World Business StrategiesServing the Global Financial Community since 2000

Day 1: Thursday 16th May

08.30 – 09.00

Registration and Welcome Coffee

09.00 – 10.30: Recent Developments in Mathematical Climate Finance (Extended Talk)

Andrea Macrina:

Professor of Mathematics, University College London (UCL)

Andrea Macrina: Professor of Mathematics, University College London (UCL)

Andrea Macrina is Professor of Mathematics and the Director of the Financial Mathematics MSc Programme in the Department of Mathematics, University College London. His current research programme includes projects in climate finance, the development of quantile processes with applications in insurance and finance, and stochastic interpolation. Dr Macrina is Adjunct Professor at the University of Cape Town in the African Institute of Financial Markets and Risk Management where in 2014 he co-founded the Financial Mathematics Team Challenge (FMTC). Andrea is a recipient of the Fields Research Fellowship awarded by The Fields Institute for Research in Mathematical Sciences. He holds a PhD in Mathematics from King’s College, University of London, and an MSc in Physics from the University of Bern, Switzerland. Personal website: https://amacrina.wixsite.com/macrina

10.30 – 11.00: Morning Break and Networking Opportunities

11.00 – 11.45: Transition risk for mortgage portfolios: from energy labels forecasting to stress testing

Svetlana Borovkova:

Head of Quantitative Modelling, Probability & Partners. Associate Prof, Vrije Universiteit Amsterdam

Svetlana Borovkova: Head of Quantitative Modelling, Probability & Partners and Associate Professor, Vrije Universiteit Amsterdam

Dr Svetlana Borovkova is the partner and Head of Quant Modelling of risk management consulting firm Probability and Partners and an Associate Professor of Quantitative Finance and Risk Management at the  Vrije Universiteit Amsterdam. She is the author of over 60 academic and professional publications and a frequent speaker at conferences such as RiskMinds and QuantMinds. Her work encompasses a wide range of topics, ranging from derivatives pricing and risk modelling to sentiment analysis for quant investing and machine learning in quant finance. Find her work at SSRN and her columns on various finance topics in Financial Investigator.

11.45 – 12.30:

Corporate Sustainability Affecting Average Returns

Abstract

The impact of Environmental Social and Governance (ESG) factors on the performance of listed stocks is still controversial in the literature. We aim to identify groups of companies according to their ESG temporal dynamics to evaluate whether their fluctuations impact the market risk factors. We assess a potential relationship between financial and non-financial risks within the Fama and French framework (Fama and French, 2015) according to the ESG score and its components. We discriminate companies which increase their ESG compliance using a hierarchical time-series clustering approach and computing the similarity between two-time series by Euclidean distance and Dynamic Time Warping (DTW). The latter is useful when the time series have different shifts and speeds. We compare four hierarchical methods with different linkage criteria (average, complete, Ward.D, Ward.D2). The optimal number of clusters is selected based on four cluster validity indices (Silhouette, Calinski-Harabasz, Clustering Order Preservation, and Dunn). The data utilized in this paper refer to the S&P500 and come from the Refinitiv database (Refinitiv, 2023). The cluster validity indices indicate two clusters as the best choice. However, while the Euclidian distance with the average method is the best combination for the ESG score and its components E and S, the DTW distance with the ward.D method is the best for the G score. Overall, we find different effects on the market risk, companies who are classified as “committed” toward sustainability show a different sensitivity to the market excess return factor respect to the less committed companies. The other risk factors seem to have little impact on the committed or uncommitted companies.

