Model risk management: fundamentals

Grigoris has over 26 years of experience in predictive modelling and risk management. He is the president and founder of InfoAgora that provides risk management consulting and more to financial services organisations. He is an adjunct professor in the department of computer science at the University of Toronto. 

Prior to founding InfoAgora, Grigoris was working at CIBC as vice president of customer behavior analytics, responsible for customer decisioning and credit risk measurement solutions for adjudicating new customers and proactively managing existing ones. He has been a postdoctoral fellow in the Institute of Information Technology at the National Research Council. He is on the PRIMA subject matter boards for stress-testing and enterprise risk management and has published more than 40 papers in journals and conference proceedings. He holds a PhD in computer science. 

Caterina has worked for almost 20 years in modelling, validation and other model risk functions, including audit and the regulator. She carries deep knowledge of risk modelling techniques and is currently a lead in the global model risk function of ING.

Juan has over 20 years of experience working in risk management and derivatives, including modelling and model risk management. He has expertise in market risk assessment, reporting, and modelling with wide-ranging exposure to banking markets in the US, Canada, LATAM, Europe and China. Prior to his current role as vice president, market risk management, he was vice president of model risk management for almost seven years at State Street. 

Gary trained in physics and mathematics at the University of Natal where he obtained a Masters in astrophysics and a PhD in nuclear physics. He worked at the Atomic Energy Corporation but then transferred to finance after visiting the UK and working as a quantitative analyst at Goldman Sachs. He returned to South Africa and worked for ABSA in market risk management and then as an investment analyst at Old Mutual Asset Managers in Cape Town (when he obtained a Masters in market risk management).

In 2002, he migrated to the UK where he worked as in market risk for Standard Bank (during which time he obtained the Global Association of Risk Professionals Financial Risk Manager accreditation), then head of quantitative analytics at Ernst & Young, product control at Merrill Lynch, head of model validation at Fitch Ratings (when he obtained his PhD in cred-it risk) and finally as head of model validation for Aviva Investors.

He has worked as an independent consultant on quantitative and risk management projects for the European Central Bank and quantitative credit risk assessment and management in financial institutions in Antwerp (Belgium) and Utrecht (Netherlands). His current roles include: contracting for EY and RiskWorx (South Africa), a distinguished professor in risk management and head of the University of the Witwatersrand’s Fintech Hub, a visiting professor at the University of Pretoria, the University of Cape Town, North-West University, EDHEC and IESEG (France) and Brunel University, Metropolitan University and Sussex University (UK).