ALFI European Risk Management Conference
A multifaceted perspective
Stef Dekker is Head of Risk Management at Amundi Luxembourg. He has 12 years of experience in the asset management industry working as both in-house risk manager and external consultant for management companies. Stef developed expertise in UCITS and alternative strategies including real-estate and private equity. He is an active member of ALFI risk management working groups. As educational background he holds an MSc in Investment Analysis from Tilburg University and is a certified Financial Risk Manager (FRM®).
Speaking at
The CSSF thematic review highlighted some areas for improvement relating to back-testing practices. When it comes to Value-at-Risk, what other approaches can enhance the model performance assessment beyond the dominant Kupiec and Christoffersen methodologies? Acknowledging that a broader range of estimates are subject to model risk, what other models should be back-tested in priority? Refining their discussion through concrete examples, the panellists will contrast and compare market practices, highlighting quick wins and opportunities for risk managers to enhance their confidence in their models.
Head of Risk
Manager
Senior Risk Manager
Investment Risk Control