ALFI European Risk Management Conference
A multifaceted perspective
Monika Zlopasa is an Investment Risk Analyst at UBS Fund Management Luxembourg.
In her current role, Monika is involved in selection, parametrization and performance monitoring across models used in quantification of market, liquidity and other risks.
Before joining UBS in 2021, Monika worked in an advisory firm supporting clients from Luxembourg's investment fund industry on risk management matters, which included model reviews and validations.
Monika holds a master's degree in Financial Mathematics 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