Henrique Costa

Quant Finance and Risk Management | Strategy, Credit Risk and Profitability

Education


M.Sc. Applied Economics
Federal University of Mato Grosso (Brazil) 2017 — 2019

B.A. Economics
Federal University of Mato Grosso (Brazil) 2013 — 2017

Selected Work Experience

Senior Credit and Market Risk Analyst

Credsystem, São Paulo, SP - Brazil Jun 2024 — Present

Providing:

  • Integrated Risks
  • Policies and Model Validation
  • Regulatory Risk - Prudential
  • Stress Test Program
  • Credit Risk modeling (Expected Losses models)
  • IFRS (9 & 17) modeling
  • CMN/BCB 4.966-21 & BCB 352-23
  • Market Risk
    • \(\Delta\) NII and \(\Delta\) EVE
    • Risk monitoring of market exposures (Value at Risk, VaR Stressed, CVaR-ES);
  • Enterprise Risk

Strategy, Credit Risk and Profitability

QuintoAndar, São Paulo, SP - Brazil Oct 2022 — Jun 2024

Providing:

  • Profitability modeling (NPV)
  • Credit Risk modeling (Expected Losses models)
  • IFRS (9 & 17) modeling
  • Enterprise Risk

Academic Advisor

MBA in Data Science & Analytics - USP/Esalq, São Paulo, SP - Brazil Sept 2021 — April 2023

Monograph advisor:

  • Course Conclusion Paper Guidance for MBA students in Data Science & Analytics.

Financial and Regulatory Risk

Crefisa Bank, São Paulo, SP - Brazil Feb 2022 — Oct 2022

Providing:

  • Risk and Capital Management (BACEN based on the Basel agreement) for S4

  • Risk monitoring of market exposures (Value at Risk, VaR Stressed, CVaR-ES)

  • Financial Risk Management regulatory reports:

    • Daily Risk Statement - DDR,
    • Market Risk Statement - DRM,
    • Liquidity Risk Statement - DRL,
    • Statement of Operational Limits - DLO and
    • Statement of Individual Limits - DLI.

Risk Analyst in Structured Finance

Liberum Ratings, São Paulo, SP - Brazil Jan 2021 — Feb 2022

Providing:

  • Risk assessment in Structured Finance (Specialized in Credit Rights Investment Funds - FIDC)
  • Assignment and monitoring of risk classifications (ratings)
  • Market risk assessments (macroeconomic)
  • Assessments of sectoral (microeconomic) risks

Retirement Fund Risk Analyst

Agenda Assessoria (Consultancy), Cuiabá, MT - Brazil Jan 2020 — Jan 2021

Providing:

  • Assessment of financial risks in investment fund portfolios
  • Development of investment policies for retirement funds
  • Monitoring of Economic Indicators
  • Stress scenarios based on Foward-looking analysis
  • Technical report of investment portfolio for Own Social Security System - RPPS (Retirement Fund Risk Assessments)
  • Market risk assessments (macroeconomic)
  • Assessments of sectoral (microeconomic) risks

Researcher and Data Analyst (Consultancy)

Fiemt - Federation of Industries in the State of Mato Grosso, Cuiabá, MT - Brazil —

Providing:

  • Data wrangling process for industrial sector data.
  • Building dashboards (PowerBI)
  • Macroeconomic reports

Corporate Credit Analyst

Gerencial Factoring Fomento Mercantil, Cuiabá, MT - Brazil Jan 2018 — Oct 2019

Providing:

  • Credit and corporate risk analysis for credit assignment.
  • Operations for acquiring credit rights (anticipation of receivables).

Accounting and Finance Department Intern

Mato Grosso Cotton Growers Association - AMPA, Cuiabá, MT - Brazil Dec 2015 — Dec 2016

  • Intern, in the Accounting and Financial Control Department of the Mato Grosso Association of Cotton Producers (AMPA - Algodão de MT).

Teaching Assistant - Econometrics

Federal University of Mato Grosso (Brazil) July 2014 — Jan 2019

  • (When I was in undergraduate) Helping undergraduate students to understand the theoretical and practical basis for solving homework assignments, in addition to application in R language
  • Support for students who participated in the Introductory Data Science courses in R Language
  • (When I was in my master’s degree) Assisting the econometrics teacher in introductory classes, applying and correcting econometrics tests, in addition to providing support with homework

Research Assistant

Federal University of Mato Grosso (Brazil) Jan 2014 — Dec 2015

  • Participating student, researcher assistant, (execution, economic statistics, production and market analysis) in the research project, Santander Universidade Solidária - Sustainable Development in the Pantaneira Hydrographic Basin: implementation of agroecological practices in Cooperangi - Poconé - MT, Banco Santander.