Vladimir Chorniy

BNP Paribas

Vladimir Chorniy started his career in finance as a founding member and later led Credit Risk Analytics team in Barclays Capital. Later he headed Risk Methodology and Analytics team in BNP Paribas responsible for methodologies covering counterparty risk (EE/PFE models), market risk (VAR, IRC, CRM), xVA, capital calculations and exotic derivative treatment. Since 2014 Vladimir has assumed a new role to determine long term strategy of risk modelling in BNP Paribas as Head of Risk Modelling Strategy and Senior Technical Lead. In 2022 whilst retaining his strategy lead role Vladimir also became the head of newly formed Risk Model Fundamentals and Research Lab. Vladimir holds a Ph.D. in Physics from Cambridge University.

Articles by Vladimir Chorniy

Original research

Dissecting initial margin forecasts: models, limitations and backtesting

The authors demonstrate that initial margin is not value-at-risk, but its approximation, and suggest a generic backtesting and verification framework that accommodates both forecasting limitations and existing models.

28 Jan 2025

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