Luke specialises in traded and non-traded market risk, as well as counterparty credit risk, and consults extensively to Australian and large ASPAC banks on these subjects.
He provides prudentially mandated reviews of traded market risk frameworks and systems, specialist internal audits, and a wide range of model validations. He conducts extensive testing of liquidity risk modelling and frameworks, and has validated a number of IRRBB installations.
Luke’s clients include several central counterparties in the Asia-Pacific region, for which he has conducted PFMI compliance testing.
Prior to joining KPMG, Luke ran a quantitative market risk team at a major Australian bank where he led model development, monitoring and maintenance activities.