Gender

Male

Location

Mainz

Tell us more about who you are, what you do and where you want to be. What are your main business challenges? (Tip: provide your current Job Title, Industry, company or/and paste your Linkedin profile here). Use as many relevant keywords as possible. Tell us what you can offer the community. What sorts of discussions, events, and activities you can participate in.

A mathematician by training, I am a risk professional with 20 years of work experience in banks and consulting, with various roles in IT development, risk modelling and valuation. I co-authored the books "Discounting, LIBOR, CVA and Funding" (with Chris Kenyon) and "Modern Derivatives Pricing" (with Lichters and Gallagher). My specialties are the Open Source Risk Engine (ORE), see opensourcerisk.org, XVAs, and risk models (design, implementation, validation).

I am interested in

Speaking engagements, Business deals, Expertise requests