Deputy Head of Division- Stress Test Modelling Division, DG Macroprudential Policy and Financial Stability
EUROPEAN CENTRAL BANK
Christoffer is Deputy Head of the Stress Test Modelling Division of the ECB's Directorate General Macroprudential Policy and Financial Stability. He has a leading role in the ECB’s work on macroprudential stress testing and in the team conducting the top-down challenge in the ECB/SSM supervisory stress tests, and has been involved in various stress test exercises in EU/IMF programme countries. He has also been extensively involved in quantitative impact studies of regulatory reforms, such as the macroeconomic assessments of Basel II and Basel III, derivatives reforms and TLAC.
Previously, he worked as a Principal Economist for 8 years in the ECB's Monetary Policy Directorate and he also worked at Danmarks Nationalbank.
He has published several articles on monetary and macroprudential policy issues in academic journals and books. He holds an MSc in Economics from Aarhus University and Université Paris 1 Panthéon-Sorbonne and an MSc in Finance from Copenhagen Business School
Senior Risk Specialist- Model Risk Manangement
Dherminder Kainth is a senior risk specialist within the PRA. Prior to joining the PRA he spent 17 years at RBS where I was head of Model Risk Management, responsible for defining the model risk framework and independent validation of all models across the organisation. Over my time at RBS I have worked on most model types, but with a particular focus on derivative valuation and risk models. My further education was at Cambridge, where I obtained a PhD and conducted postdoctoral research in condensed matter physics.
Vice-President and Head, BMO Model Validation
Ms. Lenarduzzi leads the Model Validation function for BMO Financial Group and is accountable for the assessment and vetting of models, including the evaluation and management of model risk at the enterprise level.
Her previous roles include Vice-President North American Business Services for BMO Financial Group, supporting the Canadian and US Personal and Commercial Bank. In this role, Ms. Lenarduzzi was accountable for delivering customer-centric fraud management and authentication experiences to BMO's Personal and Commercial customers across North America as we as card management, credit card underwriting and the management of vendor relationships related to payments.
Ms. Lenarduzzi has also held the role as Vice-President Canadian Consumer Credit Risk Enterprise Risk & Portfolio Management, BMO Financial Group Ms. Lenarduzzi was accountable for providing the appropriate risk oversight to the consumer segment of P&C and was also accountable for ensuring compliance to applicable regulations.
Ms. Lenarduzzi began her career with BMO in 1998 working in analytics for credit cards. She worked in progressively more senior roles and in credit risk analytics roles at another Financial Institution. Ms. Lenarduzzi rejoined BMO in 2007 as part of the Consumer Portfolio Management Group within P&C Risk where she was accountable for improving in Basel II Risk Quantification and Validation, and automated loan decisioning processes.
Holding a Bachelor of Chemical Engineering, a Master of Applied Science and an MBA, coupled with 10+years of banking experience, Ms. Lenarduzzi has a unique combination of technical skills and business acumen.
Head of Model Monitoring
Horst Kausch has over 17 years experience in the financial industry. He joined HSBC in 2005 and has held a variety of roles as the risk analytics function developed. He is currently Head of Model Monitoring in Global Risk Analytics at HSBC having established model monitoring across the function covering Market and Counterparty Credit Risk, Wholesale Credit Risk, Operational Risk and Financial Crime Risk models.
Prior to joining HSBC, Horst held various roles in risk methodology at Citigroup. Horst holds a PhD in Theoretical Physics from Cambridge University and spent 10 years as a research scientist prior to joining the financial industry.
Managing Director, Global Head of Risk Methodology
Eduardo Epperlein, Managing Director, Global Head of Risk Methodology, NOMURA INTERNATIONAL
Eduardo Epperlein has over 20 years experience in the financial industry and is currently Managing Director and Global Head of Risk Methodology at Nomura. He is responsible for credit, market and operational risk methodology, as well as stress testing anaytics. Prior to joining Nomura, Eduardo held various roles in risk methodology at Citigroup, including model validation. Eduardo holds a PhD in Plasma Physics from Imperial College, London, and spent 10 years as a research scientist prior to joining the financial industry.
