René Stock
Vice President, Market Risk Measurement @Scotiabank
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WORK HISTORY
Vice President, Market Risk Measurement @Scotiabank
CA
Key subject matter expert in emerging trends in market risk, counterparty credit risk and risk management. Managing large team for analytics and development related to counterparty credit risk, market risk and ALM risk. Responsible for risk measurement methodology and prototyping of new risk measurement models. Representative for Scotiabank in discussions with Canadian Banker\'s Association, Bank of Canada, OSFI on new regulatory initiatives, such as Dodd Frank, internal model methods and capital floors, initial margin requirements, SA-CCR, and FRTB.
EDUCATION
The University of New Mexico
M.S.
Universität Würzburg
Vordiplom
The University of New Mexico
Ph.D.
University of Toronto - Rotman School of Management
MBA
SKILLS
ABOUT RENÉ STOCK
Key subject matter expert in emerging trends in market risk and counterparty credit risk. Hands-on experience in development of new risk measurement processes, data analytics and technology systems. Responsible for oversight of counterparty credit risk (CVA and Capital) for the entire derivative trading business at Scotiabank. Representative for Scotiabank in discussions with regulators and policy groups on key methodology and risk modelling issues such as Initial Margin Requirements and FRTB. Established the Methodology and Research group managing a team of 10+ quants, spearheaded the bank’s first counterparty credit risk backtesting program and helped lead Scotiabank to become the first Canadian bank to be approved by Canadian regulators to use internal models for Counterparty Credit Risk. Gained extensive experience in numerical simulations, analysis of complex systems, and in providing creative solutions and insights in previous career as award-winning theoretical physicist. Outstanding research and presentation skills with 17 publications in distinguished journals such as Physical Review Letters; 52 conference and other presentations. Current interests: Financial regulations and impact on economy and financial systems, Quantitative Finance and Risk Management, Counterparty Credit Risk, data analytics and data science.Specialties: Counterparty credit risk and internal model method, VaR and FRTB, Basel Regulatory Capital, Dodd Frank. Derivative models for several business lines including commodities and fixed income. Quantum Information and Quantum Computing. Managing a team of 10 quants.
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