Experience
Selected institutional experience
These examples describe Jasmin's contributions in previous institutional roles. They are not presented as JCapRisk client mandates or endorsements by former employers.
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Integrated global risk frameworks and retired legacy models ahead of plan
Institutional challenge
A major banking integration required duplicate methodologies, models, governance structures, and infrastructure to be combined without disrupting regulatory or internal delivery.
Role and contribution
Led methodology integration, model-change planning, validation coordination, stakeholder alignment, and the controlled retirement of duplicate models and infrastructure.
Delivery scope
Integration strategy, quantitative methodology, implementation oversight, governance, cross-functional coordination, and team leadership.
Result
Delivered key integration changes and retired duplicate models and legacy infrastructure materially ahead of plan, enabling earlier decommissioning and reducing maintenance effort, transition risk, and external-support dependency.
IRB model development and credit-risk stress testing
Institutional challenge
Credit-risk models and stress tools needed to connect portfolio behavior, regulatory parameters, RWA, and capital planning through a more consistent and reproducible framework.
Role and contribution
Contributed to IRB-standard PD and LGD development and validation and built automated methods for default-rate, parameter, and RWA stress testing.
Delivery scope
Quantitative methodology, calibration and validation analysis, scenario translation, R-based implementation, documentation, and stakeholder presentation.
Result
Improved the consistency and repeatability of credit-risk assessment, stress analysis, and capital planning while creating reusable tools for execution and reporting.
Validated wholesale, SME, and project-finance rating models
Institutional challenge
Statistical and expert-based rating models required independent challenge, repeatable testing, and management-ready evidence across low-default and specialist credit portfolios.
Role and contribution
Performed quantitative validation and designed SAS-based monitoring, reporting, and documentation for recurring model oversight.
Delivery scope
Discrimination and calibration assessment, stability analysis, benchmarking, monitoring design, technical documentation, and presentation to management and control functions.
Result
Strengthened model transparency, repeatability, challenge, and governance readiness across wholesale and specialist credit portfolios.
Redesigned Swiss stress testing to connect models, expert judgment, and governance
Institutional challenge
Stress testing required a more consistent connection among quantitative models, material-risk assessment, scenario design, expert judgment, controls, and management use.
Role and contribution
Redesigned and implemented a common framework spanning quantitative modeling, vulnerability analysis, expert workshops, documentation, controls, and governance.
Delivery scope
Methodology, implementation, expert engagement, validation preparation, legal-entity alignment, management communication, and recurring execution.
Result
Established a validation-ready and governed framework across Group and a major Swiss legal entity, improving consistency, transparency, and repeatability.
Aligned risk appetite, economic capital, and stress testing
Institutional challenge
Capital, stress-testing, and limit-setting processes used inconsistent assumptions, creating duplicated conservatism and a fragmented management view.
Role and contribution
Aligned methodologies, scenario interpretation, reporting, and governance across risk appetite, economic capital, regulatory capital, and stress testing.
Delivery scope
Methodology alignment, impact analysis, senior stakeholder engagement, governance design, and coordination across Risk, Finance, capital reporting, and business experts.
Result
Reduced double counting, improved comparability across capital views, and gave management a more coherent basis for risk-appetite and capital decisions.
Embedded ongoing performance monitoring across a broad model portfolio
Institutional challenge
A broad portfolio of capital and stress-testing models required consistent performance monitoring, issue prioritization, and evidence for recurring governance and validation.
Role and contribution
Established quantitative metrics, qualitative review, management reporting, documentation, issue tracking, and reusable validation evidence.
Delivery scope
Monitoring design, threshold and metric definition, model-owner coordination, reporting, validation engagement, governance, and remediation prioritization.
Result
Embedded a common monitoring framework across a broad model portfolio, improving early-warning capability, governance consistency, issue prioritization, and validation readiness.
Industrialized BCBS 239-aligned risk production and reporting
Institutional challenge
Recurring stress-testing production depended on fragmented spreadsheets, legacy code, manual handoffs, and separate reporting processes.
Role and contribution
Built modular R workflows covering data checks, model execution, benchmarking, sensitivities, report generation, documentation, and controls.
Delivery scope
Process diagnosis, data controls, quantitative implementation, automated reporting, operating procedures, documentation, and team adoption.
