Biography
I am a highly motivated and results-driven economist with a strong educational background in theoretical and empirical economics, complemented by invaluable experience in research and financial risk management. Holding a PhD degree in Law & Economics from the University of Turin, I bring a solid academic foundation to my work.
I specialize in banking and financial regulations, with a focus on model risk management and model validation. My work includes validating credit risk models to meet ECB, Basel II/IV, and IFRS9 standards, and advising clients on model risk frameworks, market benchmarks, and tech-driven solutions.
Download my CV.
- Financial Risk Management
- Credit Risk
- Model Risk
- Tranfer Pricing
- Industry Organization
- Economic History
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PhD in Law & Economics, 2016
University of Turin
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MSc in Economics, 2012
Vrije Universiteit Amsterdam
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BSc in Economics, 2010
University of Economics in Prague
Professional Experience
My expertise lies primarily in banking and financial regulations, with a specialized focus on two key areas: model risk management and model validation.
In model validation, I concentrate on credit risk models, covering audit, validation processes, and methodological design, while ensuring compliance with regulations such as the ECB Guidelines, Basel II, and IFRS 9.
In the area of model risk, I provide advisory services to clients, offering insights into model risk frameworks, conducting comprehensive market surveys and benchmarks, and contributing to the development of end-to-end technological solutions.
Key Focus Areas:
- Model Risk Management Design
- Model Audit
- Model Validation
- IFRS 9 & IRB Modelling
- Fund Transfer Pricing
- Leading IFRS 9 model monitoring and review for the Professional Real Estate portfolio of a systemically important financial institution in the Netherlands, ensuring compliance with internal standards for audit purposes.
- Designing a comprehensive model validation framework and guidelines for a multilateral development finance institution.
- Developed a model risk management framework for a multilateral development finance institution, encompassing peer benchmarking, risk tiering, inventory design, model identification and categorization, lifecycle design, and defined roles and responsibilities.
- Co-author of the PwC Model Risk Management Survey, offering insights into current trends and practices in the MRM landscape.
- Designing a technical solution for Fund Transfer Pricing and leading its implementation for a small bank.
- Leading IRB and IFRS 9 model testing and reporting Retail & SME team (10-14 members) for a systematically important bank in the Netherlands
- Designing model typology for a large Czech bank
- Organizing multiple IFRS 9 model audits within PwC
- Reviewing IRB Conservatism, testing New Definition of Default
- Leading model audits for TBC Group and TBC Leasing in Georgia
- Business owner of PwC Model Risk Manager
- Leading model calibration including Margin of Conservatism estimations for a systemically important financial institution in the Netherlands
- Project leadership in development of automated model validation solutions
- Project leadership in development of model risk management solutions
- A product owner of IRB and IFRS 9 model testing and reporting team (using Agile techniques) for a systemically important financial institution in the Netherlands
- Supervision of IFRS 9 model validations and model audits in Europe and Asia (Achmea Bank, Aegon Bank, TBC Group, Basis Bank, VLK Bank etc.)
- Development of IT solutions for model testing and validation reporting for PwC (R, LaTeX, SQL)
- Developing model validation frameworks (PD, LGD, EAD, scoring and macroeconomic models)
Accomplishments
Research
My research philosophy is that good economic history is a combination of extensive knowledge of historical facts with the rigor of rational choice theory. As a result, my research interests are mainly in microeconomic history. In particular, I specialize in microeconomic analysis of historical institutions.
I am currently a Research Fellow at Monetary Research Center of University of National and World Economy in Bulgaria. I hold Ph.D. degree in Comparative Analysis of Institutions, Economics & Law from the University of Turin.
Fields of research:
- Economic history
- Microeconomics
- Institutional economics
- Game theory
- Industrial organization
Publications
Contact
- david.dolejsi@gmail.com
- +420 731 582814
- Prague, Czech Republic, EU