Alex Wendelborn
Manager @ KPMG US | Valuation Specialist
- Role
- Manager, Complex Valuation at KPMG US
- Location
- Scarsdale, NY, US
- LinkedIn followers
- 500 followers
About Alex Wendelborn
With extensive experience in the financial and professional services, I specialize in financial instrument valuation, covering equity and interest rate derivatives, debt securities, and private credit. I have a master\'s degree in statistics from Baruch College, where I graduated with a 4.0 GPA and received multiple awards and fellowships.As a Manager at KPMG, I assist audit as a specialist by performing independent price verification on hard to value financial assets, using the risk neutral pricing framework and fundamental credit risk analysis. I am skilled in R, Python, Alteryx, and various business intelligence tools, which I have used to automate and enhance multiple operational and financial processes for clients. I am passionate about applying my statistical knowledge and technical skills to solve challenging valuation problems and deliver high-quality results. I have passed CFA levels 1 and 2.
Experience
Manager, Complex Valuation
Oct 2023 — Present · New York, NY, US
Obtained significant experience pricing illiquid debt products including private credit by- Leveraging matrix pricing - Analyzing financial credit ratios and how they changed over time to assess changes in the credit quality of issuers - Adjusting implied credit spreads from comparables for changes in benchmarks and creditworthiness • Priced synthetic risk transfers (similar in structure to CLOs) in Excel by modeling the underlying collateral and building the cash flow waterfall• Conducted model validations for a leading financial services company, supporting a major acquisition. Models validated included- Consumer credit receivable fair value models (credit card, consumer and home loans with a loan balance over $100 billion)- Pro forma CCAR forecasts for the pending acquisition• Utilized Python to price bespoke exotic derivatives with multiple underlyings from different asset classes. With Numpy Python code, developed Monte Carlo pricing models. Created analytics to validate the model\'s accuracy and reliability• Acted as the primary contact on audit assist engagements and reviewed associate\'s valuation memos to ensure pricing procedures are appropriate and accurate• Mentored and provided valuation training to associates• Reviewed a large bank\'s IPV processes for reasonableness and effectiveness• Assessed a private credit firm\'s valuation control process by evaluating and stress testing the internal pricing model• Scope of valuation work included (but is not limited to): exotic equity derivatives, structured products (ABS, CLOs, MBS, etc.), private credit (including term loans, revolvers, PIK notes, etc.), bonds, and commodity derivatives
Education
University of Wisconsin-Madison
Capstone Certificate, Actuarial Science
2012 — 2014
Vanderbilt University
BA, Mathematics
2006 — 2010
Baruch College
Master's degree, Statistics
2020
Skills
- Passed Soa Exam P
- Passed Soa Exam Fm
- Passed Cfa Level I
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