Lukasz Prorokowski

Lukasz Prorokowski

Dr. Lukasz Prorokowski is affiliated with the Institute of Financial Complex Systems at the Masaryk University in Brno, where he researches issues revolving around credit risk modelling, financial collateral, shadow banking and risk model validation. Aside his academic career, Lukas has been working in the internal model validation team of the largest universal bank in Luxembourg.

Currently, Lukasz is working on the ECB’s Targeted Review of Internal Models in Luxembourg. Lukasz’ main tasks involve ensuring the fulfilment of the ECB’s requests regarding credit risk modelling. Lukasz is also working on the model validation and model review under the IFRS 9 specifications. Previously, Lukasz has worked for various tier-1 banks on regulatory reporting projects with focus on Credit Concentration Risk and Credit Risk (Pillar 2) within the Stress Test Data Framework. Lukasz modelled and managed banking book and trading book exposure portfolios.

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Articles by Lukasz Prorokowski

Risk data validation under BCBS 239

Based on a survey of twenty-nine major financial institutions, this paper aims to advise banks and other financial services firms on what is needed to get ready for and become compliant with BCBS 239, especially in the area of risk data validation.

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