Edwin Luppert Email & Phone Number

Stockholm, Stockholm County, Sweden

Stockholm, Sweden

Responsible for the Group's market and counterparty risk framework, methodology and infrastructure, comprising banking book and trading book.

Stockholm, Sweden

Principal at Oliver Wyman Finance and Risk, with particular focus on Data, Technology and Analytics

Stockholm, Sweden

• Managed the internal funds transfer pricing framework in coordination with Group ALCO at the largest Nordic bank (Nordea). Recruited and managed team of 6 senior analysts.
• Supported head of Group Liquidity Risk Management in the role as deputy
• Coordinated the process around the Group's Optimal Liability Mix model, to optimize funding costs subject to constraints in market capacity, price elasticity and regulatory metrics
• Measured IRRBB and developed internal interest and credit spread risk measures enabling to analyze and manage the Group's positioning towards these risks

Denmark

• Key role in developing and implementing core Treasury / Balance Sheet frameworks, in coordination with members of ALCO. The role also involves enhancing transparency and buy-in vs. Business Areas. Responsibilities.
• Ongoing methodology development and organization-wide roll-out of Liquidity Premia framework on transaction level to the whole Group (enabling inclusion in customer profitability systems and performance measurement)
• Implementation of system enabling contingent liquidity risk and survival horizon analysis, such that an internal assessment of liquidity buffer sizing can be made (acted as business owner)
• Development of systems for measuring overall interest rate and currency risk in the Group's Balance Sheet
• Involvement in developing and anchoring deposit hedge framework (hedging of interest rate risk margin on core deposits)
• Involvement in quantifying drivers of FX risk on consolidated level, and means to hedge FX risk in Core Tier 1 ratio

• Specialized within the Finance & Risk and Insurance practices of Oliver Wyman. Managed teams of fellow consultants and client resources to successful delivery of assignments (both strategic and methodology/quantitative.
• Market, liquidity and funding risk (is part of Oliver Wyman's liquidity & funding knowledge management) and linkage to liquidity reserve sizing and internal transfer pricing framework (FTP)
• Basel II, Pillar I/II, ICAAP, Economic Capital, risk aggregation and stress testing
• Counterparty and concentration risk (including both credit and market risks) and linkage to limits framework and risk appetite
• Solvency II and insurance risk modeling for internal solvency framework
• Asset portfolio modeling for a large energy trader, including aggregation of gas, coal, and hydro power assets, swing contracts and credit exposures

Research at the Signal Processing Lab of Ericsson. Analyzed and optimized analogue and digital filters; project results patented in the US in 2004, and presented at the Matlab Conference on Sep 22-23, 2003 in Copenhagen. Matlab chief scientist Cleve Moler was enthusiastic over how inversion of large symbolic matrices had been implemented, and how Matlab.

Msc, Engineering Physics

Masters thesis: Ericsson signal processing lab: "Inverse problems and other Methods for Estimation of Transmission Line Parameters" The.

Exchange Programme, Applied Mathematics And Physics