Rita Laura D’Ecclesia

Professor: Università degli Studi di Roma “La Sapienza”

Rita Laura D’Ecclesia Professor: Università degli Studi di Roma “La Sapienza”

12.30 – 13.30: Lunch

13.30 – 14.15: Scenario Generation Modelling

Chris Kenyon:

Director: Head of XVA Quant Modelling, MUFG Securities EMEA plc

Chris Kenyon: Director: Head of XVA Quant Modelling, MUFG Securities EMEA plc 

Dr Chris Kenyon is head of XVA Quant Modelling at MUFG Securities EMEA plc. Previously he was Head of XVA Quantitative Research at Lloyds Banking Group, head quant for Counterparty Credit Risk at Credit Suisse, and (post-crisis) Head of Structured Credit Valuation at DEPFA Bank Plc. He is active in XVA research, introducing KVA and MVA, with Andrew Green in 2014-15, their accounting treatment in 2016-17, as well as double-semi-replication and behavioural effects on XVA. He contributes to the Cutting Edge section of Risk magazine (most-cited author in 2016; 5th most-published author 1988-present in 2017), co-edited “Landmarks in XVA” (Risk 2016). He has a Ph.D. from Cambridge University and is an author of the open source software QuantLib.

14.15 – 15.00: Apply Climate Scenario Analysis and Modelling in a Practical way across Portfolios

Topic and Presenter to be confirmed.

15.00 – 15.30: Afternoon Break and Networking Opportunities

15.30 – 16.15: Foundation NLP Models for ESG data extraction

  • Learning not to “make stuff up”
  • SFT (Supervised Fine Tuning)
  • RLHF (Reinforcement Learning with Human Feedback)

Robert Dargavel Smith:

Lead Data Scientist, Clarity AI

Robert Dargavel Smith: Lead Data Scientist, Clarity AI

“Robert Smith is a Lead Data Scientist at Clarity AI. Previously he was Head of Data Science at IHS Markit (now part of S&P Global). He has worked in capital markets for over 25 years in Banco Santander and ABN Amro, holding various positions from Head of CVA Desk to Global Head of Quantitative Analysis.”

16.15 – 17.00: Sustainable Investment – Exploring the Linkage between Alpha, ESG, and SDG’s

Miquel Noguer Alonso:

Co – Founder and Chief Science Officer, Artificial Intelligence Finance Institute – AIFI

Miquel Noguer Alonso: Co – Founder and Chief Science Officer, Artificial Intelligence Finance Institute – AIFI

Miquel Noguer is a financial markets practitioner with more than 20 years of experience in asset management, he is currently Head of Development at Global AI ( Big Data Artificial Intelligence in Finance company ) and Head on Innovation and Technology at IEF.

He worked for UBS AG (Switzerland) as Executive Director.for the last 10 years. He worked as a Chief Investment Office and CIO for Andbank from 2000 to 2006.

He is professor of Big Data in Finace at ESADE and Adjunct Professor at Columbia University teaching Asset Allocation, Big Data in Finance and Fintech. He received an MBA and a Degree in business administration and economics in ESADE in 1993. In 2010 he earned a PhD in quantitative finance with a Summa Cum Laude distinction (UNED – Madrid Spain).

17.00 – 17.45: Panel: The Impact of Large Language Models and Generative AI on ESG Sustainability Goals

  • How sustainable is AI and LLM? What can be done to make it more sustainable and help companies, like Quant funds, meet their ESG goals?
  • AI and in particular LLM are becoming more ingrained in everyday society – is there sufficient Data Center capacity in Europe to accommodate this and Quant fund growth in the years to come
  • Can adopting a hybrid IT strategy, for example by using a combination of On Premise and Cloud (public and private), reduce costs and CO2 emissions?
  • Greenwashing is becoming a relevant issue for listed companies, How companies can apply safeguards and mitigants to address potential greenwashing risks?
  • AI and LLM allow to capture non linearities in relationships between ESG features and structural features of the firms. How can this help companies to comply with the regulator requirements?
  • Can AI and LLM help companies to integrate sustainability risks in the decision making process and organizational requirements
  • What do you see as the greatest risks of using generative AI in the context of ESG / Sustainability?

Svetlana Borovkova:

Head of Quantitative Modelling, Probability & Partners. Associate Prof, Vrije Universiteit Amsterdam

Svetlana Borovkova: Head of Quantitative Modelling, Probability & Partners and Associate Professor, Vrije Universiteit Amsterdam

Dr Svetlana Borovkova is the partner and Head of Quant Modelling of risk management consulting firm Probability and Partners and an Associate Professor of Quantitative Finance and Risk Management at the  Vrije Universiteit Amsterdam. She is the author of over 60 academic and professional publications and a frequent speaker at conferences such as RiskMinds and QuantMinds. Her work encompasses a wide range of topics, ranging from derivatives pricing and risk modelling to sentiment analysis for quant investing and machine learning in quant finance. Find her work at SSRN and her columns on various finance topics in Financial Investigator.

