Sascha Wilkens

BNP Paribas

Sascha Wilkens is a senior manager at BNP Paribas, Risk Analytics & Modelling in London and previously held other positions in banking and quantitative consulting. He has published more than 60 articles in finance, many of them in internationally renowned peer-reviewed journals. His research interests are currently focussed on derivatives pricing, risk measurement and management as well as empirical capital market research. Sascha is a CFA and CAIA charterholder and holds a PhD in Finance as well as a Master’s Degree in Applied Mathematics.

Articles by Sascha Wilkens

Original research

Model risk in the Fundamental Review of the Trading Book: the case of the Default Risk Charge

This paper assesses the model risk associated with the copula choice for the calculation of the Default Risk Charge (DRC) measure.

22 Mar 2018

Original research

Default risk charge: modeling framework for the “Basel” risk measure

This paper presents a comprehensive model framework for DRC that is compliant with the revised Basel regulatory framework.

30 Mar 2017

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