Oliver Salazar Celis

Oliver Salazar Celis, PhD, is an accomplished risk management practitioner. He combines his academic background with ample professional experience. The latter includes work on credit risk models (Pillar I and Pillar II) for several of the largest European Financial Institutions in different legislations. On these grounds, he also has a good understanding of regulations surrounding credit risk modeling. Besides credit risk, he is also an expert in the use of mathematical models and contributed to their development as evidenced by peer reviewed publications in international journals. Among others, these comprise applications in Mathematical Finance.

He obtained his PhD from the Department of Mathematics and Computer Science, University of Antwerp, Belgium.

Articles by Oliver Salazar Celis

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

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