Matthias Arnsdorf: Global head of Counterparty Credit Risk Quantitative Research, J.P. Morgan

Since 2012 Matthias has been heading the counterparty credit risk quantitative research team globally.

His main responsibilities include the development & support of J.P. Morgan’s suite of credit exposure models which are used for valuation and risk management as well as credit capital.

Prior to his work in credit risk, Matthias headed the market risk capital modelling effort in EMEA for two years. Matthias started his career in finance in 2002 as a credit derivatives quantitative researcher at UBS and J.P.Morgan.

Matthias holds a PhD in Quantum Gravity from Imperial College London and has spent two years as a post-doctoral researcher at the Niels Bohr Institute in Copenhagen prior to his move to quantitative finance.

Sarah B Tremel: Global Head of Analytics – Product Control, HSBC

Gonzalo Garcia-Kenny: Managing Director, Head of Portfolio Optimisation Desk, Citi

Andrew Green: Managing Director and Lead GFI Quant, Scotiabank

Andrew Green is a Managing Director and lead XVA Quant at Scotiabank in London. Prior to joining Scotiabank, Andrew held roles as a quantitative analysis in several different banks in London. He is the author of XVA: Credit, Funding and Capital Valuation Adjustments, published by Wiley. 

Jon Gregory: Independent xVA Expert 

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). He also serves on the Academic Advisory Board of IHS Markit and is a Managing Editor of the journal Quantitative Finance.

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.

Ivan Zhdankin: Systematic Trading, JPMorgan Chase & Co

Ivan Zhdankin is a quantitative researcher with experience in diverse areas of quantitative finance, including risk modelling, XVA, and electronic trading across asset classes, including commodity futures and G10 and emerging market currencies. Ivan was consulting various banks in quantitative modeling and has recently joined JP Morgan as a quantitative analyst. He has become one of the first researchers to generate convincing results in electronic alpha with neural nets. He has a solid mathematical background from New Economic School and Moscow State University, where he studied under the celebrated Albert Shiryaev, one of the developers of modern probability theory.

Youssef Elouerkhaoui: Managing Director, Global Head of Markets Quantitative Analysis, Citi

Youssed Elouerkhaoui is the global Head of Credit Quantitive Analysis at Citi. His group supports all aspects of modelling and product development across desks, thais includes: Flow Credit Trading, Correlation Trading, CDOs, Exotics and Emering Markets.

He also supports CVA, Funding and Regulatory Capital for Credit Markets. Prior to this, he was a Director in the Fixed Income Derivatives Quantitative Research Group at UBS, where he was in charge of developing and implementing models for the Structured Credit Desk. Before joining UBS, Youssef was a Quantitative Research Analyst at Credit Lyonnais supporting the Interest Rates Exotics business. He has also worked as a Senior Consultant in the Risk Analytics and Research Group at Ernst & Young. He is a graduate of Ecole Centrale Paris and he holds a PhD in Mathematics from Paris-Dauphine University.

Marco Bianchetti: Head of Market and Counterparty Risk IMA Methodologies, Intesa Sanpaolo

Marco holds a M.Sc. in theoretical nuclear physics (1995) and a Ph.D. in theoretical condensed matter physics (2000) from Università degli Studi di Milano. In 2000 he joined the Financial Engineering team of Banca Caboto (now IMI CIB Division of Intesa Sanpaolo), developing pricing models and applications for trading desks. In 2008 he moved to the Financial and Market Risk Management area of Intesa Sanpaolo. In 2015 he was appointed head of Fair Value Policy, developing the global fair/prudent/IPV policies and the valuation risk management framework of Intesa Sanpaolo Group. In 2021 he was appointed head of IMA Market Risk, in charge of regulatory market risk models and RWAs under Basel 2.5 and FRTB. Since Sept. 2024 he is head of Market and Counterparty Risk IMA Methodologies for Intesa Sanpaolo Group.

His work covers pricing and risk management of financial instruments, market risk, valuation risk, interest rates, XVAs, quasi-Monte Carlo, financial bubbles and portfolio optimization. He is the author of a few research papers, adjunct professor at Università di Bologna (2015-present) and at Università di Torino (2018-2023), member of Conference/Ph.D/Master Advisory Boards, and a frequent speaker at international conferences.

See also the LinkedIn profile.

Ignacio Ruiz: Founder, MoCaX Intelligence

Ignacio Ruiz has been the Head of Counterparty Credit Risk Measurement and Analytics, Scotiabank, the head strategist for Counterparty Credit Risk, exposure measurement, for Credit Suisse, as well as the Head of Risk Methodology, equities, for BNP Paribas. In 2010, Ignacio set up iRuiz Consulting as an independent advisory business in this field. In 2014, Ignacio founded iRuiz Technologies to develop and commercialise MoCaX Intelligence.

Ignacio has several publications in the space of quantitative risk management and pricing. He has also published a comprehensive guide to the subject of XVA Desks and Risk Management.

He holds a PhD in nano-physics from Cambridge University.

