World Business StrategiesServing the Global Financial Community since 2000

Andrei Lyashenko:

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.

Vladimir Piterbarg:

MD, Head of Quantitative Analytics and Quantitative Development, NatWest Markets

Vladimir Piterbarg: MD, Head of Quantitative Analytics and Quantitative Development at NatWest Markets

Maria R Nogueiras:

Head of Collateral Risk Analytics, Global Risk Analytics, HSBC

Maria R Nogueiras: Head of Collateral Risk Analytics, Global Risk Analytics, HSBC

Marc Henrard:

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.

Maurizio Garro:

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.

Diana Ribeiro: 

Deputy Head of Rates & Credit Quantitative Research, Lloyds Banking Group

Diana Ribeiro: Deputy Head of Rates & Credit Quantitative Research, Lloyds Banking Group

Adolfo Montoro:

Director, Global Market Risk Analytics, Bank of America

Adolfo Montoro: Director, Global Market Risk Analytics, Bank of America

Adolfo Montoro FRM, is a director in the Global Market Risk Analytics, Bank of America in London. Previously he lead the Market Data Strategy and Analytics team and represented Deutsche Bank in the Industry FRTB Working Group supporting elements of the FRTB implementation and advocacy for the Bank over the last five years. Previously he has been in charge of the Strategic implementation of Full Revaluation-based suite of VaR model ensuring as well the adequacy of quantitative methodologies used for market risk management and regulatory purposes (Pillar I and II). He has earned an MSc in Risk Management from Bocconi University, Italy, and graduated with a degree in economics (with honours) from Universita’ della Calabria, Italy. He has earned his Financial Risk Manager (FRM) certification in 2005. Adolfo is currently affiliated with the Global Association of Risk Professionals, where he serves both as a Regional Director for the UK Chapter as well as member of the FRM Committee.

Clive Tucker:

MD, Head of Structured Rates Trading Europe & Asia, RBC Capital Markets

Clive Tucker: MD, Head of Structured Rates Trading Europe & Asia, RBC Capital Markets

 

Navin Rauniar:

LIBOR Transition Lead, HSBC

Navin Rauniar: LIBOR Transition Lead, 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.

Colin Turfus:

Quantitative Analyst, Deutsche Bank

Colin Turfus: Quantitative Analyst, Deutsche Bank

Colin Turfus has worked for the last twelve years as a financial engineer, mainly analysing model risk for credit derivatives and hybrids. More recently his interest has been in the application of perturbation methods to risk management, finding efficient analytic methods for computing, e.g., CVA, VaR and model risk. He is currently working in Global Model Validation and Governance at Deutsche Bank. He also taught evening courses on C++ and Financial Engineering at City University for seven years. Prior to that Colin worked as a developer consultant in the mobile phone industry after an extended period in academia, teaching applied maths and researching in fluid dynamics and turbulent dispersion.

Antoine Bouvet:

Senior Rates Strategist, ING

Antoine Bouvet: Senior Rates Strategist, ING

Antoine is a Senior Rates Strategist covering developed rates markets. He bases his views on macro developments spanning economics, central banks, supply, and cross-markets dynamics, and finds the optimal way to implement them using quantitative methods. He previously worked at Mizuho international as a Rates Strategist and at MUFG as a Rates Trader.

Sasha Polishchuk:

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.

Jos Gheerardyn:

Co-founder and CEO, Yields.io

Jos Gheerardyn: Co-founder and CEO of Yields.io

Jos is the co-founder and CEO of Yields.io. Prior to his current role he has been active in quantitative finance both as a manager and as an analyst. Over the past 15 years he has been working with leading international investment banks as well as with award winning start-up companies. He is the author of multiple patents applying quantitative risk management techniques on imbalance markets. Jos holds a PhD in superstring theory from the University of Leuven.

Nirmal Radhakrishnan:

Senior Product Manager, Global Trade and Receivables Finance, HSBC

Nirmal Radhakrishnan: Senior Product Manager, Global Trade and Receivables Finance, HSBC

Emiliano Papa:

Director – Quantitative Analyst, Deutsche Bank

Emiliano Papa: Director – Quantitative Analyst, Deutsche Bank

  • Director – Quantitative Analyst, Deutsche Bank
  • PhD in Theoretical Physics Oxford
  • Lecturer at University of Texas at Austin

Jérôme Bonneton:

Head of Rates & Credit Quantitative Research, Lloyds Bank

Jérôme Bonneton: Head of Rates & Credit Quantitative Research, Lloyds Bank

Andrea Macrina:

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

Satinder (Sid) Jandu:

Managing Director, Viewset limited

Satinder (Sid) Jandu: Managing Director, Viewset limited

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