Managing Director, Global Head of Model Validation
Slava Obraztsov has been Global Head of the Model Validation Group at Nomura since 2007. His previous roles include Global Head of Model Validation at Bear Stearns, Senior Quantitative Model Risk Analyst at Commerzbank and Head of Risk Analytics at ANZ. He was awarded a PhD in Mathematics from Moscow State University and has held a number of academic positions at Russian and Australian universities.
Head of Traded Risk Analytics, Global Risk Analytics
Paul is the Global Head of Traded Risk Analytics at HSBC, overseeing the development of Market Risk and Counterparty Credit Risk models across the bank. Paul has been at HSBC working in modelling for over 15 years. Prior to this, he received a PhD studying quantum mechanical behaviour in plasmas.
Executive Vice President, Head of Model Risk
Agus Sudjianto is an executive vice president and head of Model Risk for Wells Fargo, where he is responsible for enterprise model risk management.
Prior to his current position, Agus was the modeling and analytics director and chief model risk officer at Lloyds Banking Group in the United Kingdom. Before joining Lloyds, he was a senior credit risk executive and head of Quantitative Risk at Bank of America.
Prior to his career in banking, he was a product design manager in the Powertrain Division of Ford Motor Company.
Agus holds several U.S. patents in both finance and engineering. He has published numerous technical papers and is a co-author of Design and Modeling for Computer Experiments. His technical expertise and interests include quantitative risk, particularly credit risk modeling, machine learning and computational statistics.
He holds masters and doctorate degrees in engineering and management fromWayne State University and the Massachusetts Institute of Technology.
Managing Director, Global Head of Regulatory Compliance and Operational Risk Analytics
Giles is responsible for development and imbedding of advanced analytics capability across Global Risk globally. Activity examples include bank-wide predictive risk management framework, cyber risk identification, automation and behavioural analytics, surveillance analytics and capital modelling. Giles chairs Model Risk Oversight Committees.
Prior to joining HSBC, he worked in other highly quantitative roles, including positions at Goldman Sachs and Deutche Bank. Giles has Quant Risk Management and Algorithmic Trading development background.
Head of Portfolio Analytics for Market and Credit Risk
Dr. Peter Quell is Head of the Portfolio Analytics Team for Market and Credit Risk in the Risk Controlling Unit of DZ BANK AG in Frankfurt. He is responsible for methodological aspects of Internal Risk Models, Economic Capital and Model Risk. Prior to joining DZ BANK AG Peter was Manager at d-fine GmbH where he dealt with various aspects of Risk Management Systems in the Banking Industry. He holds a MSc. in Mathematical Finance from Oxford University and a PhD in Mathematics. Peter is member of the editorial board of the Journal of Risk Model Validation.
Co-Founder and CEO
Jos is the co-founder and CEO of Yields.io. Prior to his current role he has been active in quantitative finance both as a manager and as an analyst. Over the past 15 years he has been working with leading international investment banks as well as with award winning start-up companies. He is the author of multiple patents applying quantitative risk management techniques to imbalance markets. Jos holds a PhD in superstring theory from the University of Leuven (Belgium).
Global FRTB Programme Director
Azar has over 10 years of experience in Financial Risk Management. Currently he is the Global Programme director for the FRTB project at Mizuho. He also manages the current Global VaR platform. Previously he was at Barclays capital for 7.5 years, where he worked with Equity derivatives risk management and risk reporting and also in counterparty credit risk.
Azar has a doctorate degree in Neuroscience and Masters in Computational intelligence.
Head Portfolio Quantitative Research CB Markets
LLOYDS BANK COMMERCIAL BANKING
Head of Risk Management
Roberto is currently Head of Risk Management of Banca Carige and previosly has been in the Model Validation of Banco BPM. Before he was portfolio manager for Quaestio Capital and San Paolo IMI Asset Management with a focus on tactical asset allocation and volatility strategies. He has also been Head of Credit Derivatives Structuring at BBVA and Senior Quantitative Analyst in credit derivatives at Banca IMI and equity derivatives at Lehman Brothers. He holds a Bachelor's degree in Economics from Università Bocconi in Milan. He also holds a MA in Economics from Universita` Bocconi and MS in Financial Mathematics from University of Chicago.
