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Frank Christophersen

Frank Christophersen

Control Engineer

Followers of Frank Christophersen819 followers
location of Frank ChristophersenZurich, Zurich, Switzerland

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  • Timeline

  • About me

    Head of Core Credit Risk Model Validation (Quantitative Validation) • CS Model Risk Management & Control at UBS Group • Executive Director

  • Education

    • University of Twente

      2000 - 2001
      Control Theory, Systems Theory

    • ETH Zürich

      2002 - 2006
      Dr. sc. ETH Zurich Control Theory, Systems Theory, Optimization, Mathematics

      Activities and Societies: Control Theory, Systems Theory, Hybrid Systems, Optimization, Applied Mathematics, Mathematical Modeling

    • University of Stuttgart

      1996 - 2002
      Dipl.-Ing. (tech. kyb.) Engineering Cybernetics, Control Engineering

  • Experience

    • DaimlerChrylser (research)

      Dec 2001 - Mar 2002
      Control Engineer

      Research department for System Dynamics of Vehicles in Stuttgart, Germany

    • ETH Zürich

      May 2002 - Apr 2007

      control theory, systems theory, applied mathematics, engineering cybernetics, optimization control theory, systems theory, hybrid systems, applied mathematics, teaching

      • Post-doctoral Researcher

        Sept 2006 - Apr 2007

      • Researcher

        May 2002 - Aug 2006

    • UBS

      May 2007 - Jan 2010
      Market Risk Manager in FX & Rates, Associate

      derivatives, exotic options, market risk, foreign exchange (FX), risk management

    • Credit Suisse

      Jan 2011 - Aug 2023

      Model Scope: Operational Risk (AMA, ERC, Stress Testing); Incremental Risk Charge/FRTB Default Risk Charge, and Credit ERC across all business divisions of Credit Suisse globally Main responsible risk modeler of the global Lombard risk model within the Private Bank of Credit Suisse comprising Market Risk and Credit Risk modelling.

      • Head of Large Modeling Frameworks (Quantitative Validation) - Model Risk Management

        Jan 2021 - Aug 2023

      • Head of Model Validation (OpRisk, Credit Risk, Stress testing models) - Model Risk Management

        Apr 2018 - Dec 2020

      • Model Validation Lead/Senior Quantitative Analyst (Risk Model Validation & Model Risk Managment)

        Jan 2013 - Mar 2018

      • Senior Financial Risk Modeller & Developer

        Jan 2011 - Jan 2013

    • UBS

      Sept 2023 - now
      Head of CS Model Risk Management & Control - Core Credit Risk Model Validation

      I head the independent model validation function within CS Model Risk Management & Control/CRO across multiple model work streams globally, covering Credit Risk models (Pillar 1: Advanced IRB; Pillar 2: Stress Testing, Impairment), Lombard (Pillar 1 Advanced IRB; business models), Multi-component/multi-factor portfolio models in the areas of IRC/FRTB Default Risk Charge (Pillar 1; Pillar 2 Stress Testing) and Credit ERC across all business divisions globally. Securing and maintaining the regulatory approval for risk capital models. Show less

  • Licenses & Certifications

    • Swiss Risk Curriculum

      Credit Suisse
      Jul 2023