IFDM bv

Integrating finance, data and mathematics

Curriculum Vitae

Vladimir N. Kulikov


Born on: 27 January 1976

Address: Robijnring 85,

5629 GJ Eindhoven, the Netherlands

Telephone: +31 6 24852234

Email:     info@ifdm.nl

                V_N_Kulikov@hotmail.com

Company: IFDM B.V.


Work Experience

2015 – present IFDM BV, Eindhoven, the Netherlands

Founder. Main Clients:

ABN AMRO, Amsterdam, the Netherlands (2015 – present)
Senior quantitative analyst at Market & ALM/T Risk

Responsibilities and activities:

Multicurve Scenario modelling project, with the target to develop historical

multicurve (multiple currencies and curves related to the currency) affine model

in order to produce extreme scenario’s for specific portfolio’s and price the risk.


ASR Nederland, Utrecht, the Netherlands (2015 – present)

Senior quantitative analyst at FRM department

Responsibilities and activities:

Consultancy related to Economic Scenario Generation.

Responsible for regulatory/methodological state-of-the-art, external benchmarking, processing and reporting of the Solvency II Credit risk, Solvency I reporting. Involved in various reporting/reviewing processes within FRM department.


2009 – 2015 ASR Nederland, Utrecht, the Netherlands
Senior quantitative analyst at FRM department

Responsibilities and activities:
New product development and support (different kinds of guaranteed investment products). Developed pricing model, researched hedge strategies impact, implemented pricing dll (Java) for online system and hedge tool.

Developed and implemented (Java interface + database structure) pilot system for storage of FRM data in Db and aggregate calculation of various parameters on it. The system is currently used to calculate: Solvency II required capital (some modules), Solvency I update proxy, Stress test proxy, Fair Market value balance.
Developed and implemented (Java) Monte-Carlo type system for pricing embedded optionality in traditional pension contract (including profit sharing and step-out opportunity) and estimation of the risk profile depending on agreed investment strategy. The system uses equity and short rate Interest Rate models.
Developed and implemented (C#) internal Economic Scenario Generator for the liability pricing and risk management purposes.

Worked on selection, validation and implementation of an external Economic Scenario Generator software/service.

Responsible for regulatory/methodological state-of-the-art, external benchmarking, processing and reporting of the Solvency II Credit risk, Solvency I reporting. Involved in various reporting/reviewing processes within FRM department.

Validated various pricing and ECAP models, internal software tooling (various roles).

Developed tooling (Excel VBA and C# ) for automation of FMR tasks and Version Control of Excel-based tools.

Supervised external programmers on software implementation and external consultants on model validation projects.


2005 – 2009 ING Financial Markets, Amsterdam, the Netherlands

Experienced quantitative analyst at HSU (Hybrids and Special Underlyings) group
Responsibilities and activities:
Developed, calibrated and implemented models for option pricing with equity, interest rate and commodity underlyings: local and stochastic volatility models with jumps, mean reverting models (short rate, convenience yield).

Developed algorithms for reporting exposures and sensitivities.

Developed flexible payoff definition algorithms.

Implemented Monte Carlo and Closed Form pricing methods.
Integrated in C++ Sophis Risque toolkit: process simulation; market data loading, interpolation and interpretation; payoff calculation; pricing and sensitivities calculation; communication with Sophis, including GUI and DB modules integration. Improved toolkit performance and tested toolkit dll releases.
Developed Excel (VBA) tools for trading (including Reuters linked and Sophis RiskCom-based).

Directly supported traders (models and software).

Supervised trainees.


2003 - 2005 EURANDOM, Eindhoven, the Netherlands

Postdoc at Statistics, Information and Modeling unit
Responsibilities and activities:

Continued own research on theoretical statistics.
Worked on industrial project on signature analysis in failure monitoring with Oce and Xerox.
Taught Statistics at TU Eindhoven.


2003 Posthuma Partners Advies BV, The Hague, the Netherlands

Junior consultant
Responsibilities and activities:
Statistically analyzed actuarial data for insurance companies.
Implemented statistical tools in Excel (VBA).

Surveyed and further developed applicable statistical methods.


Professional interests

Model-implied volatility surface, calibration to the market;

Kalman filtering, historical model calibration;

Economic scenario generation;

Historical vs. implied modeling;

Model-independent option pricing;

Methods of sensitivities calculation;

Monte-Carlo performance improvement at implementation and integration stages;

Product exposures analysis;

Programmatic integration of mathematical algorithms.

Automation of the data processing/flow.


Education

2003 Ph.D. degree (Mathematics, Statistics)

Thesis subject: “Direct and Indirect Use of Maximum Likelihood”


1999 - 2003 Delft University of Technology
Delft, the Netherlands

Faculty of Information Technology and Systems,

Department CROSS, Statistics Unit
Ph.D. student


1998 Master of Science degree (Mathematics) (cum laude)

Thesis subject: “Asymptotic Behavior of some Functionals of Random Walk and Brownian Motion”


1993 – 1998 Moscow State University,

Moscow, Russian Federation

Mechanics and Mathematics Faculty

Department of Statistics


Publications

  1. Durot, C., Kulikov, V.N. and Lopuhaä, H.P. (2012). The limit distribution of the Linf-error of the Grenander-type estimator. Annals of Statistics. Vol. 40, No. 3, pp 1578-1608, 2012.
  2. Kulikov, V.N. and Lopuhaä, H.P. (2008). Distribution of global measures of deviation between the empirical distribution function and its concave majorant. Journal of Theoretical Probability. Vol. 21, No. 2, pp 356-377, 2008.
  3. Kulikov, V.N. and Lopuhaä, H.P. (2006). The behavior of the NPMLE of a decreasing density near the boundaries of the support. Annals of Statistics. Vol. 34, No. 2, pp 742-768, 2006.
  4. Kulikov, V.N. and Lopuhaä, H.P. (2006). The limit process of the difference between the empirical distribution function and its concave majorant. Statistics and Probability Letters. Vol. 76, No.16, pp 1781-1786, 2006.
  5. Kulikov, V.N. and Lopuhaä, H.P. (2005). Asymptotic normality of the Lk-error of the Grenander estimator. Annals of Statistics. Vol. 33, No. 5, pp 2228-2255, 2005.
  6. Kulikov, V.N. (2003). Direct and indirect use of maximum likelihood. PhD thesis. TU Delft.


Languages

Russian – native, Dutch and English – fluent.


Programming languages and computer systems

Programming languages: C#, C++, VBA, Java, SQL, Fortran.

Deal capture systems: Sophis Risque (including toolkit programming in C++ and RiskCom-based tools)

Economic Scenario Generators: Moody’s Analytics (previously Barrie&Hibbert), Conning (GEMS).

Mathematical packages: Matlab, SPLUS, Mathematica.

Some experience with Reuters and Bloomberg tools.


Hobbies

Bow shooting, volleyball, alpine and cross-country skiing, reading, picking a car and exploring new places.