Course Agenda

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.

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.

Nicki is head of the XVA Desk at Danske Bank. With a background in the Quant Research department, he was part of establishing the XVA Desk within the trading unit of Danske Bank, with responsibilities across pricing and risk management of all XVAs. He holds a PhD in Computational Finance from Aarhus University.

Suyan is an experienced executive quant with 20+ years’ experience in model validation and model development covering most financial products across asset classes: Interest Rates, FX, Equity, Credit, Commodity, and Hybrids. Other than her core Quant focus, Suyan has been pivotal in driving strategic initiatives especially for the most challenging counterparty modeling world.

Suyan is currently principal of EMRM Consulting LLC. Her previous posts include head of PFE Analytics at Wells Fargo, senior quantitative analyst at Bloomberg Enterprise Risk; global head of Counterparty Credit Risk Analytics at UBS (Stamford, CT),  Asia Pacific head of Quantitative Risk Control at UBS (Hong Kong), and the head of Risk Analytics for Development Bank of Singapore (Singapore).

Suyan holds a BS in theoretical physics from Fudan University in China. Her Ph. D was in (computational) chemical physics from New York University. She had been a Postdoc at James Frank Institute at University of Chicago. She had taught Exotic Options for three semesters at National University of Singapore. She had also been involved in other panel discussions and training activities.

Stamatoula Matsoukis is the Director and Founder of Euclides Risk Solutions, a quantitative finance consultancy. She has long term experience and expertise in counterparty risk modelling and regulation, XVAs, model risk, and model governance gained from senior positions in Risk Management, Front Office, and Audit functions. Before becoming a consultant, she had worked for financial institutions such as the UK financial regulator, Morgan Stanley, Standard Chartered and Deutsche Bank. She holds a PhD in Space Plasma Physics from the University of Warwick and worked as research scientist on the same subject in Queen Mary & Westfield College.