JRMV 9 3 Authors

The Journal of Risk Model Validation

Volume 9, Issue 3


Frank Sensenbrenner

Frank is a Consultant, Risk Modeling, at Northern Trust, a major bank and asset manager in Chicago. His work focuses on bank stress testing and risk assessment. He holds a PhD in Finance from the University of Sydney, where his thesis focused in market microstructure (the sales and trading of securities). During his PhD, he was a fellow at the Capital Markets Cooperative Research Centre, a government-sponsored initiative focused on the commercialization of academic financial research. The CMCRC's clients included many of the world's major securities exchanges. His experience prior to Deloitte includes a post-doctoral role at Johns Hopkins University School of Advanced International Studies, global regulatory consulting, and policy and political consulting for a number of political parties. He has also worked with a number of central banks' research departments. His work has been published in a number of academic and practitioner journals, as well as conventional media outlets. His research focuses on asset allocation, risk management, market microstructure, law and economics of securities markets, and investment management. During his PhD candidature, he was a Fellow with the Capital Markets Cooperative Research Centre, and was co-awarded a grant from the NASDAQ OMX Nordic Foundation to investigate Swedish capital markets. His research on capital markets and cross-border investment flows have been published in academic journals and presented at EU symposia. In 2014, he was named a German-American Young Leader by Atlantik-Bruecke, the premier German foreign policy organization. In 2015, he was named a Swiss-American Young Leader by the Swiss-American Foundation and is active in the Australian-American Leadership Dialogue.




Mike Jacobs

Mike Jacobs is a Principal Director in the Risk Analytics practice of Accenture. He specializes in risk model development and validation across a range of risk and product types. Mike has 25 years of experience in financial risk modeling and analytics, having worked 5 year for Deloitte and PwC as a Director in the risk modeling and analytics practice, with a focus on regulatory solutions; 7 years as a Senior Economist and Lead Modeling Expert at the OCC, focusing on ERM and Model Risk; and 8 years in banking at JPMC and SMBC, developing wholesale credit risk and economic capital models. Mike's skills include model development & validation for CCAR, PPNR, credit / market / operational risk; Basel and ICAAPP; model risk management; financial regulation; advanced statistical and optimization methodologies. Extensive publication track record in many prestigious refereed practitioner & academic journals (JFM, JRMFI, JFI, JCR, JPM) & has given talks at several high profile industry venues (PRMIA, GARP). Mike holds a PhD in Mathematical Finance CUNY Graduate Center / Zicklin-Baruch School of Business; an MA Mathematical Economics, SUNY Stony Brook School of the Arts; MS Applied Mathematics & Statistics, BS Engineering Mathematics SUNY Stony Brook / School of Engineering and the Applied Sciences; and is a Chartered Financial Analyst.



Michał Gostkowski

Michał Gostkowski graduated from the Faculty of Applied Informatics and Mathematics at the Warsaw University of Life Sciences (SGGW) in Poland. In 2012 achieved an MSc of Statistics and Econometrics with thesis about the LGD modeling. He was awarded by the Polish National Bank in the competition for the best master thesis. Currently, he is a PhD student at SGGW, Faculty of Economic Sciences under the supervision of prof. Borkowski. His teaching refers to advanced quantitative methods in economics, data exploration and programming. His research activity is focused on risk modeling, data mining, forecasting and demand analysis with complete demand systems.



Marek Karwański

Marek Karwański prior to completing his Ph.D. in Computer Sciences was a Senior Manager in SAS Institute where he offered extensive experience in risk management and performance measurement systems. He took his part as an expert for statistics and data mining in numerous projects related to the implementation of IT systems supporting credit, market and operational risks in polish banks and insurance companies such as BRE Bank, PKO BP, ING, PZU. He was responsible in particular for the ETLs and Calculation Engines. His most significant projects was: the design of, and supervision over, Simulation System for supporting ALM, liquidity risk and interest rate risk.



Piotr Jałowiecki

Piotr Jałowiecki is a graduate of Technical University of Łódź, where he earned Master's degree diploma of Computer Science. In 1996, as one of the first in Poland dealt with the implementation of the Internet Protocol X.400 defines a standard of e-mail handling. For 19 years he worked in SGGW in Warsaw, first as an assistant, then as an assistant professor in the Department of Computer Science at the Economic Sciences Faculty, later at the Faculty of Applied Informatics and Mathematics. In 2005, he received a Ph.D. in medical sciences at the Nofer Institute of Occupational Medicine in Lodz. As the first in Poland he has implemented Physiologically-Based Toxicokinetic and Toxicodynamic Models. As the world's first he examined the impact of isomers tetramethylbenzene on the human organism. Currently he is engaged in business informatics, e-logistics, biostatistics and analysis of economic data and biomedical research results. He primarily conducts research on the effectiveness of ICT and e-logistics in the food industry and applications of biostatistics and data analysis methods in clinical research organizations. He is the founder and organizer of the first Polish post-graduate studies in the field of biostatistics and data analysis in public health.


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