Primož Durcik joined the EconLab team in 2019. His work for EconLab includes development of stress testing models and other credit risk models among other provided consulting services. Primož holds an undergraduate degree in Financial mathematics from Faculty of Mathematics and Physics of University of Ljubljana and is currently finishing the Financial mathematics master’s programme. Before joining EconLab, Primož focused on his studies, during which he also studied for 5 months at the School of Economics and Management (ISEG) of University of Lisbon. He also participated in several projects focused on finance, statistic and computer science. Besides being an experienced user of R and Python, his competences include SAS, MATLAB, SQL and Mathematica.


Selected references

Development and code development in R of stress testing models (EBA; credit risk stress testing methodology).

PD and LGD modelling (BACE-ARDL modelling). Support in development and upgrade of various stress test-related models and tools. Forecasting and back-casting of key stress testing parameters.

IFRS9 impairment calculation (including ECL, lifetime loss rates and P&L calculation). ECL benchmarking.

Stage transition methodology (top-down construction of IFRS9 stage transition rates, as well as the calculation of stage transition probabilities). Development and code development in R of models to incorporate sector concentration into systemic PD model.

Development and code development in R of policy response model and supervisory challenger model based on core econometric model. Estimation of supply and demand parameters and prediction bank’s profit and loss statements and balance sheet also using regulatory ratios.