Siyi Zhou
Emirates NBD PJSC
Siyi Zhou holds a PhD degree in Finance at Imperial College London, and an MSc degree in Actuarial Mathematics at Herriot-Watt University in Edinburgh. He is currently heading the Group Model Validation team in Emirates NBD Bank in Dubai, UAE. Dr. Zhou is also a faculty member in Certificate of Quantitative Finance (CQF), where he has taught in quanti-tative finance for CQF for more than 10 years. Before joining Emirates NBD Bank, Dr. Zhou worked for various tier 1 financial institutions in London, including HSBC, Moody’s Analytics and FitchLearning for several years.
In addition to his academic background in finance, Dr Zhou is also an experienced practitioner in banking industry specializing in financial risk management. He has developed and implemented variety of risk management models for different asset classes in both the banking and trading book. Much of his work involves market and credit risk modelling for regulatory capital purposes (under the Basel Accords), and for audited impairment charges (regulated under IFRS 9 by the IASB). He has recently been focusing on developing techniques for model risk management, partly driven by his role in model validation and demands from model-risk-related central bank regulations.
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Articles by Siyi Zhou
The impact of deterioration in rating-model discriminatory power on expected losses
The authors propose a means to estimate the effects on a portfolio’s expected credit loss created by underwriting model risks.