Oleg Chernyshev

Senior Manager @EY

Financial Services Risk Management• Key clients: top-10 Russian banks.• IFRS9: Lead several projects in Russia and CIS related to IFRS9 implementation, including development of target model, methodology, LLP calculation prototype, LLP calculation process.• ICAAP: several projects of implementation of 3624-U reqirements (for top-5 bank and for smaller banks)• Basel II Credit risk model validation: qualitative and quantitative validation of Retail and Corporate Credit risk models for large Russian banks, identification of model limitations, analysis of compliance with CBR and Basel II requirements• Large Russian corporate holding: assessment of financial risk management framework.• IAS 39 Loan Provisioning: development of the methodologies for loan provisioning under IAS 39, implementation of related models for collective and individual provisioning• Leadership in project work streams, guidance of junior staff• Active communication with client, participation in meetings with senior management• Development of Risk Management policy for credit institution in accordance with CBR and internal group requirements • Stress-testing: Participation in macroeconomic model development, implementation of dynamic stress-testing model for capital adequacy• Interest Rate Risk in Banking Book model validation, including development of the methodology, qualitative validation and back-testing• Liquidity Risk model validation, including development of methodology, analysis of Basel compliance, data extraction and back-testing