Christopher Van Weverberg Email & Phone Number

Région De Bruxelles, Belgique

Redevelopment of a Belgian Bank’s replicator model (in VBA) to assess the sensitivity of Non-Maturing Deposits to interest rates changes- Calibration of volatile & core balances using a Liquidity-at-Risk approach- Historical replicator (optimization of static replication strategy and calculation of durations)- Assessing the behaviour of the replicator under forward looking assumptions, assuming deposit rates are driven by competitors ratesDevelopment for a Belgian Insurer of a procedure using the Extreme Value Theory (EVT) for the calibration of the threshold of large claimsDevelopment for a Belgian Insurer of a procedure regarding the treatment of development triangles and the calculation of the Best Estimate of the liabilities- LDFs computation and selection- Tail factor selection- Loss ratios selection- Stochastic reserving- Assumptions and Model testingDetermination for a Belgian Insurer of the Best Estimate of the liabilitiesDevelopment for a Belgian Bank of an application in R Shiny modelling the residential mortgages prepayment rate (CPR model)

Région De Bruxelles, Belgique

Validation of several Initial Margin models for Securities and Derivatives products for European and American CCPs- Replication of IM models (in R) for Stocks, Bonds, ETFs, Equity Futures, FX Futures, commodity Futures, Equity Options and FX Forward options - Replication (in R) of the volatility surface construction - Replication and testing of the Forward rates data cleansing methodology and transformation (missing data imputation, outlier detection, triangular relation-ship arbitrage check) and statistical testing of data accuracy and appropriateness - Model assumptions testing (e.g. methodological testing on specific model re-quirements or assumptions, stress data methodology, procyclicality, etc.) - Model performance testing (e.g. back-testing and coverage analysis) including performance criteria at single and portfolio level - Model output sensitivity/stability testing - Design and implementation of challenger/benchmark models (in R)Validations of Catastrophe Risk and Insurance Underwriting Risk models for a large Reinsurer in UK and a large Insurer in the Netherlands - Independent validation of Catastrophe Risk models and Insurance Underwriting Risk including Analysis of Change, Back-testing, Sensitivity testing, Stability testing and Benchmarking Validation of the Economic Scenario Generator of an Insurance company in the Netherlands - Process description (data flow process, controls, etc.) - Review of the documentation and tools used CCAR credit risk models Baseline PD model validations for a North American and for a Swiss bank

Brussels

- Conducting research on Wishart processes (multivariate Heston model), Lévy processes and Continuous-state Branching processes with Immigration)- Performing quantitative analysis using Matlab- Drafting journal articles and other publications- Exams organization- Teaching courses (Probability and Statistics, Stochastic Finance, Differential Calculus)

Brussels

Research fellow of the Formation à la Recherche dans l'Industrie et dans l'Agriculture (FRIA).

Brussels

Math tutor for the first-year students in Faculty of Sciences.

Phd In Mathematical Finance

Thesis: "Contributions to the Study Affine Processes with Applications in Insurance". Supervisors: Professor Griselda Deelstra (ULB).

Master In Actuarial Sciences, Magna Cum Laude

Thesis: "Les options paniers dans des modèles de diffusions à sauts et un modèle à volatilité stochastique via les processus de Wishart"​..

Bachelor In Mathematics, Magna Cum Laude