Pavel Obraztcov

Thesis: "Essays in Empirical Economics" Teaching • Econometrics: Advanced Methods (master level); • Data Science for Economists (master level); • Microeconometrics (master level); • Econometrics 2 (undergraduate level); • Managerial Economics 2 (master level); • Macroeconomics 2 (undergraduate level). I am planning to submit my PhD thesis in September 2022.

Participated in several projects where my main responsibilities were • reviewing and writing Stata, R, and C++ code to perform data processing and empirical analysis (web scraping, regression methods, geospatial analysis); • preparing literature reviews; • providing assistance in writing referee reports for papers under review.

• Headed a small (6 people) team of analysts validating models used for risk management; • Performed and coordinated validation of predictive models; • Developed guidelines for risk model validation in Sberbank Group (Sberbank Russia, DenizBank, Sberbank Europe, Cetelem Russia); • Communicated with regulators on the Internal Ratings-Based approach to capital requirements calculation (on issues regarding the use of prediction models).

• Made forecasts of allowance for loans impairment (a Markov chain model); • Planned and predicted sales, portfolio volumes, incomes and expenditures; • Took part in developing a financial model for Bank’s business plan (Balance and Income statements); • Predicted capital adequacy ratio (based on the business plan); • Took part in stress-testing (top—down approach according to a scenario provided by the Central Bank of Russia).

Analysis of portfolio credit risk (September 2006--July 2007): • Estimated credit risk for retail products at portfolio level; • Developed models to predict the amount of overdue loans (a simple Markov chain-like model); • Performed cluster analysis of subsidiaries based on their riskiness and return (k-means, divisive and agglomerative hierarchical clustering).