EELCO SCHEER
MSc Finance
University of Tilburg
Tilburg, the Netherlands
MBA
Sheffield University Management School
Sheffield, United Kingdom
BScEd Mathematics
Pedagogisch Technische Hogeschool
Eindhoven, the Netherlands
After ten years in Business Intelligence and Data Warehouse related positions Eelco started at SNS REAAL as DWH consultant followed by a position as team manager Risk Management Systems. Other departments were added, and he was named head of Risk Operations. His contribution was a complete transformation of a staff department to a project driven department. In this position Eelco led four teams totaling 60 FTEs (including externals) for the Risk systems, Risk projects and programs (Basel II/III and Solvency II), Risk modeling and (internal) Risk consulting.
Translating information needs into intelligent information solutions, implementation of risk platforms and bespoke applications are Eelco’s area of expertise. Amongst these solutions for Solvency II including DWH and projects for information management.
Roles as project manager, managing the 2018 SSM SREP Stress Test and writing governance for modeling and validation departments form a substantial parts of his activities. Lately a role as Model Risk Manager is his part as Model Risk Management sparked his attention in the last assignments.
EDUARD BACKX
Land and Water Management
University of Applied Sciences Van Hall Larenstein
Leeuwarden, the Netherlands
Business Administration (CT)
Nyenrode Business University
Breukelen, the Netherlands
Risk management and lending are the fundament of Eduard’s career. He fulfilled the role as risk manager in various, sometimes exciting and controversial situations. These experiences shaped his profile and gave insights that are indelible and will give value to his advises. Eduard is a manager with sturdy luggage. A thinker and a doer. He is curious and stays authentic. He knows how to find out drivers and forces and comes with useful solutions that make sense. Often just by asking the right questions.
Eduard’s career started ad ABN AMRO where he fulfilled various roles, both in sales as well as in Risk Management. He then transferred to Bouwfonds where he improved the risk governance and the risk policy. Later at SNS Bank he led a team, responsible for the Risk Management policy and governance, rating and risk-reward models. Insights were given by analyzing the real estate market, related to the valuation of the bank-portfolio. Eduard managed the risk management department of Waarborgfonds Sociale Woningbouw (WSW) where he improved the methodology of guarantee to the housing associations. These guarantees enable housing associations to borrow on favorable terms.
As a partner of RiskTopics Eduard knows how to connect Risk, Governance and Compliance. He is engaged with improving governance, implementing compliance issues, answering difficult financing issues, dealing with financing and data improvement in financial restructuring and recovery, both for wholesale and commercial property finance.
ANDREY MALAKHOV
MSc Risk Management
Duisenberg School of Finance
Amsterdam, the Netherlands
MSc Finance
Vrije Universiteit Amsterdam
Amsterdam, the Netherlands
BSc Mathematical Models in Economics
Novosibirsk State University
Novosibirsk Oblast, Russia
Andrey Malakhov has a wealth of experience in developing financial models as a quantitative analyst. He has a demonstrated history of working in the financial services industry.
Andrey is a skilled programmer, who has worked with Python, R, SQL, Matlab and SAS. He is a certified advanced SAS Programmer, with strong abilities in carrying out analyses with data sets of any size.
Andrey gained his MSc in Risk Management from the Duisenberg School of Finance in Amsterdam. He followed a variety of courses with a focus on credit risk, market risk and derivatives. This culminated in his thesis, which focused on empirical analysis of simple moving average strategies and tactical asset allocation.
NAM DANG
MSc Applied Mathematics
Delft University of Technology
Delft, The Netherlands
MSc Systems and Control
Delft University of Technology
Delft, The Netherlands
BSc Mechanical Engineering
Delft University of Technology
Delft, The Netherlands
Nam Dang has a wide background in engineering and mathematics. Particularly in simulation and numerical mathematics. The main subjects he is interested in are: machine learning, data-science, programming and algorithmic trading. He is very precise and structured, but can also be pragmatic if needed.
In a software migration project at Aegon, he has worked as a tester and developer in the R language. He is a skilled programmer in Matlab, R, Python and SQL.
His master theses were about mechanism design of voting systems and bi-level optimization of contract design.
UTTIYA SENGUPTA
PhD, Computational Physics
TU Delft
Delft, The Netherlands
M. Eng. Chemical Engineering
IISc Bangalore
Bangalore, India
BTech. Chemical Engineering
IIT Kharagpur
Kharagpur, Indi
Uttiya has participated in a variety of projects including model development, model validation, data quality analysis and GAP assessment in his role as a quantitative risk analyst at ABN AMRO.
He has excellent programming skills in SAS, Matlab, Fortran and C. He is also an almost fully qualified actuary from the Institute and Faculty of Actuaries, UK.
He has completed his PhD in Computational Physics from TU Delft. His PhD thesis involved Direct Numerical Simulations of CO2 flows using High Performance Computing. During his thesis, he used a variety of statistical techniques for generating and post processing stationary time series data.
