• Responsible for covering market risk of the Bank’s trading portfolio with special focus on structured products and commodities; • Setting and controlling market risk limits (greeks, VaR and other relevant portfolio measures), stress-testing (risk matrices) of non-linear portfolios; • Reporting market risk to the Bank’s top management – regular reports, dashboards and presentations; • Analyzing new products and proposed big/sophisticated trades from market risk point of view; • Developing market risk infrastructure including automation of risk reporting, VaR and economic capital.

• Managing a team of 5 people with the focus on key directions of the budget policy; • Calculating oil and gas revenues, the size of currency interventions, managing the Russian National Wealth Fund

• Conducted stress-test on the portfolio of fixed-income securities according to the methodology of the Central Bank; • Implemented risk budget model on the portfolio of pension reserves – dynamic relationship between VaR and projected P&L by the end of the year; • Created 5-year allocation strategy model of the Fund that allowed achieving the best risk-return allocation between different asset classes; • Implemented portfolio measures: maximum duration, credit quality group, position concentration, etc. • Created and developed complex limit structure on groups, issuers, securities, mortgages, etc.

Derivatives: • Series of trainings on derivatives for Sberbank: prepared presentation materials for the tender (KPMG won), the basic, and the main courses on pricing, ‘Greeks’, CSA, option strategies. Examples of projects: • Large oil company: created long-term model on exploration and development segment. The model included CFS and IS for each type of asset (brownfield, greenfield, shelf, etc). The model allowed considering different scenarios based on macro parameters and specific parameters of each oilfield (e.g. launch, functional currency). • Large mining company: analyzed FX, commodity, IR, liquidity risks, conducted factor analysis (effect on EBITDA), assessed market capacity for each commodity produced, quantified diversification and natural hedge effects. • Large oil company: created pricing model on FX barrier strategy (analytical approach), worked out pricing methodology that allowed avoiding tax accruals. • Large gold-mining company: created pricing model (Monte-Carlo approach) on ‘Asian style’ barrier options, worked out and negotiated premium breakdown for ‘Revenue Stabilizer’ strategy that allowed avoiding tax accruals.

• Designed hedging solutions and financing schemes for corporate clients in CIS and Africa based on clients’ financial profiles; generated ideas on new clients; executed transactions. • Example of project: cross-hedge of jet fuel by Revenue stabilizer on crude oil for large airline based on complex analysis of operating and financing cash flows. • Priced and marketed the following products: Principal-protected note, Credit-linked note, Dual-currency deposit, Twin-win, Airbag, Range Accrual; issued notes. • Worked on securitization of ‘Life consumer finance’ portfolio of bank 'Poidem!' and Probusinessbank.

• Created a VBA application for calculation daily Value-at-Risk on of the bank’s FX portfolio; calculated Value-at-Risk on the portfolio of equities and equity derivatives. • Negotiated credit risk limits on counterparties under particular transactions. • Priced options and other instruments for reporting purposes. • Prepared monthly reports for the Board of Directors on the portfolio of trading, available-for-sale equity securities and derivatives; monthly reports on the bank's FX portfolio (including precious metals).

• Analyzed solvency of the companies in the Watch list, monitored overdue credit events. Worked on loan restructuring and collateral realization. • Prepared memorandum for the Credit Committee on the bank’s credit risk exposure. • Translated instructions and documentation.