Treasury Management; Trading / Asset & Liability
market, repo, forex, fixed income, market / credit derivatives,
asset & liability management, market / rate / volume modelling, funds
transfer pricing, treasury accounting.
Treasury Strategy / Financial Engineering / Structured
Products / Risk Management1:
portfolio construction, trading, pricing and hedging strategy,
continuous time finance & asset pricing, simulations, structured
products, documentation, value at risk, risk & return optimization, RAROC.
Senior Vice President, Garanti
Bank, Treasury Strategy & Corporate Treasury,
Istanbul 04/05 - present
Heads the Department in charge of formation of the Bank’s Treasury
strategy and management of the Bank’s Corporate Treasury.
Works closely with Executive Vice President for building trading,
investment and funding strategies; pricing and analyzing complex deals;
financial-engineering transaction structures; performing risk & return
and portfolio optimization analyses; and quantifying asset and liability
management framework. Designs, develops and implements sound
quantitative analyses ensuring that high quality, timely and critical
pricing, trading, hedging, risk and performance analyses are available.
Advises and coaches dealers.
Treasurer of the Bank’s Corporate Treasury. Manages the department
conducting treasury functions of the Bank’s financial subsidiaries.
Daily activities incorporate all typical treasury activities of a
financial institution including (i) securities, FX and derivatives
trading, (ii) MM and repo transactions, and (iii) hedging.
Vice President, Garanti
Financial Engineering & Quantitative
Ensured continual improvement of analytical approaches for pricing,
trading, hedging, risk management and performance assessment through
simulations and parametric models within financial engineering
framework. Monitored and computed duration, convexity, swap, credit and
option adjusted spread of fixed income securities to guide dealers on
relative value trading and portfolio allocation. Calculated market
implied default probabilities. Monitored emerging and G7 markets, and
ROT securities and FX closely and advised trade opportunities and hedge
alternatives promptly. Built models to quantify the basis and credit
risk of the fixed income portfolio.
and Liability Management (ALM), Portfolio Analytics & Asset
Set up portfolio risk & return / funding cost optimization models and
conveyed risk adjusted return analyses; RAROC, ROE; for trading, ALM and
funds transfer pricing. Conducted a wide range of ad hoc analyses on ALM;
asset allocation / funding segmentation. Modeled term structure of
interest rates, rate and volume of B/S & I/S items, carried net interest
income and net economical value at risk analyses. Guided on interest
rate and liquidity risk management. Member of “ALM Project” team.
Derivatives & Structured
Priced / initiated structured products and transactions employed for
trading, B/S management, market & credit risk management and BIS capital
relief. Priced structured products and derivatives in areas of fixed
income, FX and credit. Proficient in credit derivatives pricing (TRoRS,
CDS, CLN, and etc). Tracked basis between spot and credit derivatives
markets to identify trade opportunities and hedge alternatives. Also
acquainted with the documentation of structured products and
transactions; ISMA, ISDA, CSA and OSLA.
Management & Benchmarking:
Originated projects dealing with the trading portfolios’ market risk,
capital adequacy, liquidity, earnings, and profitability. Computed VaR
of trading desks, ran scenario analyses and stress loss tests. Also
conveyed same analyses for market benchmarks for performance comparison.
Explored P&L and positional impacts of market movements. Budget trading
risk. Quantified portfolio size and stop-loss limits, monitored
breaches. Guided traders on risk, P&L and limit utilization. Advised
hedging alternatives through market traded and/or synthetic products
created via neutralization of greeks. Member of “Market Risk Committee”.
Member of “Liquidity Crisis Management” team.
Treasury Accounting & Middle Office:
Had hands-on experience in accounting of treasury products regarding IAS
and Turkish Accounting Standards. Developed the bank’s securities system
utilizing different valuation techniques for IAS defined portfolios (AFS,
OL&R, H to M, Trading). Laid out and sketched the deal flows and
business processes of Middle Office together with FO, BO, ICU, FI and
Accounting. Designed models and systems for proofreading, on/off market
price checking, counterparty limit controlling.
Dealer, Ottoman Bank, Treasury, Istanbul
- Led financial engineering
and risk management in treasury department.
- Developed the valuation and
hedging schemes of derivatives.
- Designed structured
products for high yield Corporate and Private Banking clients.
- Computed and monitored
greek hedges, and through "Value at Risk" analysis and "RAROC", provided
critical guidance on the optimization of the risk & return profiles
of the bank's portfolios.
- Excelled at a wide range of
financial engineering methodologies and their real life applications.
Built own Excel models on continuous time finance & asset pricing;
asset & liability management, portfolio risk & return
optimization, VaR & market risk management.
Senior Financial Analyst,
Alpha International, Inc., Washington, DC
- Structured the model fixed
income and equity portfolios as the quantitative
- Actively participated in
all phases of equity / fixed income research.
Financial Analyst, Merrill
Lynch, Arlington, VA
- Exposed to the management
of the risk and return structure of the private client portfolios
regarding to the modern portfolio theory and clients' risk
- Practiced client
relationship management strategies.
Treasury Dealer, Demirbank
Management Trainee, Demir Investment,
- Experienced in all typical treasury
- Managed the cash flow of
Obtained fixed income broker certificate.
- Conducted the daily
settlements of mutual funds. Prepared market performance
Financial Analyst, Mirtur
06/93 - 07/94
- Performed feasibility
analyses (NPV, IRR and Cost/Benefit) of projects.
- Developed a new project
cash flow management system for the
Follow this link to view & download Metin
Kilic's models. (Term
Structure Modelling & Balance Sheet Simulation, Option Pricing under
Stochastic Volatility and Interest Rates, Value at Risk Models, Credit
Risk & Default Probability Modeling, Credit Default Swap Valuation,
Credit Linked Note Valuation, Monte Carlo Simulations, Jump Diffusion
Process, Greek Neutral Trading, Risk and Return Optimization in
Portfolio Management (RAROC), Risk & Return Optimization in Project