Igor Masten Ph.D

PARTNER - FINANCIAL ADVISORY

Bio

Igor Masten is a professor of economics at the University of Ljubljana and the managing partner of EconLab. He holds a PhD in Economics from the European University Institute and has several publications in high-ranked scientific journals in the areas of risk management, banking, econometrics, finance and macroeconomics. Both academically and professionally he specializes in financial analysis, asset pricing, quantitative risk management and economic modelling & intelligence. Before founding EconLab, he was a partner in charge of financial advisory services at Grant Thornton Advisory in Slovenia. He also worked at the Central Bank of Slovenia as Head of Research. In this capacity he supervised the development of Central Bank‘s stress testing and economic modelling capacity. Igor served as vice-president of Supervisory Board of automotive producer Hidria, and as supervisory board member of NLB bank. By combining strong academic background and experience in central and private banking Igor possesses a unique understanding of the business and regulatory environment. He has over 10 years of experience in advising private and public institutions in the areas of economic modelling and intelligence, risk management and anti-trust procedures. His clients range from financial institutions and energy suppliers to public institutions. As project lead, he supported international banking clients in development of IRB models, and EBA stress testing.

Contact

Selected references

Project lead in relation to ICAAP process advisory for Slovenian retail banks.

Project lead in relation to stress testing and IFRS9 model development for Slovenian pillar banks.

Project lead in relation to 2018 EBA stress testing for an Irish retail bank.

Project lead in relation to PD modelling techniques within the IRB model build for an Irish retail bank.

Supervised the development of stress-testing toolkit at the Bank of Slovenia – models for macroeconomic scenario generation and satellite models for mapping macro scenarios to bank portfolios

Advised the Bank of Slovenia in PD model development for bottom up stress testing

Risk management and economic intelligence support, and yield curve modelling for the largest pension fund in Slovenia

Macroeconomic risk assessment for the Municipal Investment and Development Fund, Luxembourg

Publications

  • “Structural FECM: Cointegration in large-scale structural FAVAR models”

    (with A. Banerjee and M. Marcellino). Journal of Applied Econometrics, 2017, 1-18.

  • “Shadow short rate and monetary policy in the Euro area”

    (with M. Damjanović). Empirica, 43(2), 2016.

  • “Stress Testing the EU Fiscal Framework”

    (with A. Grdović Gnip). Journal of Financial Stability, 26 2016.

  • “Discretionary Credit Rating and Bank Stability in a Financial Crisis”

    (with A. Brezigar-Masten and M. Volk). Eastern European Economics, 53(5), 2015.

  • “Forecasting with Factor Augmented Error-Correction Models”

    (with A. Banerjee and M. Marcellino). International Journal of Forecasting, 30(3), 2014.

  • “CART-based selection of bankruptcy predictors for the logit model”

    (with A. Brezigar-Masten). Expert Systems with Applications, 39/11, 2012.

  • “Quantile approximations in auto-regressive portfolio models”

    (with A. Ahčan, M. Perman and S. Polanec). Journal of Computational and Applied Mathematics, 235, 2011.