NICOLA DAL BIANCO
PhD, Industrial Engineering, University of Padova, Italy
M.Sc, Physics, University of Padova, Italy
B.Sc Physics, University of Pisa and Padova, Italy
ÁNGELA CEPERO FUSTERO
MSc Mathematics University of ZaragozaZaragoza, Spain
MSc Statistic Science
University of Zaragoza
Zaragoza, Spain
MSc Big Data and IA
EOI Escuela de Organización Industrial Madrid, Spain
Ángela has extensive knowledge of applied mathematics and statistics in banking. She has developed her entire career, more than 14 years, working in the financial sector. Starting with a placement in the commercial department moving on to foreign financial operations and credit risk working hand in hand with the technological development team.
She has more than 10 years of experience in credit risk development, calibration and embedding of models as well as pre-application and application processes for the AQR, IRB credit risk models and IFRS9. Ángela enjoys joint-efforts and collaborated with other departments. Examples are in setting up the necessary accompanying processes meeting the above regulatory requirements as well as supporting the development of commercial strategies, from the credit risk perspective, for instance for the automatic admission, approval and capture of loans, credits, and credit cards.
In recent years she has specialized in Data Governance, Quality Review, remediation, and traceability. She is very interested in Big Data, AI, machine learning, modelling, data quality, and statistical testing to ensure information quality. Angela is well experienced with SQL, R, Excel, and Power BI, and is working with other languages and programs such as Python and SAS.
MEET THE TEAM: COLLABORATING PARTNERS
CHENGGANG SHEN
PhD MIcro-electronics
TU Delft
Delft, The Netherlands
FRM charter holder
Dr. Chenggang Shen is a senior front-office quant developer with 6+ years of hands-on experience (ING and NN). He is specialized in developing and maintaining production level pricing engines for reporting the MtM values of large trading or pension product portfolios.
He masters a number of programming languages such as C++, C#, VBA and Python. In recent years, he got involved in building various market risk models in Python together with building a GUI using Java script. He also has good knowledge on various risk topics and holds the FRM certification since 2015.
Before entering the financial industry, Chenggang worked as a Post Doc researcher in Applied Physics at the TU Delft. And he holds a PhD in Microelectronics from the same institution.
JAKOB BOSMA
PhD, Economics
Rijksuniversiteit Groningen
Groningen, The Netherlands
Dr. Jakob Bosma is a senior quant with 6 years of experience in pricing model validation for Vanilla and Exotic interest rate derivatives; model development in the context of FRTB and credit risk IFRS9; and validation of regulatory risk models covering both credit and market risk (ING, ABN AMRO, MUFG Bank Europe).
He holds a PhD in economics from the University of Groningen with a focus on applications in game theory and econometrics. He is comfortable contributing to team libraries in C++ and Python, and with an econometric background able to handle large datasets and their limitations in Matlab, SAS, R or Stata.
He maintains a part-time assistent professor position at the University of Groningen where he teaches institutional investment management in the economics, econometrics and finance department and supervises a number of master thesis projects.
FANG FANG
PhD Computational Finance
TU Delft
Delft, The Netherlands
Fang Fang is a senior quant with 12 years hands-on experience in pricing model validation (financial instruments across asset classes), market risk and counterparts credit risk model development and validation at major financial institutions in the Netherlands (ING, Rabobank International, Aegon Asset Management).
She holds a PhD in Computational Finance from the Applied Mathematics department of the Delft University of Technology. Her first paper on her original numerical method, the COS method has gained 600+ citations since 2008.The method is highly efficient in pricing options based on Fourier cosine series expansion and is highly popular amongst practitioners around the world.
Her research activities did not stop after she entered the financial industry as a quant. In summer 2016, she started her own quantitative consulting firm, which provides professional quant consulting services, research and tooling services and training services to the financial industry.
EELCO SCHEER
MSc Finance
University of Tilburg
Tilburg, the Netherlands
MBA
Sheffield University Management School
Sheffield, United Kingdom
BScEd Mathematics
Pedagogisch Technische Hogeschool
Eindhoven, the Netherlands
After ten years in Business Intelligence and Data Warehouse related positions Eelco started at SNS REAAL as DWH consultant followed by a position as team manager Risk Management Systems. Other departments were added, and he was named head of Risk Operations. His contribution was a complete transformation of a staff department to a project driven department. In this position Eelco led four teams totaling 60 FTEs (including externals) for the Risk systems, Risk projects and programs (Basel II/III and Solvency II), Risk modeling and (internal) Risk consulting.
Translating information needs into intelligent information solutions, implementation of risk platforms and bespoke applications are Eelco’s area of expertise. Amongst these solutions for Solvency II including DWH and projects for information management.
Roles as project manager, managing the 2018 SSM SREP Stress Test and writing governance for modeling and validation departments form a substantial parts of his activities. Lately a role as Model Risk Manager is his part as Model Risk Management sparked his attention in the last assignments.