Standard Bank Group
Leendert Haasbroek is a risk-model subject-matter expert and Executive at the Standard Bank Group based in South Africa. Experience covers the model development, validation and maintenance related to regulatory capital, economic capital, and expected loss models within credit risk, operational risk and market risk, as well as financial-derivative valuation models. He holds a Ph.D. in Physics.
In this paper, the authors contribute to the measurement of model risk by focusing on the quantification of estimation risk.
This paper proposes a qualitative method to assess the maturity of model risk management practices within banks.
A simulation comparison of aggregation periods for estimating correlations within operational loss data
This paper investigates the differences in the values of correlations based on different aggregation periods of time series loss data.