Chris Kenyon: Director: Head of XVA Quant Modelling, MUFG Securities EMEA plc 

Dr Chris Kenyon is head of XVA Quant Modelling at MUFG Securities EMEA plc. Previously he was Head of XVA Quantitative Research at Lloyds Banking Group, head quant for Counterparty Credit Risk at Credit Suisse, and (post-crisis) Head of Structured Credit Valuation at DEPFA Bank Plc. He is active in XVA research, introducing KVA and MVA, with Andrew Green in 2014-15, their accounting treatment in 2016-17, as well as double-semi-replication and behavioural effects on XVA. He contributes to the Cutting Edge section of Risk magazine (most-cited author in 2016; 5th most-published author 1988-present in 2017), co-edited “Landmarks in XVA” (Risk 2016). He has a Ph.D. from Cambridge University and is an author of the open source software QuantLib.

Alberto Elices: Head of XVA Model Validation, Santander

Alberto Elices obtained a PhD in Power Systems Engineering at Pontificia Comillas University (Madrid, Spain) and a Masters in Financial Mathematics at the University of Chicago. He joined Santander in 2004 after spending two years in a hedge fund in New York. He has worked as Equity and FX quantitative analyst, headed Equity Model Validation and he is currently Head of XVA Model Validation within Model Risk Area at Santander in Madrid (Spain). During his professional career, he has also published a number of papers in practitioner and academic journals.

Mats Kjaer: Head of Quant XVA Analytics Bloomberg LP

Stéphane Crépey: Professor of Mathematics at the Université de Paris, Laboratoire de Probabilités, Statistique et Modélisation (LPSM)

Stéphane Crépey is the Professor of Mathematics at the Université de Paris, Laboratoire de Probabilités, Statistique et Modélisation (LPSM). Formerly professor at the Mathematics Department of University of Evry (France), head of Probability and Mathematical Finance and head of the Engineering and Finance branch (M2IF) of the Paris-Saclay Master Program in Financial Mathematics. His research interests are financial modeling, counterparty and credit risk, numerical finance, as well as related mathematical topics in the fields of backward stochastic differential equations and partial differential equations. He is the author of numerous research papers and two books: “Financial Modeling: A Backward Stochastic Differential Equations Perspective” (S. Crépey, Springer Finance Textbook Series, 2013) and “Counterparty Risk and Funding, a Tale of Two Puzzles” (S. Crépey, T. Bielecki and D. Brigo, Chapman & Hall/CRC Financial Mathematics Series, 2014).

He is an associate editor of SIAM Journal on Financial Mathematics, International Journal of Theoretical and Applied Finance, and a member of the scientific council of the French financial markets authority (AMF). Stéphane Crépey graduated from ENSAE and he holds a PhD in applied mathematics from Ecole Polytechnique and INRIA Sophia Antipolis.

Matteo Rolle: Senior Director, Head of In Business Risk, Capital and Collateral, Lloyds Banking Group

After finishing my MSC in physics Matteo worked 3 years and a half in equity derivatives Algo Trading in Italy before moving to London. After a short experience as a quant in option market making Matteo ended up in Lloyds where he is currently employed.

In Lloyds Matteo spent 2 years as a CVA/FVA quantitative researcher during which time he ended up making a lot of work from a quantitative and regulatory perspective for the repo desk as well as the CVA desk. At the beginning of 2014 he joined the repo desk as a Collateral Optimisation Trader and has been responsible for capital and collateral optimization trades such as clearings, compressions, setting up Bilateral Independent Amounts and Initial Margins, for choosing and sourcing the collateral to post for initial and variation margin for CCPs and CSAs.

Matteo is now heading the In Business Risk, Capital and Collateral team in Financial Markets with full responsibility for capital and collateral management and heading a first line risk team.

Justin Chan: Head of Product Management, Risk, FIS

Justin Chan has over 11 years of experience in financial risk management and capital markets. Mr. Chan has a deep focus on quantitative modelling in areas such as xVA, credit exposure, and collateral simulations. He is currently responsible for the Risk Quantitative Strategy and Innovation program at FIS. Prior to FIS, Mr. Chan worked at Manulife Financial as a manager in corporate risk management.

Mr. Chan studied engineering science (BASc), and theoretical physics (MSc) at University of Toronto, where he also holds a Master of Mathematical Finance (MMF) degree.

Mariano Zeron: Head of Research and Development: MoCaX Intelligence

Marco Bianchetti: Head of Market and Counterparty Risk IMA Methodologies, Intesa Sanpaolo

Marco holds a M.Sc. in theoretical nuclear physics (1995) and a Ph.D. in theoretical condensed matter physics (2000) from Università degli Studi di Milano. In 2000 he joined the Financial Engineering team of Banca Caboto (now IMI CIB Division of Intesa Sanpaolo), developing pricing models and applications for trading desks. In 2008 he moved to the Financial and Market Risk Management area of Intesa Sanpaolo. In 2015 he was appointed head of Fair Value Policy, developing the global fair/prudent/IPV policies and the valuation risk management framework of Intesa Sanpaolo Group. In 2021 he was appointed head of IMA Market Risk, in charge of regulatory market risk models and RWAs under Basel 2.5 and FRTB. Since Sept. 2024 he is head of Market and Counterparty Risk IMA Methodologies for Intesa Sanpaolo Group.

His work covers pricing and risk management of financial instruments, market risk, valuation risk, interest rates, XVAs, quasi-Monte Carlo, financial bubbles and portfolio optimization. He is the author of a few research papers, adjunct professor at Università di Bologna (2015-present) and at Università di Torino (2018-2023), member of Conference/Ph.D/Master Advisory Boards, and a frequent speaker at international conferences.

See also the LinkedIn profile.