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Lukasz Prorokowski
Dr. Lukasz Prorokowski is affiliated with the Institute of Financial Complex Systems at the Masaryk University in Brno, where he researches issues revolving around credit risk modelling, financial collateral, shadow banking and risk model validation. Aside his academic career, Lukas has been working in the internal model validation team of the largest universal bank in Luxembourg.
Currently, Lukasz is working on the ECB’s Targeted Review of Internal Models in Luxembourg. Lukasz’ main tasks involve ensuring the fulfilment of the ECB’s requests regarding credit risk modelling. Lukasz is also working on the model validation and model review under the IFRS 9 specifications. Previously, Lukasz has worked for various tier-1 banks on regulatory reporting projects with focus on Credit Concentration Risk and Credit Risk (Pillar 2) within the Stress Test Data Framework. Lukasz modelled and managed banking book and trading book exposure portfolios.
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Articles by Lukasz Prorokowski
Validation nightmare: the slotting approach under International Financial Reporting Standard 9
This paper makes an important contribution to the practice of validation by focusing on an under-researched area of the slotting approach to real estate specialized lending under the International Financial Reporting Standard 9 (IFRS 9) framework.
Validation of index and benchmark assignment: adequacy of capturing tail risk
This paper provides practical recommendations for the validation of risk models under the Targeted Review of Internal Models (TRIM).
Risk data validation under BCBS 239
Based on a survey of twenty-nine major financial institutions, this paper aims to advise banks and other financial services firms on what is needed to get ready for and become compliant with BCBS 239, especially in the area of risk data validation.
Validation of the backtesting process under the targeted review of internal models: practical recommendations for probability of default models
This paper provides practical recommendations for the validation of the backtesting process under the targeted review of internal models (TRIM).