Biography
I am a highly motivated and results driven economist who has an education in theoretical and empirical economics with invaluable experience in research and financial risk management. I hold a PhD degree in Law & Economics from the University of Turin. Currently, I am a manager in the PwC Czech Republic leading model validation and model risk management streams.
Download my CV.
- Financial Risk Management
- Credit Risk
- Model Risk
- Industry Organization
- Economic History
-
PhD in Law & Economics, 2016
University of Turin
-
MSc in Economics, 2012
Vrije Universiteit Amsterdam
-
BSc in Economics, 2010
University of Economics in Prague
Professional Experience
In PwC, I lead credit risk model validations and risk management for PwC CEE Financial Risk Modeling team in Prague. My expertise is in the area of banking and financial regulations with a particular focus on model risk management and model validation. I have experience in leading end to end development of complex model risk solutions. I am a product owner for the CEE PwC model inventory solution PwC Model Risk Manager.
I advice my clients in the area of Advanced IRB and IFRS 9 modeling. Over the past years, I have supported first and second line of defense at financial institutions and PwC audit teams in Netherlands, Central Europe and Asia. My focus is on the following areas:
- Model audit and validation
- Performance evaluation
- Testing framework design
- Conservatism estimations and downturn identification
- Model risk and model risk management
- 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)
- Supervision of IFRS 9 model validations, model testing and impairment calculations for multiple audits of Dutch banks
- IFRS 9 models testing and validation for the audit of the large CEE banking group and its entities
- IFRS 9 models validation and impairment audit for the audit of Dutch insurance banks
- IFRS 9 models testing and validation for the audit of the large Georgian banking group
- LGD, EAD, RR and PD models development within the CEE region
- Development of model validation frameworks and validation IT solutions for PwC
- R, R markdown, R Shiny and SQL programming
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