Managing Director, Global Head of Quantitative Model Risk
Rajiv Sesodia is Global Head of Quantitative Model Risk and a Managing Director at Standard Chartered Bank.
Co-Head of Model Risk Management
Keith Garbutt is a Managing Director in the Risk Division of Credit Suisse, based in London. He leads Enterprise Risk Innovation, seeking to improve risk management capability and efficiency through the use of advanced technologies and process excellence. Keith was previously head of Model Risk Management, designing and implementing Credit Suisse’s global MRM programme.
Keith joined Credit Suisse in 2004 from Deutsche Bank, where he was global head of pricing model validation. Prior to that he worked at Bankers Trust and HSBC Samuel Montagu.
Keith holds a Ph.D. and Master of Engineering in Aeronautics and Astronautics, both from the University of Southampton, UK.
Director-Group Market Risk
Lutz Weinert is a Director in Group Market Risk at Commerzbank AG with a focus on counterparty risk infrastructure and processes. He manages the infrastructure which runs an internal model covering a range of risk topics, including counterparty risk controlling, regulatory capital, and xVA. As a project manager Lutz is responsible for regulatory model changes and model audits. Over the last 12 years Lutz held a number of risk management position in Commerzbank. Previously Lutz worked as a consultant on risk management topics. Lutz holds a diploma in Economics from Otto-von-Guericke Universität Magdeburg.
Dr. Milan Dragaš
Head, Market Risk Analytics, Europe,
STANDARD CHARTERED BANK
Milan has been with Standard Chartered Bank in London for 7 years, where his current job title is the Head of Market Risk Analytics, Europe. His main work interests include looking after the FRTB development (Residual Risk, SBA, ES), Market Risk and XVA VaR model methodology, backtesting, and writing code for bank’s Risk Analytics functional programming library. Previous banking experience also includes cross-asset class quant roles in Valuation Control Methodology at both SCB and Barclays Capital. Prior to his career in finance, Milan worked as a research scientist in optics and telecommunications for 5 years.
Milan holds a Ph.D. in Opto-Electronics and BEng in Electronics, both from the University of Bristol.
Senior Technical Lead
Vladimir Chorniy started his career in finance as a founding member and later led Credit Risk Analytics team in Barclays Capital. Later he headed Risk Methodology and Analytics team in BNP Paribas responsible for methodologies covering counterparty risk (EE/PFE models), market risk (VAR, IRC, CRM), credit value adjustment, capital calculations and exotic derivative treatment. Since 2014 Vladimir has assumed a new role to determine long term strategy of risk modelling in BNP Paribas as Head of Risk Modelling Strategy and Senior Technical Lead. Vladimir holds a Ph.D. in Physics from Cambridge University.
Director, Market Risk Management & Risk Methodology - Global Head of Market Data Strategy & Analytics
Adolfo Montoro FRM, is a Director within Deutsche Bank's Risk Methodology department in London. He currently leads the FRTB Methodology team and represents DB in the Industry Working Group supporting elements of the FRTB implementation and advocacy.
Adolfo earned an MSc in Risk Management from Bocconi University, Italy, and graduated with a degree in economics (with honors) from Universita' della Calabria, Italy. He earned his Financial Risk Manager (FRM) certification in 2005
Adolfo is currently affiliated with the Global Association of Risk Professionals, where he serves both as a Regional Director for the UK Chapter as well as member of the FRM Committee
Senior Audit Manager, Quantitative Models
ROYAL BANK OF SCOTLAND
Anish is a Senior Audit Manager - Quantitative Models with NatWest Bank.
He spent the 1st half of his professional career researching and developing credit risk methodologies, primarily for the Commercial Real Estate asset classes, for clients in the USA and the UK. He later progresses into the internal audit function, first with Barclays and now with Natwest Bank, as a Subject Matter Expert in Model Risk Management. In this capacity, he provides control assurance to the Group Audit Committee on the design and effectiveness of the controls supporting the firm-wide model risk management process and particularly the effectiveness of the model validation function as a key control function.
