Curriculum Vitae
 

Irina Slinko

 

 

Email:

Office: +46-8-7638984

 

 

 

Present Occupation

  
    SEB AB.   Head of Quantitative Modeling and Research, Head of Market and Counterparty Risk Control:
                      -  Member of the Group Wholesale Risk Measurement Committee.
                      -  Responsible for development and maintenance of the SEB Group’s market risk measurement system
 

Education

 

Ph.D in Finance, Stockholm School of Economics                                                             

Fields of specialization: Mathematical finance - interest rate and FX models, credit risk models.

Thesis:  “Essays in Option Pricing and Interest Rate Models”.  Supervisor: Prof. Tomas Björk.

 

2006

 

M.A. in Economics, New Economic School, Moscow

1999

 

M.Sc. in Mathematics (Theory of Probability and Mathematical Statistics), Moscow State University

1997

 

 

Previous Work Experience

    SEB AB. Head of Quantitative Modeling and Research, Market Risk Control                                09/2009-
                                                                                                                                                                      07/2011 
    SEB AB. Quant Modeling and Research, Group Risk Control. Risk analyst.                                         11/2008-
                                                                                                                                                                       09/2009

Swedbank AB. Risk analyst at Group Risk Control.

-  Financial modeling - interest rate and credit derivatives pricing.

-  Development of VaR models. 

-  Market risk control in Ukrainian and Russian subsidiaries.

 

04/2007 –

11/2008

Postdoctoral Researcher, Research Unit of Financial and Actuarial Mathematics (FAM),  Vienna University of Technology.

Joint project of Bank Austria Creditanstalt and FAM: “Modelling of fixed income markets”

 

06/2006 –

04/2007

 

Summer internship at Swedish Central Bank. Creating a model for pricing inflation-linked fixed instruments, modeling exchange rate dynamics in an international market.

 

 

2005

Economist at the Centre for Economic and Financial Research (CEFIR). Project on the structure of fiscal relations in Russia. Research and policy advice.

 

 

2000-2001

Junior economist at the Russian-European Centre for Economic Policy (RECEP).  Analysis of taxation and transfers in the Russian Federation, work with databases.

 

 

1999-2000

 

Teaching Experience

 

Derivatives, Teaching assistant, Stockholm School of Economics

2002–2003

2005

Continuous Time Finance (Graduate), Stockholm School of Economics, Teaching assistant

2004

Risk Management, Teaching assistant, Stockholm School of Economics

2002-2003

Microeconomics, Teaching assistant, New Economics School

2001-2002

  

Research Publications

 

“On finite dimensional realizations of two-country interest rate models”, Mathematical Finance.

 

“Correlation between intensity of default and recovery in credit risk models” (with Raquel Gaspar), SSE/EFI Working Paper Series No 614 (2005), Journal of Credit Risk, forthcoming.

Winner of the Sydney Futures Exchange prize for the best paper on derivatives, as part of 20th Australasian Finance and Banking Conference.

 

“Towards the general theory of “good-deal” bounds” (with Tomas Björk), Review of Finance (2006).

 

“The effects of state capture: evidence from Russian regions” (with E.Zhuravskaya and E.Yakovlev), American Law and Economic Review (2005).

 

Selected Working Papers

 

“Joint Term Structures of Nominal and Real Interest Rates in a Two-Country Setting”, 2006

 

 “Approximations of good deal bounds solutions” (with Tomas Björk), 200

 

“On Finite Dimensional Realizations of the Two-Country Levy driven Interest Rate Modelss”, 2007

 

 

Other Graduate Courses/ Summer Schools

 

“Credit Risk Trading”, Financial Training Partner Course, Copenhagen.

2008

Visiting Cambridge University, Isaac Newton Institute, UK, Associate participant in the Developments in Quantitative Finance Program

 

2005 (Feb)

 

University of Bologna, Department of Mathematics. “Course on risk management of derivative securities. Credit risk”, 2005. Professors: Tomas Björk and Philipp J. Schönbucher

 

2005

Uppsala University. Financial econometrics Lecture Series. “Efficient Methods of Moments: Theory and Applications”. Professors: Ron Gallant and George Tauchen

 

2003

University of Aarhus, Aarhus School of Business, Centre for Analytical Finance. “A geometric view of interest rate theory”. Professor: Tomas Björk.

2001

 

Conference Presentations

 

Bachelier Finance Society - Forth World Congress 2008 (London), AMaMeF 09/2007 (Vienna), PRisMa 2006, Workshop in Risk Management 09/2006 (Vienna), Bachelier Finance Society - Forth World Congress 2006 (Tokyo), Finanskontakt 2006 (Stockholm), Quantitative Methods in Finance 2005, (Sydney), European Finance Association 2005 (Moscow), Stochastic Finance 2004  (Lisbon ), Bachelier Finance Society - Third World Congress 2004 (Chicago).

 

Skills

 

Languages:                      Russian – Native, English – Fluent,  Swedish – Fluent

Computer skills:              MATLAB, VBA, SQL, STATA, LaTeX.