Alexander Denev has more than 10 years of experience in finance in different countries across Europe, and is the founder of Graph Risk, a company aimed at promoting the use of graphical models in risk management and asset allocation, and senior adviser to Risk Dynamics. He is involved in projects preparing major US and European banks for the CCAR/EBA stress-testing exercises. Denev led the wholesale modelling team responsible for stress testing at the Royal Bank of Scotland until 2014. He was also in charge of the EAD/LGD wholesale modelling teams.
Prior to that, he worked at RBS as a fixed income structurer, leading the bank’s tail hedging project. He provided advice and devised hedging products for big institutional clients (pension funds and insurance companies).
Before joining RBS, Denev was in charge of the Basel II/III implementation project for the European Investment Bank and European Investment Fund. He was also leading the stress-testing exercises both for the EIB and the EIF. He participated in the engineering of both the European Financial Stability Facility and the European Stability Mechanism. Prior to that, he covered different specialist and managerial positions in risk management departments in different large international groups, such as the National Bank of Greece, Societe Generale and BNP Paribas.
Denev holds a degree in mathematical finance from the University of Oxford. He also holds a BSc and MSc in engineering physics from the University of Rome. He is author of papers in finance on topics ranging from stress-testing to asset allocation. He is a regular speaker at key conferences and global forums, and is co-author of the book Portfolio management under stress.
