EMEA principal risk specialist
Peter Plochan is the EMEA Principal Risk Management Advisor at SAS who helps financial institutions to deal with their challenges around finance and risk regulations, enterprise risk management, risk governance, forward looking risk analysis, stress testing, model risk management, risk modelling and climate change risk management.
Peter has a finance background (Master’s degree in Banking) and is certified Financial Risk Manager (FRM) with 14 years of experience in risk management in financial sector. He has assisted various banking and insurance institutions with large-scale risk management implementations while working both internally and also externally as a risk management advisor (PwC). Since joining SAS in 2014, Peter serves as a global acting domain expert - leveraging the latest trends in risk analytics & technology with his deep risk management & finance expertise.
Peter also acts as the Risk Management trainer for PRMIA (Professional Risk Management International Association) where he developed and delivers training on Model Risk Management and ERM & Stress Testing for the global risk community. Peter regularly speaks & presents at risk events/webinar and publishes risk management thought leadership materials.
Lead quantitative specialist
Maria Kostova has over 16 years of experience in regulatory risk with specific focus on expected credit loss methodologies and internal ratings based approach valuation techniques.
Her significant focus of expertise resides in model development, validation, risk governance, capital allocation mechanisms and financial stability frameworks across Pillar 2A and 2B types of risk- credit, market, liquidity, concentration, IRRBB and model risk management. During her career, she has been predominantly engaged in top tier banking groups in the United Kingdom, the Netherlands and Spain, allowing her to acquire a comprehensive IFRS9 and A-IRB credit risk modelling expertise in PiT/TTC PD, LGD, EAD development and excellent understanding of internal capital adequacy requirements (ICAAP/ ILAAP) alongside risk weighted asset adjustments, Liquidity Restructurings and Stress-testing techniques.
She is specialized in banking and finance with strong emphasis on statistics and microeconomics in the United States, where this substantial exposure on logistic and linear regression methodologies in statistics for retail and corporate portfolios has been developed and practiced in accordance with Basel/ BIS/ ECB/EBA regulatory frameworks and the PRA requirements in the UK.
Senior expert model risk management
Catarina has over 14 years of working experience, particularly in the areas of credit risk and model risk management.
Currently, Catarina works at ING, where she is responsible for the model risk management framework implementation globally within the bank.
Prior to joining ING, Catarina was a director with S&P Global Market Intelligence, overseeing numerous clients across the EMEA region, managing the development, implementation, and validation of credit risk models.
Head of Risk − ASEAN
18 years’ of financial institution (banking & insurance) experience accumulated across the ASPAC region (Australia, Singapore, Hong Kong, Malaysia, Thailand, Indonesia, Philippines) both in an ‘in-house’ and consultant (KPMG Advisory) capacity. Qualified actuary (AIAA) (Member of Banking Practice Committee – Actuaries Institute) and B.Sc (Applied & Computational Mathematics).
Primary areas of practice & expertise:
- Credit risk measurement & management: stress testing, AIRB (across sovereign, FI, corporate, and retail), specialised lending, securitisation, economic capital, IFRS 9, scorecarding (application, behavioural & collection)
- Operational risk measurement & management: data modelling, scenario analysis,
- Balance sheet/behavioural modelling: deposit attrition modelling & prepayment/pre-settlement modelling
- Portfolio stress testing & economic capital modelling
- Internal capital/liquidity adequacy assessment process (ICAAP/ILAAP)
An active user of SAS since approximately June 2001 (version 8.2) covering base & macro/IML/ETS/STAT/OR/EM and have applied the product across a variety of applications, to list a few:
- Fair valuation of exotic derivatives (executive share options (ESO’s))
- Default & pre-settlement contingency models (IFRS 9)
- Quantification of economic capital (credit & operational risk)
- Frequency & severity models for short-tailed insurance products (insurance risk)
Sample clients: Westpac, DBS, Maybank, Kasikorn, Bank Mandiri, PNB, Asian Development Bank (ADB)
Ex-head of credit risk modelling
Louis Brown is the ex-head of the Credit Risk Modelling team for the Investec Bank PLC. His primary focus was the development of Credit Risk model for IFRS 9. Before joining Investec, Louis worked at Barclays in the model validation team and before this at RBS in a number of Credit Risk modelling and analytics roles. Louis holds an MSc in Machine Learning and a BSc in Physics with Computer Science.