Our Industry Adviser Leif Andersen Receives Quant of the Year 2018 Award
We are thrilled to announce that Leif Andersen, BAML and Industry Adviser to our program, was one of the three recipients of Risk’s Quant of the Year 2018 award. Together with Michael Pykhtin (Federal Reserve Board in Washington, DC) and Alexander Sokol (CEO of CompatibL), they created a model that quantify settlement risk and demonstrated that massive exposures can occur during certain periods in the margining cycle, even in the presence of initial margin. To mitigate these resulting massive exposures, they suggested several solutions that are now being further explored by market participants.
“Those banks that feel they can sniff out default risk a mile away should feel free to be more aggressive on the parameterisation and assume a shorter margin period of risk,” says Leif Andersen who also won this prestigeous award in 2001.
We congratulate them to their great work and achievement!
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