Join Numerix and d-fine at the 3rd annual XVA, Risk and Regulation Conference! To be held on Thursday, September 20th at the Marriott Frankfurt this one-day event will feature engaging presentations and discussions on recent XVA and CCR developments in OTC markets, current activities and regulatory views on model risk management and the upcoming topic of LIBOR and OIS benchmark replacements. This is your opportunity to join some of the industry’s top thought leaders and gain comprehensive knowledge and insight into how to successfully manage the quantitative challenges in the current financial world.
Speakers from Numerix, d-fine, BaFin and ING Wholesale Banking will cover:
Attendance is complimentary, but registration is required. Don't wait, secure your spot today!
Meet the Speakers:
Andrea Allegra Andrea Allegra is a Senior Financial Engineer, EMEA, for Numerix. He joined the firm in 2015 and is responsible for structuring OTC derivatives trades and for performing tasks related to valuation and risk analytics, including market risk and XVA. |
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Hans Peter Wächter Hans Peter Wächter is Senior Manager in the Financial Engineering unit at d-fine, a leading consultancy company specialised in risk and finance. Hans Peter focusses on topics where valuation intersects with regulatory, accounting and organizational issues, e.g. model governance, IBOR replacement, prudent valuation etc. lately. He has long-standing hands-on experience from numerous projects at national and international banks. Hans Peter holds a PhD in Theoretical Physics from University of Goettingen and a diploma (MSc) in Business Administration from Open University of Hagen. He also holds an FRM and a CFA charter. |
Ilja Faerman Ilja Faerman is VP and Head of Client Solutions Group at Numerix. He has extensive expertise in successfully delivering projects across EMEA covering pricing of complex derivatives in multiple asset classes, as well as calculating market and counterparty credit risk figures for large portfolios of simple and complex instruments. |
Alexandra Gebauer Alexandra Gebauer works in BaFin’s Quantitative Risk Modelling department as expert for internal Counterparty Credit Risk models. She has both horizontal and bank-specific responsibilities for IMM supervision from a quantitative and a governance perspective. |
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Andrew McClelland Dr. Andrew McClelland’s quantitative research at Numerix focuses on XVA Pricing and Hedging, enerating counterparty credit risk metrics for structured products, and estimating risk model parameters via time-series estimation. He earned his PhD in finance at the Queensland University of Technology for a thesis on financial econometrics. He considered markets exhibiting crash feedback, option pricing for such markets, and parameter estimation for such markets using particle filtering methods. Dr. McClelland’s work has been published in the Journal of Banking and Finance, the Journal of Econometrics, and the Journal of Business and Economic Statistics. |
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Holger Plank |
Sebastian Schlenkrich Sebastian Schlenkrich is Senior Manager in the Financial Engineering unit at d-fine, a leading consultancy company specialised in risk and finance. In this role he manages and delivers client projects on current valuation and risk management topics. |
Sebastian Schnitzler Sebastian Schnitzler's work as an expert for Internal Counterparty Credit Risk Models at the Quantitative Risk Modeling department of BaFin, the German Federal Supervisory Agency. He has horizontal responsibilities for the IMM supervision from both a quantitative model and a model risk governance perspective within the Single Supervisory Mechanism. In this context, he is member of the Competence Centre for Counterparty Credit Risk of ECB’s TRIM project that is currently reviewing Internal Models in the SSM and developing Supervisory Principles for a harmonized IMM supervision. Before joining BaFin, Sebastian worked for eight years as a manager for a large risk management consulting company where he was responsible for several xVA implementation projects from Front Office, Accounting and Risk Management perspective. Sebastian has also published a paper on IMM backtesting. He holds an MSc in Mathematical Finance from Oxford University and an MSc in Mathematics from the Technical University Aachen. |
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Thomas Epple Thomas Epple heads up the Financial Market Corporate Sales Germany at ING Wholesale Banking. He joined ING Wholesale Banking in Frankfurt in early 2016. Besides his management role he covers a number of ING’s largest German multinational clients as well as structured finance deals on the financial market side. |
Carlo Castellana Carlo Castellana is an Executive Director at JPMorgan where he currently heads the valuation control for the EMEA Rates & Rates Exotics and for the Global Differential Discounting Risk businesses. During the last five years, he has developed specific interests in the behaviour of market risk reserves under stress scenarios, the dynamics and valuation aspects related to CCPs , the emergence of basis in the interest rates markets, the measurement of liquidity and fair value hierarchy. |