Counterparty risk and the SA-CCR

Michael has over 20 years of professional experience. He currently advises customers as a project manager and subject matter expert on risk management, regulatory reporting and the implementation of new requirements in bank IT systems. 

Irina has extensive hands-on experience leading projects in all areas of risk management, including derivatives pricing, XVA (CVA-, DVA-, FVA-, KVA- and MVA- implementation), interest rate models, model validation, regulatory requirements (FRTB, CRR, CRD IV, Basel III, CRR II, CRD V, Basel IV), front office projects, trading systems (Murex, Summit, Kondor+), project management, test management and regulatory audit. She is a frequent speaker on Risk Learning courses on regulatory requirements. 

Horst specialises in risk modelling at financial institutions as well as model risk, with expertise across the full lifecycle and risk architecture. He is an experienced risk professional with a strong focus on model risk across the full spectrum of risk models for regulatory capital and impairments. He is able to communicate complex technical issues in an effective manner to prudential regulators and senior decision makers. He has a proven record of translating strategy into practical solutions delivered with highly engaged distributed teams. He is a frequent speaker for Risk Learning on diverse topics such as integrating ESG into model risk management, model risk management, and counterparty risk and SA-CCR.

Dr 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 a senior advisor for Solum Financial Derivatives Advisory and a faculty member for the Certificate of Quantitative Finance (CQF).

In addition to publishing papers on the pricing of credit risk and related topics, Jon is author of the book Counterparty Credit Risk The New Challenge for the Global Financial Markets published by Wiley Finance in December 2009 (now in its third edition) and Central Counterparties: Mandatory Central Clearing and Bilateral Margin Requirements for OTC Derivatives.

Jon has a PhD from Cambridge University.