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Mahmut Rustem Sen

Mahmut Rustem Sen is part of ALM and Policy (CMIAP,) focusing on issues and policies that impact the balance sheet dynamics. Before joining CMIAP, he was the head of the Portfolio Analytics in QSA responsible for i) providing analytics to investment, funding, and ALM desks; ii) capacity building for central banks, sovereign pension and oil funds; iii) risk analysis for multi-asset portfolios; iv) quantitative and financial solutions and frameworks for internal and external partners. His experiences include asset management; market, credit, counterparty, liquidity, and enterprise risks; risk budgeting; ALM; economic capital; capital adequacy; RAROC; structuring; and central bank reserve management.

Prior to joining the WB, he was Financial Analysis Manager and Senior Risk Research Analyst at Freddie Mac, providing analytics on MBS, ALM, hedging, economic capital, and regulatory capital; teaching assistant at the George Washington University; and intern at Salomon Smith Barney.

He holds MS Finance from the George Washington University, BSc in Industrial Engineering from Marmara University, and completed “Leadership for the 21st Century: Chaos, Conflict & Courage” from Harvard Kennedy School Executive Education. He is a PRM charter holder from PRMIA.

His publications include:

  • “Risk Decomposition and Strategy Analysis in Triangular form”, QSFI Notes, July 2014
  • “Integrated Risk Modeling for Central Bank Portfolios”, co-author, HSBC Reserve Management Trends 2015, May 2015
  • “Integrated Risk: Measuring, Modeling, and Applications”, co-author, QSFI Special Issue, May 2016
  • “OTC Derivatives Valuation: Impact of Credit, Funding, Capital & Liquidity”, co-author, QSFI Notes, June 2016
  • “Hedging FX Exposure in ALM Framework with focus on SDR”, QSFI Notes, October 2016
  • “Risk Budgeting: Optimality through Efficiency Ratio, Role of (or Lack of it!) Information Ratio, and Portfolio Implications”, QSFI Notes, April 2017
  • “Backtesting Value-at-Risk (VaR) Models”, co-author, QSFI Notes, June 2017


Tel :+1 (202) 473-4031