Dr. Aguais has over 30 years’ experience, utilizing E2E cross-functional teams to develop and implement advanced credit risk analytics and models in large banking institutions.

He spent 10 years delivering credit models and analytics through consulting at DRI/McGraw-Hill, AMS, KPMG and Algorithmics. From 2002 to 2014, he led the Basel II credit modelling teams at Barclays Capital and the Royal Bank of Scotland, achieving successful Basel II Waivers for each Bank. This effort including pioneering the first PIT/TTC Dual Ratings approach that was formally part of the successful Basel efforts.

Dr. Aguais earned a Ph.D in Economics and is an Associate Research Fellow at the University of Oxford CGFI climate institute, collaborating on further climate risk research.Widely published in the credit risk modelling literature with long-time collaborator, Dr. Larry Forest, having published roughly 25 credit risk publications and leading the global thought leadership on PIT/TTC ratings.

In 2015, he founded Aguais And Associates to bring Z-Risk Engine (ZRE) to the market to support PIT/TTC ratings for IFRS9 and Stress Testing. ZRE is a centralized Python or SAS platform that is fully customized and calibrated to a bank’s own specific portfolio segmentations. ZRE utilizes each bank’s IRB wholesale and commercial credit models as key inputs. Currently, an additional, long-run Climate Risk module is under development to extend ZRE.

I work in the Financial & Strategic Risk Division within Natwest Group, focussing on the embedding of climate risk analytics within scenario analysis and wider risk decision making. I led the capability build and delivery of the Natwest Group submission in the Bank of England climate stress test (CBES). I am also responsible for Natwest Group’s Pension Risk team and have held various other roles in the bank, including within operational risk capital and pension strategy. Prior to joining Natwest Group I worked for KPMG’s pension consulting business and am a member of the Institute and Faculty of Actuaries

Biography Coming Soon

Biography Coming Soon

Dirk Effenberger is Head Investment Risk at UBS CIO. His team monitors key financial market risks and assesses their impact on asset classes. In addition, his team publishes the UBS Global Risk Radar – an investor’s guide to key investment risks. Dirk joined UBS in 2007. Previously, he was an economist at Deutsche Bank Research (Frankfurt and Toronto) and Swiss Re (Zurich). Dirk is a regular speaker at UBS client events and a guest lecturer to Coursera and University of St. Gallen. Dirk holds a master’s degree and a PhD in Economics from the University of Muenster (Germany) and studied at the University of California (USA).

Vivien is Head of Financial Risk, managing investment, credit and prudential risks for GIB UK across asset management and banking. He previously held roles within the risk departments of Invesco (UK) and Amundi (Luxembourg). Vivien holds a MSc in financial markets from ICN Business School and a postgraduate degree in business law from the university of Nancy (France).

Marc Irubetagoyéna is a member of the Group RISK Board of BNP Paribas. In his current role, he is responsible for the global stress testing and financial simulations platform of BNP Paribas. After his studies of Engineering, Finance and Statistics, Marc started his career in consulting at Arthur Andersen in 1999. He joined BNP Paribas in 2002 within Group Finance. He drove the implementation of a value creation steering program and contributed to BNL Spa integration. In 2006, he moved to the Global Equity and Commodity business, launching notably a Private Equity offer. In 2009, he came back to Group Finance to ensure the financial synthesis of the Retail Banking division. In 2011, he launched a joint team between Group Finance and Group ALM Treasury to steer the liquidity of the Bank and implement a regulatory liquidity reporting framework. In 2015, he took the role of CFO of the Global Market business line. Marc holds Engineer diplomas from Ecole Polytechnique and ENSAE.

