Say Yes to the Stress? Buy-Side Perspectives on Stress Testing

Andrea Shaeffer is the Managing Director, Investment Risk Management at PPM America, Inc. She has held investment risk management roles at Nationwide Insurance, Boeing, and Allstate with particular focus on derivatives and fixed income. Andrea earned her MBA with High Honors from the University of Chicago Booth School of Business and a bachelor’s degree in Mathematics and Economics from Hope College. She is a CFA® charter holder and has earned a Certificate in Quantitative Finance (CQF).

Julie Austin is the Managing Director of Risk and Liability Management for Constellation’s investment office. She is a key contributor for asset allocation discussions and analytics development for nearly USD 30 billion in AUM across various trusts, including pension, nuclear decommissioning, savings, VEBA, and foundation. She also works to understand and manage the downstream impacts of the assets to other groups within the company.

Julie previously managed the fixed income portfolios and liabilities for Exelon’s investment office prior to Constellation's 2022 spin out. Before that, she oversaw USD 44 billion across 30 managers in investment-grade fixed income, opportunistic public credit, and private credit for Boeing’s investment office. She also held a risk management role at Boeing. Earlier in her career, Julie worked in pension consulting and at Morningstar in various research and data roles. She received her MBA from the University of Chicago Booth School of Business and is a CFA charterholder.

Viktor Tsyrennikov is an expert on assessment and modeling of financial risks and stress testing. He helped clients develop and validate large-scale financial and macroeconomic models, design and test stress-testing frameworks and models, climate scenario analyses, portfolio selection and capital markets models, pricing models, and performed systemic impact analysis for a winning SIFI de-designation application. Recently, Viktor focused on helping banks with AI modeling.

Before joining Promontory, Viktor worked as an assistant professor of Quantitative Economics at Cornell University and as a visiting assistant professor at New York University and University of Zurich. His work focused on developing econometric and optimization models and quantitative techniques informing risk management strategies and decision-making related to portfolio choice. He published in the top statistics and economics journals.

Viktor also served as a resident scholar at the IMF, where he advised on the regulation of international capital flows and foreign exchange rates and contributed to the World Economic Outlook. He has a Ph.D. in Economics from New York University and an M.S. in Management of Information Systems from Lviv National University, Ukraine.

Yury Dubrovsky recently retired as Managing Director, Chief Risk Officer of Lazard Ltd. and Head of Global Risk Management at Lazard Asset Management LLC. He and his global teams were responsible for all aspects of risk management at the bank as well as at its fully owned asset management subsidiary, covering equity and fixed income universes for both traditional as well as alternative investments. In addition, Yury oversaw the quantitative analysts who provide support to portfolio management teams on portfolio construction issues, execute the initial phase of the research process, and provide portfolio attribution analytics.

Yury began his investment career in 1994. Prior to joining Lazard, he was Global Head of Market Risk Management for Emerging Markets and G20 Credit Products at Credit Suisse First Boston, and Global Head of Exposure Management for Emerging Markets and Regional Head of Exposure Management for the Americas with Deutsche Bank AG. Before that he held various quantitative and technological roles at JP Morgan & Co., AT&T, and Kiev Polytechnic University. Yury has an MBA in Finance from St. John’s University and an MS (Hons) in Mechanical Engineering from Kiev Polytechnic University. He is a member of the CFA Institute, New York Security Analysts Society, International Association of Financial Engineers, Global Association of Risk Professionals, and Professional Risk Management Association.