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André is a member of the Exposure and Collateral Modelling group at Credit Suisse. His main responsibility is the development of an IR/FX model in order to compute risk exposure and regulatory capital for bilateral OTC and cleared derivatives.
His main area of expertise are Monte Carlo methods, stochastic models, interest rate and foreign exchange models, derivatives pricing, market and credit risk modelling, counterparty credit risk and A-IRB models.
André holds a PhD in Stochastic Analysis and has (co-)authored numerous articles in prestigeous, peer-reviewed journals in the field of pure and applied mathematics.