Main Conference Day 2

Day 2: Thursday 12th May

08.30 – 09.00

Morning Welcome Coffee

09.00 – 09.45: Transparency drives sustainable finance: the Carbon Equivalence Principle

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.

09.45 – 10.30: Non-Linear Discounting: Modelling Notional-Dependent Discounting (with a Motivation from Climate Models)

We develop a model for non-linear discounting, where discount factors depend on the (accumulated) notional.

Under this model, the discount rate may become much smaller than the market rate.

As small (or even negative) social discount rates will lead to an increase in the social cost of carbon, we start by giving a (very) brief introduction to integrated assessment models that combine economic and climate models.

Turning to discounting, we review some aspects of risk-neutral valuation. We then derive an alternative risk-free discount factor from defaultable funding providers and introduce a notional dependent default probability. One cannot achieve such modelling through a bounded default intensity, but intensity-based models appear as a limit case.

Properties of the model are illustrated through numerical experiments, combining the approach with classical stochastic interest rate models, e.g. discrete term structure models (LIBOR market models).

Agenda:

Motivation from Climate Models: Integrated Assessment Models (Sketch of the DICE Model)
Review: Risk-Neutral Valuation, Replication, Default and Survival Probability
Deriving a Discount Rate from Diversified Funding
Notional Dependent Discount Rate: Non-Linear Discounting
Properties of the Model / Numerical Experiments

Christian Fries:

Head of Model Development, DZ Bank

Christian Fries: Head of Model Development, DZ Bank

Christian Fries is head of model development at DZ Bank’s risk control and Professor for Applied Mathematical Finance at Department of Mathematics, LMU Munich.

His current research interests are hybrid interest rate models, Monte Carlo methods, and valuation under funding and counterparty risk. His papers and lecture notes may be downloaded from http://www.christian-fries.de/finmath

He is the author of “Mathematical Finance: Theory, Modeling, Implementation”, Wiley, 2007 and runs www.finmath.net.

10.30 – 11.00: Morning Break and Networking Opportunities

11.00 – 11.45: ESG: “Emergence of the Sustainability Linked Bonds” Friend or foe to sustainability?

Diana Ouamar:

Managing Director, Rima Consulting

Diana Ouamar: Managing Director, Rima Consulting

Diana is the Managing Director of Rima Consulting Limited. She has more than 14 years’ experience in risk management developed in rating agencies, investment banking, consulting, and private equity.

As a Senior Regulatory Risk consultant, she follows closely and interprets the banking regulations focusing on Market Risk, Counterpart Credit Risk and Climate Risk. She has participated in numerous strategic programs to comply with the regulatory requirements and has a proven track record in delivering high profile regulatory driven change projects within the Risk Management and Operations functions across the US & European Tier-1 Investment Banks.

Diana began her career at Calyon Investment Bank in Paris and Fitch Ratings Agency in London as a corporate credit analyst. She developed her risk management experience at Moody’s Investors Services in London, and then at Rule Financial (GFT) as a Regulatory Risk Consultant.

Diana holds a Msc in Finance from the University of London and an Msc in Economics from University of Paris-Panthéon-Sorbonne. She recently received the Certificate of Achievement on “Climate Change: Financial risks and opportunities” from Imperial College Business School and she is currently attending courses on “Sustainable Finance” from University of Cambridge.

11.45 – 12.30: What the Pandemic, war in Ukraine and the return of inflation tell you about naive ESG – a contrarian look at ESG.

Erik Vynckier:

Interim Chief Executive, Foresters Friendly Society

Erik Vynckier: Interim Chief Executive, Foresters Friendly Society

Erik Vynckier is board member of Foresters Friendly Society and chair of the Investment Committee, following a career in investment banking, insurance, asset management and the petrochemical industry. He has been Chief Investment Officer and Chief Executive Officer and frequently consults in investment management, quantitative risk management and derivatives.

He co-founded EU initiatives on high performance computing and big data in finance and co-authored “High-Performance Computing in Finance” and “Tercentenary Essays on the Philosophy and Science of Leibniz”. Erik graduated as MBA at London Business School and as chemical engineer at Universiteit Gent.

12.30 – 13.30: Lunch

13.30 – 14.15: “News-based optimal ESG portfolios”,

Anatoly B. Schmidt:

Finance and Risk Engineering, NYU Tandon School of Engineering

Anatoly B. Schmidt: Finance and Risk Engineering, NYU Tandon School of Engineering

Dr. Anatoly (Alec) Schmidt is an Adjunct Professor at the Finance Risk and Engineering Department of the NYU Tandon School and at the Financial Engineering Department of the Business School of Stevens Institute of Technology. He was also a visiting professor at Nanyang Technological University and Moscow Financial Academy. Alec holds a Ph.D. in Physics and has worked in the financial industry since 1997, most recently as Lead Research Scientist at Kensho Technologies, a market data analytics company. Alec published two books, “Quantitative Finance for Physicists: An Introduction” (Elsevier, 2004) and “Financial Markets and Trading: Introduction to Market Microstructure and Trading Strategies” (Wiley, 2011), and multiple papers in peer-reviewed journals on agent-based modeling of financial markets, portfolio management, and trading strategies. His new book “Modern Equity Investing Strategies” will be published by World Scientific in the fall of 2021.

