Biography

I received my BSc degree (1998) in Electrical & Electronics Engineering from METU Ankara, Turkey, and PhD degree (2006) in Computational Science from University of Amsterdam, the Netherlands. My PhD research was on modelling and simulation of embedded systems. More specifically,  I used mathematical models, numerical algorithms and discrete event simulation to explore the large design space of modern embedded systems under multiple design criteria. During my PhD studies, I was also enrolled in the graduate school Advanced School for Computing and Imaging (ASCI). After PhD, I worked as a Postdoc researcher in the same department until May 2007.

In 2007, I switched my focus to Quantitative Finance after I started working as a Model Developer in the Research department at ABN AMRO Asset Management in Amsterdam. At ABN AMRO, I worked mainly on the internal Monte Carlo simulation model that was used for pension fund ALM studies. I also contributed to the development of the internal economic scenario generator. In October 2008, I joined Cardano Risk Management in Rotterdam to work for their Financial Engineering team. At Cardano, I performed various tasks. To name a few, I was involved in maintaining and extending the internal quant library, building and supporting the internal risk tools, performing ad-hoc case studies to address different client requests, and supervising students from Erasmus University for the financial case studies project. After almost three years, I left Cardano and joined the Model Validation team at ING Bank in September 2011. At ING, I have worked in the Market Risk team that was responsible for validating all market risk models used globally within the bank (e.g. Trading, Retail/ALM, and Economic Capital models). Currently, I am heading the model validation team for ALM/IRRBB models.

My focus is on quantitative finance and risk management, especially on numerical and statistical methods used in risk model validation.

Contact Information:

Cagkan Erbas, <first name>@<last name>.net