with regulators), knowledge of relevant banking regulation and corporate finance skills inclusive of financial analysis, business valuation, cash flow modelling and derivatives valuation. Matej studied Money and finance at Faculty of economics, University of Ljubljana. During his studies his focus was on financial modelling which he improved with exchanges to Witschaftsuniversität (WU) in Vienna and Polytechnic university in Hong Kong. He was a consistent top achiever and received several faculty awards for his achievements. Matej has significant experience in SAS (Enterprise guide and Enterprise miner), Teradata SQL, Matlab and Excel VBA. He usually uses these for data extraction, data preparation (DQ and cleansing), model development and simulations, optimization techniques and in development of algorithms and tools for end users.


Selected references

Development of IRB PD model for an Irish pillar bank‘s SME portfolio: extensive data work (DQ, data cleansing and remediation), segmentation analysis, LRA modelling & supporting analysis, scorecard & calibration, detailed scorecard & calibration testing suite and assessment of RWA impact.

Development of IRB PD model for a Irish pillar bank‘s corporate portfolio: data work, scorecard & calibration, detailed testing suite, RWA impact.

Development of retail A-IRB PD model for a pillar Irish bank‘s residential mortgage portfolio;

Support in TRIM on-site inspection of IRB corporate model of an Irish pillar bank.

Assessment and quantification of DoD change on RWA for all IRB portfolios of an Irish pillar bank.

Portfolio credit risk modeling and quantification of segment VaR and returns for a regional commercial bank with subsequent recommendations on portfolio (optimal) allocation, expansion opportunities, pricing strategy. Development of Excel tool that enables portfolio credit risk quantification and scenario analysis to end users (project co-lead);

Led the development of analytics including the main algorithm Enterprise risk management software solution;

Lead and participated in numerous risk analysis and risk quantification projects for corporates in Slovenia employing advanced statistical techniques, also for the purposes of communication with banks;