Stephan Jortzik

Stephan Jortzik has 20 years of experience in capital markets research and the financial industry. He contributed extensively to developing advanced quantitative methods for identifying and measuring portfolio risks and building models for single name and portfolio risk estimates, both academically and to be applied practically, covering areas in credit and operational risk. He specialises in PD, LGD, EAD modelling, forecasting and stress testing.

Dr Jortzik is a Board Member of Global Credit Data (GCD) and chairs GCD’s Methodology Committee. He is Head of Wholesale Credit Risk Modelling and Head of Stress Testing and ECL Modelling at the Australia and New Zealand Banking Group (ANZ). Before joining ANZ, he held positions at Westpac Institutional Bank and Fitch Ratings. Dr Jortzik graduated and holds a PhD in Economic Sciences from the University of Goettingen.

Articles by Stephan Jortzik

Original research

Benchmarking loss given default discount rates

This paper provides a theoretical and empirical analysis of alternative discount rate concepts for computing loss given default rates using historical bank workout data.

11 Sep 2020

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