Head of Market Risk and Pricing Models, Quantitative Risk Management (QRM), Inc.
Andrei Lyashenko: Head of Market Risk and Pricing Models, Quantitative Risk Management (QRM), Inc.
Andrei Lyashenko is the head of Market Risk and Pricing Models at the Quantitative Risk Management (QRM), Inc. in Chicago. His team is responsible for research, implementation and support of pricing and risk models across multiple asset classes. In November 2019, he was awarded the prestigious Quant of the Year award, jointly with Fabio Mercurio from Bloomberg, L.P., for their Risk Magazine paper on modeling backward-looking rates.
Andrei is also adjunct professor at the Illinois Institute of Technology. Before joining the QRM in 1997, Andrei was on the mathematical faculty at the University of Illinois at Chicago and Iowa State University. Prior to coming to the US, he conducted academic research in applied math in Russia, Japan and Italy and published numerous research papers in the area of fluid stability in major mathematical journals. He holds a BSc in Mathematics from the Novosibirsk State University, Russia and a PhD in Mathematics from the Russian Academy of Science.
Global Head of Quant Analytics, Bloomberg L.P.
Fabio Mercurio: Global Head of Quant Analytics, Bloomberg L.P.
Fabio is global head of Quantitative Analytics at Bloomberg LP, New York. His team is responsible for the research on and implementation of cross-asset analytics for derivatives pricing, XVA valuations and credit and risk management. Fabio is also adjunct professor at NYU. He has jointly authored the book ‘Interest rate models: theory and practice’ and published extensively in books and international journals, including 16 cutting-edge articles in Risk Magazine. Fabio holds a BSc in Applied Mathematics from the University of Padua, Italy, and a PhD in Mathematical Finance from the Erasmus University of Rotterdam, The Netherlands.
Senior Lead – IBOR Transition programme, Lloyds Banking Group
Maurizio Garro: Senior Lead – IBOR Transition programme, Lloyds Banking Group
Maurizio Garro works as a Senior Lead BA for the IBOR Transition programme at Lloyds Banking Group, where he is leading the delivery of the changes required for models, curves and products for the transition to the alternative risk-free rates for the Front and Back book. His background is in quantitative risk management, Model Risk, Market Risk, Counterparty Credit Risk, Pricing, Liquidity and Stress Testing.
He has a long-standing experience as an internal auditor, consultant and banker in model risk management and previously worked in the Development and Validation teams of top-tier financial institutions in Europe, U.S., and the U.K. for over 15 years.
Maurizio is a frequent speaker on various topics in risk management, a member of the Institute of Internal Auditor and the Director of the Global Association of Risk Professional (GARP) London Chapter.
Maurizio Garro received his Master Degree in Economics from the Bocconi University of Milano and a certificate in Financial Risk Management (FRM) from GARP.
Managing Partner muRisQ Advisory and Visiting Professor, University College London
Marc Henrard: Managing Partner muRisQ Advisory and Visiting Professor, University College London
Over the last 20 years, Marc has worked in various areas of quantitative finance. Marc’s career includes Head of Quantitative Research at OpenGamma, Global Head of Interest Rate Modeling for Dexia Group, Head of Quantitative Research and Deputy Head of Interest Rate Trading at the Bank for International Settlements (BIS) and Deputy Head of Treasury Risk also at BIS.
Marc’s research focuses on interest rate modeling and risk management. More recently he focused his attention to market infrastructure (CCP and bilateral margin, exchange traded product design, regulatory costs). He publishes on a regular basis in international finance journals, and is a frequent speaker at academic and practitioner conferences. He recently authored two books: The multi-curve framework: foundation, evolution, implementation and Algorithmic Differentiation in Finance Explained.
Marc holds a PhD in Mathematics from the University of Louvain, Belgium. He has been research scientist and university lecturer in Belgium, Italy, Chile and the United Kingdom.
MD, Head of Quantitative Analytics and Quantitative Development, NatWest Markets
Vladimir Piterbarg: MD, Head of Quantitative Analytics and Quantitative Development at NatWest Markets
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.
