Mirela Predescu

BNP Paribas

Mirela Predescu is a manager at BNP Paribas, Risk Analytics & Modelling in London. Mirela is also a Visiting Lecturer at Cass Business School, City University London. Prior to BNP Paribas, Mirela has held positions in the portfolio modelling team at Lloyds Banking Group and the quantitative analytics team at Fitch Solutions. Before moving to the financial industry, Mirela was a University Lecturer at Saïd Business School, University of Oxford. Mirela holds a PhD in Finance from Rotman School of Management, University of Toronto and an MA in Economics from University of Toronto.

Articles by Mirela Predescu

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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