Dr. Michael Amrein

Senior manager in Group Risk Control with the firm-wide mandate to independently validate all credit risk models (probability of default, loss given default and exposure at default).

Member of the Model Risk Management & Control Management Committee with the mandate to independently validate Artificial Intelligence models as well as models for Monitoring & Surveillance of Operational Risks across the bank (trade surveillance, detection of Money Laundering activities, audio and electronic communication surveillance, credit card fraud and cyber security), and to represent UBS in related discussions with regulators (e.g. FINMA, OCC, FRBNY, FDIC) and external audit.

Our mandate is to validate all models UBS uses (i) to monitor operational risks via alert generation and (ii) to determine operational risk capital (minimum capital requirements, economic capital and stress testing).

The primary team responsibility is the development and maintenance of statistical methodologies for the measurement of consequential risks in line with the requirements from many stakeholders, i.e., senior management, regulators, subject specialists, model validation and external audit.

Development, implementation, documentation and presentation of complex statistical methods and routines in several projects for internal clients. Statistical consulting.

Responsibility for the organization of exams and all tutorial lessons supporting the lectures, the allocation of work in our assistant group with ten assistants and the recruitment of tutorial assistants. Teaching and statistical consulting in various statistical subjects.

Chief of Artillery - Captain (2015 - 2017); Brigade Staff Officer - Captain (2012 - 2014); Commander of an Artillery Unit - Captain (2010 - 2011); Platoon Leader - Lieutenant (2005 - 2009).

Fully qualified actuary.

Development of complex Monte Carlo simulation algorithms for estimating rare event probabilities and parameters in Markov models, e.g. diffusions and queuing processes. Publication of 3 peer-reviewed articles in well-known statistical journals. Doctoral studies in different fields of statistics.

Probability Theory, Statistics, Insurance Mathematics.