Tuesday 3rd November: Day 2 WQF
'Covid 19, Crude Oil Prices and High Frequency Trading'
Professor of Mathematical Finance, Birkbeck – University of London & Johns Hopkins
Helyette Geman, PhD, PhD: Professor of Mathematical Finance, Birkbeck – University of London & Johns Hopkins
Helyette GEMAN is a Professor of Mathematical Finance at Birkbeck – University of London and at Johns Hopkins University. She is a Graduate of Ecole Normale Supérieure in Mathematics, holds a Masters degree in Theoretical Physics, a PhD in Probability from the University Pierre et Marie Curie and a PhD in Finance from the University Pantheon Sorbonne.
She has been a scientific advisor to a number of major energy and mining companies for the last 20 years, covering the trading of crude oil, natural gas, electricity as well as metals in companies such as EDF Trading, Louis Dreyfus or BHP Billiton and was named in 2004 in the Hall of Fame of Energy Risk.
Prof Geman was previously the head of Research and Development at Caisse des Depots. She has published more than 140 papers in major finance journals including the Journal of Finance, Mathematical Finance, Journal of Financial Economics, Journal of Banking and Finance and Journal of Business. She has also written the book entitled Insurance and Weather Derivatives and is a Member of Honor of the French Society of Actuaries.
Her research includes exotic option pricing for which she got the first prize of the Merrill Lynch awards, asset price modeling through the introduction of transaction time (JOF, 2000); she is one of the authors of the CGMY pure jump Levy model (2002). Prof Geman had organized in 2000 at College de France the first meeting of the Bachelier Finance Society, with Paul Samuelson, Robert Merton and Henry McKean as keynote speakers.
Her book, ‘Commodities and Commodity Derivatives’ is the reference in the field. She was a Scientific Expert on Agriculture for the European Commission and is on the Board of the Bloomberg Commodity Index.
She counts among her numerous PhD students Nassim Taleb, author of the Black Swan
CECL Provisioning During Covid-19 Pandemic: A blessing or a curse?
Managing Director, Quantitative Risk and Stress Testing, Citi
Arnisa Abazi: Managing Director, Quantitative Risk and Stress Testing, Citi
PANEL: Talent Attraction & Retention
- What are QR Financial Services currently doing and what should they be doing to attract more female talent?
- What can Universities and Recruitment companies do to help?
- What strategies are financial companies using at present if any?
- What are QR Financial Services currently doing and what should they be doing to retain female talent?
- What top positions besides Asset Management can QF- profiled women occupy?
- For each position open, the percentage of female CVs submitted is very small (if not none). Why is this happening and how can universities/headhunters/companies work together to improve the numbers?
- At more senior levels the number of women is even lower than at entry level which means that the female population retention rate is low or/and women are not being promoted. Discuss.
- Mentoring programmes that could specifically help Diversity & Inclusion.
- Are quantitative positions too specialised which prevents women (and men) to move horizontally to different (and possibly more senior) roles?
Deputy Head of Rates & Credit Quantitative Research, Lloyds Banking Group
Diana Ribeiro: Deputy Head of Rates & Credit Quantitative Research, Lloyds Banking Group
Co-head of the Global Credit and Commodities Quant Strategies, Bank of America Merrill Lynch
Ioana Savescu: Co-head of the Global Credit and Commodities Quant, Strategies Groups, Bank of America Merrill Lynch
Ioana Savescu is Co-head of the Global Credit and Commodities Quantitative Strategies Groups as well as heading the Global Banking and Markets Pre-Provision Net Revenue (PPNR) Forecasting team. She is responsible for the model development and implementation in this space and is based in London.
Ioana first joined Merrill Lynch in April 2007 as a Credit Quant on the Credit Derivatives desk and has been with the firm ever since. She became co-head of the Global Credit Quantitative Strategies Group in 2014. She has worked on a variety of topics addressing both front office pricing and risk managing models for credit products as well as regulatory calculations. Since 2016 she is also leading the development effort for the models used in the CCAR process for forecasting revenues within the Global Markets and Banking business (PPNR). In 2018 she became the co-head of the Commodities Quantitative Strategies Group as well, continuing to expand her knowledge and expertise into a new area.
Prior to beginning her career in finance Ioana obtained and MSc in engineering from Ecole Polytechnique and an MSc in Applied Mathematics in Finance from Paris VI University. She then went on to obtain a PhD in Financial Mathematics from Imperial College with a thesis studying counterparty risks on credit derivatives.
Managing Director, Equity Derivatives Structuring, Goldman Sachs
Raphaelle Jacquemin: Managing Director, Equity Derivatives Structuring, Goldman Sachs
Raphaelle is responsible for the EMEA Equity and Fund linked-Structured Products team in Sales Strats. She joined Goldman Sachs in 2016 as an executive director and was named managing director in 2019. Prior to joining the firm, Raphaelle worked at Société Générale in Paris, where she served as both an Equity and Cross-Asset derivatives structurer from 2007 to 2016. Earlier in her career, she also worked in quantitative research for Ixis. Raphaelle earned a master’s degree in Probabilities and Finance from the Pierre and Marie Curie University in Paris in 2007 and an engineering degree from École des Mines in Paris in 2006.
Managing Director at Gresham Investment Management
Irene Perdomo: Managing Director at Gresham Investment Management
Irene Perdomo is a Managing Director for Systematic Macro Strategies at Gresham Investment Management. Prior to joining Gresham, Irene was CEO and Managing Partner of Devet Capital, a boutique commodities-focused quant firm. Prior to co-founding Devet, she traded base metals at Noble Resources in Singapore after being Co-Head of European Commodities Product Development at Barclays in London.
She is the co-author of “Pricing and hedging financial derivatives: a guide for practitioners” (Wiley, 2013), and has been a guest lecturer in Mathematics and Finance at Queen Mary University and at Imperial College London.
Irene holds an MBA from IESE Barcelona, studied finance at the University of Chicago Booth School of Business and has a degree in Computer Science Engineering from Uruguay.
Head of Foundational Credit Risk Modeling team for Wholesale and Retail portfolios, Citi
Marina Balzac: Head of Foundational Credit Risk Modeling team for Wholesale and Retail portfolios at Citi