Sergii Arkhypov

BNP Paribas

Sergii Arkhypov started his career as ALM Analyst in Erste Bank responsible for managing risks of Banking Book. Sergii also worked in several other banks and financial companies focusing on trading system development or integration. His later positions included Desk Quant for equity exotic derivatives, structured products at Credit Suisse; and Quantitative Developer working as Manager at EY focusing on counterparty credit risk and regulatory change programs. Later Sergii moved to BNP Paribas and worked as Cross-Product Quantitative Analyst. Currently he works at Valuation Model Risk focusing on pricing model validation for IRFX and Credit perimeters. Sergii holds a master degree in Applied Mathematics from Kyiv Polytechnic university and advanced certification in risk management.

Articles by Sergii Arkhypov

Original research

Dissecting initial margin forecasts: models, limitations and backtesting

The authors demonstrate that initial margin is not value-at-risk, but its approximation, and suggest a generic backtesting and verification framework that accommodates both forecasting limitations and existing models.

28 Jan 2025