Torsten Wegner

Expert Associate Partner at McKinsey & Company

Speaker

Torsten is an Associate Partner based in Berlin. He has 20+ years of experience in Risk Management with focus on Capital Markets related risks. Torsten is a core member of McKinsey´s Risk & Resilience Management practice since he joined first in 2008 and co-leads the Treasury & Trading hub globally. He joined Risk Dynamics in 2018 as a member of the ExCo, leading the Capital Markets serviceline

Torsten has worked on numerous projects on model risk, market risk, counterparty credit risk, liquidity risk and investment risk with leading CIB, Asset Management and Capital Markets infrastructure clients.

Relevant experience or recent engagements

• Reviewed the Algo Trading setup of a prop trading firm as part of a due diligence
• Supported a leading global bank in auditing the model risk management framework of an Algo Trading System (in FX)
• Supported a major Bank for the review of their algorithmic trading system and validation of trading algorithms for market-making activities
• Supported a major European investment bank to design and implement a target operating model for valuation risk management
• Validated Market Risk and Pricing models for an Asian bank
• Performed a benchmarking of the validation practices for valuation models of globally leading banks
• Validated valuation models for exotic derivatives for a Scandinavian bank
• Improved capital accuracy for CCR/CVA and MR for CIB & treasury units of major banks in Europe (UK, Germany, France), Asia (Japan) and Australia
• Supported a European G-SIB in improving the accuracy of key liquidity metrics (LCR, NSFR, internal metrics)
• Developed for a European GSIB an elevated target operating model for structural risk (liquidity, IRRBB, FX) management
• Worked with a leading global investment bank in creating transparency on the risk profile of the hedge fund portfolio
• Designed and implemented a Capital Control Tower function for the investment banking unit of a major European bank
• Reviewed the control function setup given aspired business shape for the asset management arm of a leading global bank
• Assessed the Counterparty Credit Risk management framework for a North American CIB

Background or education

• Torsten recently managed the financial risks of a Swiss private banking group and in another role was responsible for the strategy of the asset management arm of this group
• He holds a PhD in Theoretical Physics and an MSc in Mathematical Finance from Oxford University
• Member of McKinsey´s Risk Management Practice leadership group