Lukas Prorokowsk

Senior Quantitative Analyst Banque Internationale a Luxembourg

Dr. Lukas Prorokowski is affiliated with the Institute of Financial Complex Systems at the Masaryk University in Brno, where he researches issues revolving around credit risk modelling, financial collateral, shadow banking and risk model validation. Aside his academic career, Lukas has been working in the internal model validation team of the largest universal bank in Luxembourg. Currently, Lukas is working on the ECB’s Targeted Review of Internal Models in Luxembourg. Lukas’ main tasks involve ensuring the fulfilment of the ECB’s requests regarding credit risk modelling. Lukas is also working on the model validation and model review under the IFRS 9 specifications. Previously, Lukas has worked for various tier-1 banks on regulatory reporting projects with focus on Credit Concentration Risk and Credit Risk (Pillar 2) within the Stress Test Data Framework. Lukas modelled and managed banking book and trading book exposure portfolios. Lukas aims to publish topical academic papers that bridge theory and practice, and hence provide practical implications for the banking industry.