Fabian Kostmann

Consulting focus/specialization

• Leading projects on the valuation of derivatives and financial instruments, including single transaction and portfolio valuations, expo-sure simulations and xVAs as well as recalibration of model parameters
• Conducting on-site inspections on behalf of the European Central Bank with a focus on valuation, market price and counterparty default risk
• Development, implementation and validation of models for market price risk, counterparty default risk and derivative valuation, taking into account regulatory and accounting requirements
• Leading the design and improvement of risk management frameworks, including guidelines, minimum standards and working instructions for compliance with regulatory requirements in various jurisdictions (CRR, MaRisk, EMIR, EBA GLs)

Sector focus

• Corporate and Investment Banking​
• Foreign banks and branches of foreign banks
• Payment institutions
• Capital management companies and financial services institutions