Director, Product Control Regulatory Initiatives, RBC
Sasha Polishchuk: Director, Product Control Regulatory Initiatives, RBC
With 20 years of Experience in Capital Markets, Sasha spent 8 years in RBC’s valuation function covering wide range of financial products including interest rate derivatives. Most recently he has been involved with RBC’s enterprise-wide IBOR transition program as a part of his Regulatory Initiatives responsibilities within Middle Office. His prior experience included 10 years with mortgage securitization group of a leading private US mortgage lender.
Head of Structured Rates Quantitative Analytics, NatWest Markets
Oscar Arias: Head of Structured Rates Quantitative Analytics, NatWest Markets
Oscar did his undergraduate education in Harvard University, where he studied Applied Mathematics and graduated in 2003. He then obtained an MSc in Statistics from the London School of Economics and in 2005 started his professional career at ABN AMRO, working in the interest rate quant team in London. He joined the Royal Bank of Scotland with the merger in 2008 and has been the head of Structured Rates Quantitative Analytics in Natwest Markets since 2015.
Reader in Mathematics, University College London (UCL)
Andrea Macrina: Reader in Mathematics, University College London (UCL)
Andrea holds a PhD in Mathematics from King’s College, University of London, and an MSc in Physics from the University of Bern, Switzerland. He is a Reader in Mathematics and the Director of the Financial Mathematics MSc Programme in the Department of Mathematics, University College London. He also holds an Adjunct Professorship at the University of Cape Town in the African Institute of Financial Markets and Risk Management (AIFMRM). Andrea is one of the principle developers of information-based asset pricing, a framework for the pricing of a variety of asset classes including credit, fixed-income, equity, and insurance-linked assets. He speaks at seminars and conferences where he presents research findings to academics and industry professionals. He is the co-founder of the Financial Mathematics Team Challenge (FMTC), an annual research student workshop held in Cape Town and Rio de Janeiro. Andrea’s research benefits from fruitful collaborations with international researchers, doctoral students, and practitioners of the financial service industry. He is a member of the London Mathematical Society, the American Mathematical Society, the Bernoulli Society for Mathematical Statistics and Probability, and the Bachelier Finance Society. Aside from projects in applied probability and stochastic modelling, a significant part of Andrea’s current research focuses on the transition from interbank offered rates (IBOR) to so-called risk-free rate (RFR) benchmarks.
Personal web site: https://amacrina.wixsite.com/macrina
Interim Chief Executive, Foresters Friendly Society
Erik Vynckier: Interim Chief Executive, Foresters Friendly Society
Erik Vynckier is Board member of Foresters Friendly Society since 2016, for whom he also chairs the Investment and Unit-Linked Committees following a career in banking, insurance, asset management and petrochemical industry. Erik restructured Foresters as Interim CEO in 2019. Erik was Chief Investment Officer (Europe) for private equity group Eli Global LLC, partner, Chief Investment Officer at InsurTech Venture Partners and Chief Investment Officer for European insurance clients at Alliance Bernstein. Before, Erik managed with-profits and annuity funds at Scottish Widows Investment Partnership (Aberdeen Standard Life) after managing the Group Risk Hub of Standard Life. Erik started in finance at Credit Suisse First Boston and HSBC, in equity program trading, quantitative development and asset-liability management for client balance sheets.
Erik was Chair of Research and Thought Leadership Board at the Institute and Faculty of Actuaries from 2018 until 2021. Erik has founded and served as board member of www.hpcfinance.eu and www.bigdatafinance.eu, the European initiatives from 2011 until 2019 on high performance computing and big data analytics in financial services.
Erik graduated as Chemical Engineer at Universiteit Gent (Belgium) and completed his MBA at London Business School in 2000. Prior to his MBA, Erik held R&D, production and strategy positions in the petrochemical industry in France, Belgium, Germany, the US and the UK. He is adviser to the Chemical Engineering Department of University College London on research and education.