Software Development

The programming work in my consulting projects is mainly done in the open source statistical software R but to some extend also in C++ and Excel. Examples of development projects are:

• Support in replacing expensive commercial statistical software by transferring code functionality to the open source statistical software R
• Development of a proprietary R package for PD, LGD and prepayment models
• Development of a proprietary R package for credit risk concentration measurement where performance critical parts were implemented in C++
• Development of a C++ library for hurdle rate calculations during loan origination together with a user interface to Excel