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.

Chris Kenyon is Global Head of Quant Innovation at MUFG, and also Global Head of XVA Quant Modelling at MUFG. Previously Chris was head of XVA quant research at Lloyds Banking Group, worked at Credit Suisse and Depfa Bank plc where he was the post-crisis head of structured credit valuation after working on inflation-rates hybrids introducing new smile models. Chris formalized KVA and MVA with Andrew Green, as well as PFL as the replacement for PFE. More recently he introduced a climate change valuation adjustment (CCVA). Chris has a PhD from Cambridge University, published 17 papers in the Cutting Edge section of Risk magazine (twice joint top-cited author), holds 10 US patents, and was an author of the open source software QuantLib.

Ben Watson is the CEO of Maroon Analytics Australia, a Quantitative Analytics Consultancy that helps Banks and Financial institutions with any aspect of their quant requirements. Maroon has been helping its clients with some of the more complex issues that they face today, such OIS discounting, XVA pricing, Initial Margin modeling, and market and credit risk management.

Ben has recently developed a full-featured risk management system called Quantics. This system is currently being rolled out to a wholesale fund manager that is being used to manage the credit and market risk, as well as provides full profit and loss attribution on a large credit portfolio.
Ben came to the Maroon business with 23 years working for Investment Banks as a Quantitative Analyst. Up to 2012, he was the APAC regional head of the Quant function for RBS, and before that he was the local head of Quantitative Analytics at ABN AMRO Australia. Working directly with traders he has a long track record of building real-time pricing and risk management systems. He has built Credit, Bond, Swaps, FWD FX, Swaptions, Inflation Bonds and Swaps, MBS, CDS pricing and trading systems for the front office. While at RBS he managed the successful OIS migration of a large derivatives trading book and since working as has a consultant, he has advised and helped implement a number OIS migration projects.

As part of the Marron Analytics offering, Ben has developed a number of training courses in OIS Discounting, Counterparty Credit, and CVA, XVA, Initial Margin, Stress Testing, Pricing Fixed Income products, VaR/ Expected Shortfall and VBA for Finance. He has delivered these training courses across Australia, Taiwan, Singapore, US and New Zealand.

Jon Gregory is an independent expert specialising in counterparty risk and xVA related projects. He has worked on many aspects of credit risk in his career, being previously with Barclays Capital, BNP Paribas and Citigroup. He is author of the book “Counterparty Credit Risk: The new challenge for global financial markets” (now in its forth edition) and “Central Counterparties: The Impact of Mandatory Clearing and Bilateral Margin Requirements on OTC Derivatives”. He is a senior advisor for Solum Financial Derivatives Advisory and a faculty member of the Certificate of Quantitative Finance (CQF). He also serves on the Academic Advisory Board of IHS Markit and is a Managing Editor of the journal Quantitative Finance.

Jon holds a PhD from Cambridge University.