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Dr Melanie Houllier

Dr Mel Houllier

Visiting Scholar

Mel is a Model Risk Professional at Barclays. She obtained her PhD in Applied Econometrics from Cass Business School, City, University of London and has taught graduate courses at ESCP. She has a keen interest in risk model governance and financial stability.

Expertise

Financial market infrastructures, model risk management, model risk governance, central counterparty clearing houses (CCPs), energy economics, energy policy

Experience 

Barclays Bank plc, Quantitative Modeller Wholesale Credit Risk, Assistant Vice President: 2018 – present
Citi, Model Risk Management IA, Assistant Vice President: 2015–17
Bank of England, Financial Market Infrastructures, Risk and Research Specialist: 2014–15

Education

PhD, Applied Econometrics, Cass Business School, City, University of London: 2011–14
MRes, Cass Business School, City, University of London: 2010–11
MSc, Industrial Engineering, Technical University Aachen Germany: 2004–10

Professional qualifications

Chartered Internal Auditor

Languages 

English (fluent), German (fluent), French (basic)

Publications 

'I want security: stylized facts about central counterparty collateral and its systemic context', Journal of Financial Market Infrastructures: 2018
'Initial margin model sensitivity analysis and volatility estimation', Journal of Financial Market Infrastructures: 2017
'Reassessing the integration of European electricity markets: a fractional cointegration analysis', Energy Economics: 2016
'Time-varying convergence in European electricity spot markets and their association with carbon and fuel prices', Energy Policy: 2016
'Germany’s nuclear power plant closures and the integration of electricity markets in Europe', Energy Policy: 2015

Refereeing

Journal of Energy Policy

Awards

European Energy Exchange, Best PhD thesis: 2014

External recognition

Journal of Renewable and Sustainable Energy, energy policy, applied energy
Journal of Regulatory Economics, economic analysis and policy, resources policy, energy research and social science


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