Biography Coming Soon

Dr Chris Kenyon is global head of quant innovation at MUFG, and global head of XVA quant modelling for MUFG. Chris is also honorary associate professor of mathematics at University College London, teaching quantitative sustainable finance. After working on smile models for inflation derivatives, Chris formalized KVA and MVA with Andrew Green. More recently he introduced a climate change valuation adjustment (CCVA), the carbon equivalence principle (CEP), a CO2-equivalent valuation adjustment (CO2eVA), and a design for a Scope 3 capital charge. Chris has degrees from University of Texas – Austin, and Cambridge University; he published 19 papers in the Cutting Edge section of Risk magazine.

Dr. Ying Poikonen is currently the Head of Modelling Group for EMEA region in SMBC. She is responsible for the quantification of Credit, Market, Liquidity, Operational and Climate Change related financial risks for both internal and regulatory purpose, as well as the development of Model Risk Management and Stress Testing for EMEA region. Prior to joining SMBC, Ying worked in Deutsche bank. She holds a PhD degree in Engineering from Warwick University.

Antonio is the lead senior manager of scenario design for global stress testing and strategic planning at HSBC. His responsibilities include the development of key climate and economic scenarios for global capital adequacy, business planning & risk management. Prior to joining HSBC, Antonio was the senior banking risk economist for emerging markets at IHS MarkIt and senior engineer at ACS Dragados. He holds a masters in International Economics from SAIS-Johns Hopkins University and a MSc and BSc in Civil Engineering from UPC-BarcelonaTech.

Alvaro holds a BSc in Physics and BSc in Mathematics at Universidad Complutense de Madrid (UCM). Afterwards, he completed a MSc in Medical Physics at San Diego State University (SDSU) and a MSc Thesis at University of California at San Diego (UCSD). He did research at UCSD for two years in applied physics (KBP – machine learning models) and also worked as a Teaching Associate at SDSU for two years. Later, he worked at Internal Validation Team of Banco Santander HQ as a credit analyst, gaining experience in several kind of credit risk models such as IFRS9, Stress Testing, Scoring, Machine Learning, IRB, PPNR. Nowadays, he is working as a Senior Lead validator at ING Wholesale Chapter (Credit Risk Model Validation) leading validation projects (IRB and IFRS9 wholesale models and also bankwide models such as Stress Testing and Economic Capital) and coordinate analysts in project team. Also, he is leading the Climate Risk Working Group at CRMV which is responsible of Climate Risk Stress Test Models, ESG ratings & Strategy, Regulation & Policies within Model Risk Management.

Biography Coming Soon

Biography Coming Soon.

Lena is EMEA Head of Treasury and Liquidity Risk at Credit Suisse since July 2021. Prior to her current role, she was Head of Audit Liquidity and Funding, also at Credit Suisse. Previous roles include Global Head of Liquidity Reporting and Analytics in Barclays Group Treasury, responsible for all liquidity regulatory reporting to the PRA and global MI reporting, and European Head of Treasury Capital Markets at Morgan Stanley. Lena holds a degree in Economics from Stockholm School of Economics, majoring in Financial Economics and Econometrics.

Z-Risk Engine® (ZRE) provides a highly accurate, centralised, and integrated solution supporting global bank’s compliance for IFRS9, CECL and Stress Testing regulations.

ZRE is a proven and efficient route to regulatory compliance for CROs and CFOs that also delivers potentially up to a 30% reduction in IFRS9 modelling operational costs. As an advanced suite of Python or SAS® based software that works with a bank’s own IRB wholesale internal credit models, ZRE unlocks complex industry and regional credit cycles to accurately convert TTC PD, LGD and EAD models into PIT measures. Whilst lowering implementation risk, the solution is also highly configurable and customisable to support large banks’ detailed portfolio mix of commercial, corporate and bank clients.

ZRE already projects bank ECLs for up to 40-year exposures in a Python Production implementation for a key Asian bank, as described in a recent case study. The ZRE Team has recently presented key components of an overall framework for Climate Stress Testing at recent climate conferences and are developing a Climate Module to assess long-run climate risks under various climate scenarios. The approach under development would support both regulatory climate scenarios and internal strategic scenarios supporting dynamic portfolios analysis.

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