Risk Director IRRBB
Roberto Virreira works as Risk Director for State Street in London. Previously he was in charge of redesigning the IRRBB framework of Standard Chartered Group, and was in charge of Group HSBC IRRBB reporting and IRRBB stress test methodologies. He was Head of ALM and BSM with Bank of America in Latin America, and worked in consulting projects for several other global and regional banking organisations.
Roberto participated actively in the review, discussion and feedback of BCBS 368 with several banking associations including BBA, EBF and IIF. He has published articles on IRRBB on the Journal of Risk Management in Financial Institutions and Written a chapter in the second edition of The hand Book of ALM edited by Risk Books. He has chaired IRRBB conferences in New York, London and has been a speaker in several courses and seminars in Europe and Asia.
Roberto is an Industrial engineer, holds a Msc. in Economics and an MBA from Warwick Business School.
Head of Model Risk Management
Christophe Drozo, Head of Model Risk Management
Christophe leads the Model Risk Management for Natixis. He previously worked as XVA Senior Project Manager for Natixis, in charge of accompanying the set-up of the XVA desk. For several years he has been heading the Global Risk Analytics department of Natixis in charge of defining and delivering the risk management tools for Natixis CIB.
Prior to this, he headed the Risk Analytics team of BNP Paribas Prime Brokerage platform after several years as a quantitative analyst on interest rates derivatives.
Christophe holds a PhD in Computational Fluid Dynamics from Sorbonne Université (UPMC), Paris, and is graduated from Ecole Centrale de Nantes.
Regulation Desk Editor
Philip Alexander is the regulation desk editor for Risk.net, overseeing a team of journalists in the UK, US and Asia. He was previously senior editor at The Banker magazine, covering financial regulation, capital markets, derivatives and central and eastern Europe.
Prior to entering journalism, he edited sovereign credit research for rating agency Standard & Poor’s in London. He was awarded a PhD in modern history by the University of Cambridge for a thesis on Britain and European integration.
Quantitative Finance Editor
Mauro Cesa is quantitative finance editor for Risk.net, based in London. He leads the team responsible for the publication of quantitative research across all brands of the division. The section of Risk.net he manages, Cutting Edge, publishes peer-reviewed papers on derivatives, asset and risk management, and commodities.
Mauro holds a degree in economics from the university of Trieste and a masters in quant finance from the University of Brescia.
Associate Quant Finance Editor
Nazneen Sherif is the associate quant finance editor for Risk.net and senior staff writer on the derivatives desk. Based in London, her topics of interest include the Fundamental review of the trading book, market risk, counterparty credit risk, funding risk, valuation adjustments, collateral management and risk modelling.
Head of EMEA Regulatory Risk
BANK OF AMERICA MERRILL LYNCH
Neels Vosloo is the Head of EMEA Regulatory Risk within Global Markets Risk Management at BAML. Before joining BAML, Neels headed up the Traded Risk Modelling team in Deloitte’s Risk Advisory practice in London. He has worked in risk modelling roles across market and counterparty risk, and has been a Senior Risk Specialist in the Traded Risk Department at the PRA, overseeing the transitions to both the CRD III and CRD IV / CRR regimes, and participating in drafting the first version of FRTB. Neels hold degrees in Mathematics, Philosophy, and Actuarial Science from the University of Pretoria.
Head of Business Implementation, Market and Counterparty Credit Risk
Britta started her career in banking at JPMorgan where she held various roles in structuring and trading covering a broad range of derivative products from IR to credit correlation and cross-asset correlation products.
Britta joined RBS Risk Management in 2010, where she initially set up the Market Risk Stress Testing framework and established the Traded Risk Capital Analysis team which covered Market and Counterparty Credit Risk. She also managed the internal model permissions for the trading book.
End of 2016 Britta joined Deutsche Bank as the Head of Business Implementation, Risk Change, with predominant focus on the controlled roll out of the full revaluation platform across multiple strategic programmes. More recently Britta also assumed the leadership of the front to back FRTB implementation and the Market Data Strategy & Analytics change team.