Robert Dargavel Smith:

Lead Data Scientist, Clarity AI

Robert Dargavel Smith: Lead Data Scientist, Clarity AI

“Robert Smith is a Lead Data Scientist at Clarity AI. Previously he was Head of Data Science at IHS Markit (now part of S&P Global). He has worked in capital markets for over 25 years in Banco Santander and ABN Amro, holding various positions from Head of CVA Desk to Global Head of Quantitative Analysis.”

Andrea Macrina:

Professor of Mathematics, University College London (UCL)

Andrea Macrina: Professor of Mathematics, University College London (UCL)

Andrea Macrina is Professor of Mathematics and the Director of the Financial Mathematics MSc Programme in the Department of Mathematics, University College London. His current research programme includes projects in climate finance, the development of quantile processes with applications in insurance and finance, and stochastic interpolation. Dr Macrina is Adjunct Professor at the University of Cape Town in the African Institute of Financial Markets and Risk Management where in 2014 he co-founded the Financial Mathematics Team Challenge (FMTC). Andrea is a recipient of the Fields Research Fellowship awarded by The Fields Institute for Research in Mathematical Sciences. He holds a PhD in Mathematics from King’s College, University of London, and an MSc in Physics from the University of Bern, Switzerland. Personal website: https://amacrina.wixsite.com/macrina

Mourad Berrahoui:

Managing Director Global Head of Counterparty Pricing and Risk Analytics, Lloyds Banking Group

Mourad Berrahoui: Managing Director Global Head of Counterparty Pricing and Risk Analytics, Lloyds Banking Group

I am, Head of Counterparty Credit Risk Modelling a LBG Group. In addition, I am sitting at executive risk committee at LCH for the last 4 years, representing LBG group.

I have more than 20 years’ experience in quantitative modelling as front office quant, head of model validation and now head of CCRM, worked for different banks like Natixis, Commerzbank, Morgan Stanely, Nomura, and for the last 7 years LBG. In addition, I worked for couple of years as senior trader on structured credit products.

I authored several papers that have been published in Risk magazine on various topics like new concept of Potential Future Exposure, SA CCR Capital, Wrong Way Risk and more recently I published on the topic of quantitative climate finance.

I hold an MBA from Henley Business School and two DEAs (MSc) in France. One on Probability and Finance from Univestiy Marie Curie and the second one on Economy from Ecole NOrmale Superieure de Cachan.

 

Nicole Königstein:

Chief Data Scientist, Head of AI & Quant Research, Wyden Capital AG

Nicole Königstein: Chief Data Scientist, Head of AI & Quant Research, Wyden Capital AG

Nicole Königstein is a distinguished Data Scientist and Quantitative Researcher, currently working as Data Science and Technology Lead at impactvise, an ESG analytics company, and as Head of AI and Quantitative Research at Quantmate, an innovative FinTech startup focused on alternative data in predictive modeling. Alongside her roles in these organizations, she serves as an AI consultant across diverse industries, leading workshops and guiding companies from the conceptual stages of AI implementation through to final deployment.

As a guest lecturer, Nicole shares her expertise in Python, machine learning, and deep learning at various universities. She is a regular speaker at renowned AI and Data Science conferences, where she conducts workshops and educational sessions. In addition, she is an influential voice in the data science community, regularly reviewing books in her field and offering her insights and critiques. Nicole is also the author of the well-received online course, “Math for Machine Learning.

  • Discount Structure
  • Super early bird discount
    20% until 15th March 2024

  • Early bird discount
    10% until 19th April 2024

  • Special Offer
    When two colleagues attend the 3rd goes free!

  • 70% Academic Discount
    (FULL-TIME Students Only)

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