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QuantMinds International
7 - 10 November, 2022
W Barcelona

Vladimir Chorniy
Senior Technical Lead at BNP Paribas

Profile

Vladimir Chorniy started his career in finance as a founding member and later led Credit Risk Analytics team in Barclays Capital. Later he headed Risk Methodology and Analytics team in BNP Paribas responsible for methodologies covering counterparty risk (EE/PFE models), market risk (VAR, IRC, CRM), credit value adjustment, capital calculations and exotic derivative treatment. Since 2014 Vladimir has assumed a new role to determine long term strategy of risk modelling in BNP Paribas as Head of Risk Modelling Strategy and Senior Technical Lead. In 2022 whilst retaining his strategy lead role Vladimir also became the head of newly formed Risk Model Fundamentals and Research Lab. Vladimir holds a Ph.D. in Physics from Cambridge University.

Agenda Sessions

  • Backtesting of longer term predictions. Threshold invariance and its limits

    15:10