Head of Technical Model Validation and Market Risk Model Approval
LLOYDS BANKING GROUP
Colin is the Head of Market Risk Model Approval. The role encompasses leading the reviews and validations of market risk models (including VaR, IRC, ALM, Pension, PFE, credit portfolio and Pillar 2 models).
Before this role, he concentrated on building PFE, CVA, VaR, credit rating and portfolio models. He has previously held a number of roles in Lloyds, ING, Abbey and Barclays. He has a degree and PhD in physics and worked as a researcher in physics until his mid-30s.
Over 25 years’ Risk experience working for recognized city institutions
Experience working for investment, consumer and private banks and at derivative houses
Posts such as Financial Controller, Head of Regulation, Head of Management Reporting, Product Controller, Basel II Risk Specialist
Currently Regulatory Consultant with Xenomorph, working on FRTB and other Basel III initiatives
Published financial articles in Risk magazine, Wall Street Journal, Telegraph, Banking Technology and The Global Treasurer others.
Head of Model Risk Management Department
Guillaume Figer has more than 15 years of experience within modeling, risk, audit or consulting areas.
He joined Société Générale in 2014 and has been appointed in July 2017 as Group Model Risk Officer in charge of the Model Risk Management department.
Before, he was in charge of overseeing credit, operational risk measurement and model risk management for the whole Société Générale Group.
Prior to Société Générale, Guillaume was head of a modeling team within another bank and head of French Risk Management practice within EY audit firm.
Guillaume graduated from Ecole Polytechnique, Paris and from Telecom ParisTech.
Head of Strategic Projects
Bo is Director at Nordea Bank leading Strategic Projects in Group Risk Management & Control, based in Copenhagen. A key project in the portfolio is Risk Platform and FRTB. Previously, Bo was the Programme Director for FRTB at another large institution. With over 20 years of experience working within the financial services industry Bo has functioned a variety of roles across front office and risk analytics. This has covered a range of critical regulatory programs including; ALM, IRRBB, CCR, Market Risk, Credit Risk, Operational Risk and Solvency II. Bo holds a M.Sc. in Finance and Accounting (specialty in Financial Engineering) from the University of Aarhus in Denmark.
Senior Quantitative Analyst
Nadia Daneva is a senior quantitative analyst at Addiko Bank. She is responsible for defining and refining market and liquidity risk models at the bank as well as working on software implementations for quantifying these risks. Previously she was at the Bulgarian National Bank in the Market Risk Department responsible for managing and measuring market risk in the investment of foreign exchange reserves.
Head of IRC Methodology
Raphael is leading the Regulatory Credit Portfolio Modelling team at Credit Suisse in London currently focussing on IRC and FRTB DRC. His past positions in the City include the quant research lead with a FI hedge fund, a quant researcher role within GM Advisory at RBS, leading the MR Economic Capital Methodology group at Deutsche Bank and covering several asset classes within Pricing Model Validation at Barclays. Prior to moving to London, Raphael was a portfolio manager with Deka Investment in Frankfurt and a research assistant at the Mathematical Institute in Bonn.
Head of Stress testing Delivery and Control
Nigel is a Chartered Accountant and has held various roles in banking having worked in Internal Audit at Schroders and Credit Suisse. Previous roles also include Head of Operational Risk and Enterprise Risk reporting to CRO’s at Santander. In the last 7 years Nigel has been Head of ICAAP and held various Stress Testing roles at RBS.
Senior Audit Manager
LLOYDS BANKING GROUP
Maurizio Garro works as a Senior Audit Manager for Group Internal Audit at Lloyds Banking Group, where he is involved in providing assurance as SME on market and credit models. His background is in Model Risk, Market Risk, Counterparty Credit Risk, Pricing, Liquidity and Stress Testing.
He has a long standing experience as consultant and banker in model risk management and previously work in the Development and Validation teams of top-tier financial institutions in Europe, U.S., and U.K. for over 14 years.
Maurizio Garro received his Master Degree in Economics from the Bocconi University of Milano and a certificate in Financial Risk Management from GARP.