14.15 – 15.00: Adding Sustainability in Cryptocurrencies and Non-Fungible Tokens (NFTs)

Abstract: Cryptocurrencies and NFTs (Non-Fungible Tokens) are constantly under scanner for sustainability issues. Additionally, there is an ongoing debate concerning the environmental degradation caused by cryptocurrency mining and whether or not using renewable energy sources would solve its sustainability issues. It is obvious to put the cryptocurrency under the lens of sustainability as the entire world is targeting for UNSDG (United Nations’ sustainability development Goals) of 2030. While there are sustainability issues associated with Crypto and NFTs, it is also the fact that they add significant value to digital transactions in the form of security, ease of settlement, reducing the settlement delay, and providing a smooth and secure transaction overall. It is essential to strike a balance between the application of Cryptocurrencies and their sustainability footprints. The present work attempt to find factors that can incorporate sustainability into the decentralized transaction and make it more sustainable and environmentally friendly. We investigated a few cryptocurrencies based on their consensus algorithm, mining process, and potential application to promote a green and sustainable environment. This research concluded that there are ways to promote ESG and sustainability and an efficient way to manage carbon footprint using Cryptocurrencies and NFTs (Non-Fungible Tokens).

Sumit Kumar:

Senior Director (Capital Market), CERES Group Inc.

Sumit Kumar: Senior Director (Capital Market), CERES Group Inc.

Home – The Ceres Group), based in Boston, MA, USA. He has over 18 years of experience in Capital Market, Derivatives Pricing & Risk Management, ESG integration using Equity and Fixed Income, ESG Labeling, ESG derivatives, Sustainable Cryptocurrencies, and Sustainable Non-Fungible Tokens. Sumit is also a Derivatives / Risk Quant and Fintech professional who has worked with both the sell and buy sides of the financial market. Sumit has worked with Banks like Deutsche Bank, Lehman Brothers, Nomura Securities. In contrast, on the buy side, he has worked with hedge funds like Apollo Capital and Institutional Asset management firms like Wellington Management and State Street. Sumit is also a passionate academician. He is an “Adjusnt Professor” of Financial Engineering at Vinod Gupta School of Management, IIT Kharagpur. He has been a Chief Editor of Finance and Management publications and a reviewer of couple of International Journals in Finance and Economics. Besides being a Doctoral Scholar in Finance, he has also done MS (Physics), MS ( Cryogenic Engineering), and MBA (Corporate Finance) along with a Diploma in Financial Engineering and PRM (Professional Risk Manager). Sumit has written more than a dozen research papers published in peer-reviewed International Journals and International Conferences in ESG Integration, Sustainable Finance, and Data Analytics applied to Finance and Economics. Sumit’s current research interest includes (but is limited to) ESG Integration, Stakeholder’s theory of ESG, Sustainable and Green Financing instruments (Green and Sustainable Bonds), Sustainability issues in CryptoCurrencies and NFTs, Application of renewable energies in Bitcoin mining, Application of Data Analytics/ Econometrics in Sustainable Finance. He has few patents in his name .

15.00 – 15.15: Afternoon Break and Networking Opportunities

15.15 – 16.00: Connecting ESG to Climate Risk, Sustainable Financing, Carbon Markets, and Net Zero

Navin Rauniar:

Advisory Partner focusing on LIBOR, ESG, Climate Risk & TCFD, HSBC

Navin Rauniar: Advisory Partner focusing on LIBOR, ESG, Climate Risk & TCFD, HSBC

Navin is a Risk Director with 17 years’ experience in advising the sell side on the delivery of prudential regulation such as IBOR Transition, FRTB, IRRBB, Basel III, CRR 2 and CRD V. Navin is currently leading the IBOR workstream for a Tier One bank.

Prior to this, he worked as a Senior Manager at a leading global advisory firm, where he led the analysis of the impact of the IBOR Transition on financial institutions. Additionally, Navin has spent 15 years in the industry working in global run-the-bank and change-the-bank roles for Credit Suisse, RBS, Commerzbank and JP Morgan across Front Office, Risk and Operations.

Navin is a steering committee member of the Professional Risk Managers Association where he represents the Risk Management industry on regulatory initiatives, mentoring of capital markets professionals, and a frequent speaker at banking & thought leadership events.