Anca Maria Alvirescu
Senior Data Scientist, Financial Risk
Anca Maria Alvirescu is a senior data scientist in Deloitte Risk Advisory and Financial Risk practice with many years of experience in France and UK. Her work consists in applying innovative techniques to credit risk management, notably for credit risk measurement and quantification topics. She also leads the research around the quantification of model risk using Machine Learning techniques.
Avinash is an Associate Director in the Risk and Compliance Practice, where he has led model risk projects for multiple clients within the financial services industry. Prior to joining Protiviti Avinash worked as a senior analyst in Modeling and Analytic Solutions team at a top 5 US Financial Institution. Avinash has over ten years of experience in data analysis and model risk management. He has a Master’s degree in Transportation Engineering from the University of Texas at Austin, with multiple publications in reputed journals.
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/presettlement 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)
Senior Risk Consultant
Gennady is a member of the SAS Risk Business Consulting team for Asia Pacific. His experience spans to IFRS17, Model Risk Management, IFRS9, Operational Risk. Gennady has been with SAS for 5 years as a risk consultant and over 10 years in Risk Management. He also provides value demonstration of business and technical features of SAS risk management solutions to both financial and non-financial organizations and technical support to risk related implementation projects across Asia Pacific region.
Before joining SAS, Gennady worked for Big4, where he took a leading role numerous projects related to Risk Management Advisory, GRC implementations, ERP implementations, IT-security and internal control audits.
Standard Chartered Bank
Experienced risk analytics manager with almost 15 years of experience in Europe and Asia in quantitative risk management in global banking institutions.
I have been working in market, operational and credit risk modelling, heading both model development and model validation teams.
Thomas Obitz is a management consultant and senior advisor on risk and regulatory driven change. He has designed the operating model transformation in the FRTB implementation of a major global bank and worked on various both operational and quantitative aspects of the regulation.
Thomas has more than 20 years of experience in the Financial Services industry in roles including organizational change, operating model transformation and IT transformation, working as a consultant, project manager and business architect. He has a background in Mathematics, worked for a Big 4 consultancy, is certified as a Financial Risk Manager (GARP FRM) and holds a TOGAF 9 certification. He is founder of RiskTransform, a niche consultancy supporting banks in integrating risk, operating model and IT change, and based in London.
Thomas has published on various aspects of the FRTB and on broader topics of risk change. Special areas of interest are the operational changes required to manage the impact of the regulation, and the data and data quality implications.
- FRTB’s risk factor framework is more punitive than it seems, Thomas Obitz 2017 http://www.risk.net/risk-management/2479902/frtbs-risk-factor-framework-more-punitive-it-seems
- Estimation of Risk Factor Modellability as a Function of Arrival Rate and Seasonality, Thomas Obitz, 2016 https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2885001
- Getting in shape for the FRTB has to start now, Thomas Obitz 2016, http://www.risk.net/risk-magazine/opinion/2456070/getting-in-shape-for-the-frtb-has-to-start-now
David has over 23 years of experience working in markets, government treasury, corporate treasury, merchant banking and consulting. He brings a depth of understanding of the products, pricing and risk management, technology and operational risk, organisational design and governance, and human factors that make up a traded markets business within a bank.
Cosima has over five years of Auditing and Advisory services experience within the banking sector around the world, including working one year with the German regulatory authority. Her main areas of expertise are quantitative risk management, market and counterparty credit risk measurement, and markets conduct. In addition, Cosima has a first-hand knowledge of pricing derivatives portfolios and regulatory requirements in terms of governance and internal risk management, including model risk management, risk reporting and regulatory reporting.