Matthias Groncki

I’ve been working in quantitative risk for a bit over 14 years, mostly around derivatives pricing, market risk, XVA, and regulatory capital. I’ve worked in banks across Europe and Asia, doing a mix of model development and getting those models implemented and integrated into real risk systems and capital processes. That’s taken me through market and model risk, and a fair bit of operational risk too. What I find most interesting is where theory meets reality — models that look great on paper but behave differently in production, systems that don’t scale the way you expect, or regulatory requirements that force design choices you wouldn’t make otherwise. This blog is just a place to write about those things. Mostly practical stuff: Derivatives Market & Model Risk XVA / PFE QuantLib OpenSource Risk Engine (ORE) Model validation and Implementation issues some thoughts on ML/AI in risk