Panel discussion: Quo Vadis Quantitative Risk Management?
Abstract
Do we need more (or less) quantitative models? Three models, four answers: can I trust my model? How to adequately use quantitative models in today's risk management practice? Do complicated models trigger complicated products (or is it the other way round)? How to teach modeling? Why are obviously wrong models still in place? Are we sometimes blinded by too complicated models? What is the regulators view on new quantitative models? What real world problems need more advanced modeling approaches? How to communicate the output of quantitative models to non-mathematicians? To which extend can bad modeling practice be blamed for the financial crisis? Modeling abuse: hiding risk with complicated models? How to bridge the gap between practice and academia: inventing the models that are truly required and putting them in place when available? Do today's risk managers have enough quantitative training to use advanced models?
Anchorman
Markus Zydra
Markus Zydra is working as financial editor for Süddeutsche Zeitung in Frankfurt since 2008. Prior to that he worked as business editor at Financial Times Deutschland and Frankfurter Allgemeine Zeitung. He started his career working as a foreign correspondent for Süddeutsche Zeitung in Stockholm. Markus Zydra studied political science, law and economics at the universities of Tübingen, Seattle and Stockholm.
Participants
Dr. Christopher Lotz
Dr. Christopher Lotz heads up the department for cross-sectoral risk modelling at BaFin which covers internal risk models across banks and insurance companies. In his previous roles at BaFin he was in charge of sections for internal risk models for banks and insurance companies and carried out on-site inspections for market, credit and operational risk models. He also participated in several international working groups and is actively involved in the EIOPA Internal Model Experts Group. Prior to joining BaFin in 2004 he worked at Deutsche Bank in Frankfurt and London in the areas of market risk management and risk controlling. He graduated in mathematics and in 2000 received his PhD in economics from the university of Bonn.
Dr. Matthias Mayer
Dr. Matthias Mayer is Partner at KPMG Germany, a member of the KPMG Financial Services Leadership Team and Head of the competence cluster Asset Liability Management. He has more than 15 years of experience in consulting with focus on market and liquidity risk management, including methodical as well as regulatory, accounting and operational aspects. Further focus topics of Matthias’ project work are management of economic capital and integration into the overall bank management. His clients are leading national and international banks. He holds a diploma and PhD in mathematics from the Technische Universität München. He has published articles in international academic and business journals.
Vassilios Pappas
Vassilios Pappas is a founding partner of Assenagon and the manager responsible for the areas of trading, portfolio management, risk management and trading infrastructure. In 2001 he received an MBA from the University of Chicago. Until March 2007 he was a member of the Markets & Investment Banking Operating Committee of UniCredit Group, heading the Global Structured Derivatives Division. In addition, he served as Chairman of the Supervisory Board of INDEXCHANGE Investment AG and as a member of the Supervisory Board of HVB Structured Invest S.A.
Prof. Luis Seco
Luis Seco started his career in financial risk management in 1996, while a Professor at the University of Toronto, creating the RiskLab, a research center that serviced the financial sector in Toronto in the area of risk management. He is currently the Director of the Mathematical Finance Program at the University of Toronto. He is a co-funder and the President and CEO of Sigma Analysis & Management, a portfolio management company that started in 1999 as a spin-off of research activity at the RiskLab. Prof. Seco holds a Ph.D. from Princeton University, and he was the Bateman Instructor at the California Institute of Technology. He has authored numerous papers in financial risk management, investments and market models, has won a number of research awards and is an active participant in professional organizations, including AIMA and PRMIA.
Dr. Daniel Sommer
Dr. Daniel Sommer is the responsible Partner for Risk at KPMG Germany and a member of the KPMG Global Financial Risk Management Steering Group. He has more than seventeen years of experience in the banking industry and in consulting banks on market and credit risk as well as economic capital management. His project work focuses on the design and implementation of risk management concepts, mathematical methods and models as well as processes in market and credit risk management and economic capital management. His clients are leading national and international banks. Daniel Sommer studied economics at the University of Bonn and at the London School of Economics. He holds an MSc and PhD in Economics from the University of Bonn. He has published in international refereed journals on topics in financial mathematics.