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Melanie 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.
Financial Market Infrastructures, Model Risk Management, Model Risk Governance, CCPs, Energy Economics, Energy Policy.
Barclays Bank plc, Quantitative Modeller Wholesale Credit Risk, Assistant Vice President: 2018 – present.
Citi, Model Risk Management IA, Assistant Vice President: 2015 – 2017.
Bank of England, Financial Market Infrastructures, Risk and Research Specialist: 2014 – 2015.
PhD, Applied Econometrics, Cass Business School, City, University of London: 2011 – 2014.
MRes, Cass Business School, City, University of London: 2010 – 2011.
MSc, Industrial Engineering, Technical University Aachen Germany: 2004 – 2010.
Chartered Internal Auditor.
English (fluent), German (fluent), French (basic).
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.
Journal of Energy Policy.
European Energy Exchange, Best PhD thesis: 2014.
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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