Brent Oeyen

With an educational background in Financial Engineering, Brent Oeyen has worked as an advisor for various Risk Departments across Europe for different types of financial institutions. As a Credit Risk Quant he has expertise in:

Development and validation of Pillar-I and II credit risk models;
Development and validation of provision models under IAS 39 and IFRS 9; and
Credit Risk analyses for regulatory exercises such as AQR and TRIM.

In addition, he has worked with the pricing of financial products and building financial evaluation models.

Articles by Brent Oeyen

Original research

On probability of default and its relation to observed default frequency and a common factor

This paper considers a definition of through-the-cycle as independent from an economic state that can result in a time-varying TTC probability of default.

16 Sep 2019

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Alternatively you can request an individual account here