The Journal of Risk Model Validation

Volume 8, Issue 4

Sebastian Schnitzler Sebastian Schnitzler is a manager at d-fine GmbH, a European specialist with a focus on risk management consulting in the financial industry. As one of d-fine's leading CVA experts, he is responsible for CVA and PFE projects from both a regulatory and quantitative perspective. Sebastian holds a Master of Science in Mathematical Finance from Oxford University where he graduated with a master thesis about exposure validation techniques. Before that, he studied mathematics and economy at the University of Technology in Aachen where he focused on statistical test theory. With a strong risk management background, Sebastian has worked for several years on various different CVA / PFE projects, mainly with the objective of the implementation and validation of Monte Carlo based exposure simulations. Additionally, Sebastian focuses on the optimized integration of exposure simulation engines into existing risk data architectures and both IT and business processes. He has gained experience with several proprietary and most of the common commercial CVA and PFE solutions.

Peter Glößner Peter Glößner is senior manager at d-fine GmbH Frankfurt. He is interested mainly in subjects related to credit risk, from setting up internal rating systems to credit portfolio modelling, exposure measurement methods, stress testing and beyond. He has long-standing working experience with all aspects of counterparty credit risk, seen as an internal management issue as well as a regulatory topic. Peter holds degrees in theoretical physics and mathematical finance from the universities of Saarbrücken, Freiburg and Oxford.

Niklas Rother Niklas Rother is a Senior Consultant at d-fine GmbH, a European specialist with a focus on risk management consulting in the financial industry. In recent years he has been focusing on validation and development of internal credit risk models, as well as their integration into the client's IT infrastructure. In addition he has gathered experience in risk based portfolio optimization and performance attribution. Having graduated in Theoretical Physics at the University of Hamburg, Niklas is currently finishing a M.Sc. in Mathematical Finance at the University of Oxford. In his thesis he is searching for more convenient ways to deal with benchmark portfolios in the case of CVA backtesting.

Holger Plank Holger Plank is a Senior Manager at d-fine AG, Zurich, since summer 2011. Previously, he has worked more than 8 years for d-fine in Germany, focusing on projects around financial engineering for both Front Office and Risk Departments of banks and other financial institutes. After spending more than a year contributing to a large proprietary CVA implementation of a global investment bank in London (with particular focus on backtesting in line with the regulators' requirements for IMM approval), he has started to strengthen and centralize d-fine's expertise on quantitative counterparty credit risk. Up to today, this has led to having worked with around ten different exposure simulation engines in practice and constant discussions with banks about their target CVA infrastructure. Holger holds both a Master's and a PhD degree from the University of Regensburg in Mathematics where he worked on Stochastic Differential Geometry plus a M.Sc. in Math Finance from the University of Oxford.