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QuantMinds International

Savings end soon:

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7 - 10 November, 2022
W Barcelona

Sebastian Cassel
Head of Valuation Model Risk at BNP Paribas


Sebastian Cassel leads the Valuation Model Risk team at BNP Paribas, covering model validation for trading book valuations including xVA. Previously, he worked in the Quantitative Research Centre at Royal Bank of Scotland Group developing market & counterparty risk models. Sebastian holds a D.Phil. in theoretical physics from Oxford University and M.Sci. from Cambridge University.

Agenda Sessions

  • Fast pricing using tensor network methods