September 20, 2018 | 09:30 - 17:15 CEST | Marriott Frankfurt
Hosted by Numerix and d-fine

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:

  • The latest regulatory developments around CCR and CVA
  • Initial Margin and Margin Valuation Adjustment
  • The Impact of CCAR and SR 11-7 on Model Risk Management and Model Validation
  • The Future of LIBOR

Attendance is complimentary, but registration is required. Don't wait, secure your spot today!

Meet the Speakers:

Andrea Allegra
Financial Engineer, Numerix

Andrea Allegra, NumerixAndrea 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.

Prior to joining Numerix, Andrea was a financial engineer for Algorithmics, an IBM company, where he was responsible for the implementation of risk management techniques, including parametric, historical, Monte Carlo VaR, credit exposure and CVA. Before that, Andrea worked for Unicredit Global Information Services, where he managed the implementation and validation of credit pricing models via Excel VBA and Matlab. Andrea received an undergraduate degree in Mechanical Engineering from the University of Genoa and holds advanced degrees in Industrial Engineering and Finance.


Hans Peter Wächter
Senior Manager, d-fine

Hans-Peter-Wachter.gifHans 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
Vice President and Head of Client Solutions Group, Numerix

IljaFaerman.pngIlja 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.

In recent projects, he has focused on advanced XVA metrics including KVA and MVA as well as coherent modeling of risk factors for the purpose of XVA calculation. Prior to Numerix, Mr. Faerman worked as a financial engineer and model validation analyst at Thomson Reuters. He holds a BSc in Business and Computer Science from the University of Rostock and an MSc in Finance from  the Frankfurt School of Finance & Management. He is currently located in Numerix’s Frankfurt office.

Alexandra Gebauer
Senior Officer Risk Modelling, BaFin

Alexandra Gebauer.jpgAlexandra 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.

She is member of the Market Risk Group of the Basel Committee on Banking Supervision and member of the Competence Centre for Counterparty Credit Risk of ECB’s TRIM project.

Andrew McClelland
Director of Quantitative Research, Numerix

Andrew McClelland, PhD, NumerixDr. 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.


Holger Plank
Partner, d-fine
Dr. Holger Plank is a Partner at d-fine Switzerland AG based in Zurich. Holger is heading d-fine's competence team for quantitative CCR and XVA and has been working on XVA-related projects since 2010 for most of the time. Daily tasks of the team are to combine deep understanding of current XVA theory and research with hands-on expertise in order to integrate exposure simulation tools into general FO or risk systems and pricing platforms. The actual project demand is often caused by regulatory changes as well as increasing accounting standards and proper management of XVA. Being with d-fine since 2003, Holger has previously worked as a financial engineer on almost all asset classes including IR, FX, inflation, equity and commodities, but also contributed to various market risk and front office projects. He holds both MSc and PhD titles in Mathematics (University of Regensburg) and an MSc in MathFinance (Oxford University).

Sebastian Schlenkrich
Senior Manager, d-fine

Sebastian-Schlenkrich_klein.jpgSebastian 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.

Previously, in the Macro Valuation Methodologies Team at UBS Investment Bank, London he held global responsibilities for methodology and tool development of pricing model validation. A focus of his research and work are valuation methodologies for interest rate, FX and hybrid derivatives. Furthermore he works in the field of Algorithmic Differentiation and its application in finance. Sebastian holds a PhD in Mathematics from Technische Universität Dresden and a MSc in Mathematical Finance from University of Oxford.

Sebastian Schnitzler
Internal Models Expert, Quantitative Risk Modeling, BaFin

Sebastian Schnitzler, BaFinSebastian 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.

Thomas Epple
Head of Financial Market Corporate Sales, ING Wholesale Banking

Thomas_Epple.jpgThomas 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.

Prior to that Thomas worked for several years in London for Japanese Banks, building up their derivatives coverage with German and Spanish multinational cooperations. Before moving to the UK he established the customer driven capital markets sales business in New York for a broker dealer after working for a number of years in Germany.

Carlo Castellana
Executive Director, JPMorgan

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.

He started his career as a structurer within the JPMorgan Sales & Trading division where for five years he has contributed to the organic growth of the derivatives business in southern European markets.
He is a CFA charterholder, a member of the UK CFA Society and an Associate member of the Chartered Institute for Securities and Investment (ACSI).

Carlo holds a M.A. in Theoretical Physics from Scuola Normale Superiore di Pisa (Italy), a MSc and a BSc in Physics from the University of Pisa (Italy), a Specialist Master in Management Engineering and a MSc in Engineering from the University of Trieste (Italy).