Result
Freed significant specialist capacity, generated material recurring savings, reduced manual error and reporting risk, and created a controlled process the wider team could operate and extend.
Designed direct and reverse credit-risk stress testing
Institutional challenge
Risk and Finance needed a transparent way to connect macroeconomic scenarios with default rates, credit-risk parameters, RWA, and capital-ratio thresholds.
Role and contribution
Designed direct and reverse stress-testing methods and implemented reusable analytical tools in R.
Delivery scope
Scenario translation, default-rate and parameter modeling, RWA and capital analysis, reverse threshold identification, automation, and management presentation.
Result
Enabled repeatable scenario-based capital analysis and identification of critical conditions, giving management a clearer view of credit-risk resilience.
Stabilized stress models for extreme macroeconomic conditions
Institutional challenge
Exceptional macroeconomic conditions exposed stability limitations in operational-risk stress models across Group and major legal entities.
Role and contribution
Designed and implemented permanent methodology enhancements combining quantitative analysis, expert assessment, scenario evaluation, governance, and validation support.
Delivery scope
Root-cause analysis, methodology redesign, implementation, sensitivity assessment, documentation, stakeholder alignment, and controlled production transition.
Result
Replaced temporary treatments with a durable solution, improved model robustness under extreme scenarios, and reduced the need for exceptional manual intervention.
Implemented the Basel III operational-risk capital transition ahead of schedule
Institutional challenge
Operational-risk capital and stressed-RWA treatment had to reflect the Basel III transition consistently across capital, stress testing, reporting, and governance.
Role and contribution
Led quantitative methodology, impact analysis, implementation, and cross-functional alignment with capital, Finance, reporting, and governance teams.
Delivery scope
Regulatory interpretation, methodology design, impact assessment, implementation planning, testing, reporting alignment, and governance.
Result
Implemented the transition methodology ahead of the rule change, improved consistency between capital and stress-testing frameworks, and gave management earlier visibility into the new treatment.
Integrated U.K. ICAAP methodology into a common Group architecture
Institutional challenge
U.K. ICAAP delivery required local prudential needs to be met without duplicating Group methodology, implementation, documentation, and controls.
Role and contribution
Aligned quantitative modeling, expert-based material-risk assessment, local requirements, documentation, governance, and recurring delivery within a shared architecture.
Delivery scope
Methodology alignment, local requirement assessment, model implementation, expert engagement, documentation, governance, and recurring execution.
Result
Reduced duplication, strengthened local-to-Group consistency, and enabled controlled, repeatable ICAAP delivery through a common methodology and governance structure.
Unified litigation-risk methodology across Legal, Finance, and Risk
Institutional challenge
Litigation risk was assessed through overlapping legal, accounting, risk-appetite, and prudential capital lenses, creating inconsistent treatment and duplicated conservatism.
Role and contribution
Initiated and led a governed methodology aligning legal judgment, accounting treatment, quantitative loss estimation, risk appetite, and capital use.
Delivery scope
Cross-functional methodology leadership, stakeholder coordination, governance, documentation, and integration into recurring capital and stress processes.
Result
Established one repeatable cross-functional approach, removed overlapping treatment, and improved the consistency and decision usefulness of litigation-risk and capital assessments.
Built a repeatable valuation-in-resolution assessment capability
Institutional challenge
Resolution-planning exercises required consistent, rapid, and governed assessment of non-financial-risk impacts across Group and major legal entities.
Role and contribution
Designed and implemented a reusable capability covering methodology, automated execution, controls, reporting, and cross-jurisdiction governance.
Result
Used the capability successfully in multiple exercises, improving execution speed, consistency, readiness, and internal ownership while reducing external dependency.
Reengineered Solvency II reporting from days to hours
Institutional challenge
Recurring prudential calculations and reporting relied on a complex legacy implementation with limited documentation and operational fragility.
Role and contribution
Performed Solvency II calculations and risk reporting, supported Executive Board risk reviews, and rebuilt recurring calculations and reporting in R.
Result
Reduced recurring execution from days to hours, lowered dependence on legacy software, reduced reporting risk, and strengthened management oversight.
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Dr. Jasmin Šahbegović
info@jcaprisk.chKreuzlingen, Switzerland