Wednesday 4th November: Day 3 WQF
Abstract: Artificial intelligence (AI) algorithms typically operate in high-dimensional spaces, are trained on vast and often heterogeneous data sets, and involve non-linear models that attempt to capture previously unknown patterns. In areas where the results of such algorithms are filtered through human decisions, insight into the pattern generation processes is key to fully capitalizing on the power of AI. Actionable AI (AAI) aims to build trust between collaborating human and software agents. In Finance, AAI is paramount not only to addressing regulatory requirements for transparency, but also to the widespread adoption of AI methods in areas largely driven by human decisions. In this presentation, we delve into the challenges and state-of-the-art solutions for AAI in the context of quantitative modeling for investment management decisions.
Head of Quantitative Portfolio Solutions, Alphadyne Asset Management
Ioana Boier: Head of Quantitative Portfolio Solutions, Alphadyne Asset Management
Ioana is the Head of Quantitative Portfolio Solutions, Alphadyne Asset Management.
I have a Ph.D. in Computer Science from Purdue University. In addition, I have completed graduate coursework in Financial Mathematics at NYU and Big Data at Harvard University. Prior to joining Citadel, I was a Director in the Global Markets Division at BNP Paribas where I managed the Interest Rate Options & Inflation quantitative research team. Before transitioning into Finance, I was a research staff member at the IBM T. J. Watson Research Center.
Abstract: With little over 1 year to go until LIBOR benchmarks will stop being published at the end of 2021, we will explore the challenges that are still ahead of us, with a particular focus on the risk and capital modelling space.
Following the completion of Phase II of the IBOR transition, new risk free rates (ESTR and SOFR) are used as discounting rates for the calculation of the PV of cleared derivatives. The next phase, i.e. the adoption of RFRs as main swap indices is seen as the most impactful one for risk and capital models. Lack of historical market data, more extensive proxy usage, may lead to an increase in risks not captured in the models with possible consequences on capital. Finally, cross dependencies between IBOR transition and upcoming regulatory changes will be explored further, in particular the interaction between IBOR Transition and the Fundamental Review of the Trading Book (FRTB).
Director, Global Markets Risk Analytics, Bank of America
Laura Muller: Director, Global Markets Risk Analytics, Bank of America
Laura Muller is a Director in Global Markets Risk Analytics at Bank of America, based in London.
Laura joined Bank of America in 2019 from HSBC, where she was Global Head of Market Risk Analytics, with responsibility across market risk methodology change projects, including FRTB and IBOR Transition.
Prior to that, Laura worked at Deutsche Bank, where she held several senior roles in market risk management and risk analytics. In her last role, she was heading the Value-at-Risk and Economic Capital Methodology teams across different locations with responsibility for the development of regulatory and economic capital models for market risk.
Laura holds an MSc in Plasma Physics from the Universita’ Statale in Milan, Italy.
Following the recent dramatic events in oil markets, on April 22 2020, CME announced a switch to Bachelier Option Pricing Model to accommodate negative prices in the underlying futures and allow for listing of option contracts with negative strikes. In this presentation, we analyze two important aspects of commodities futures, while comparing Black vs Bachelier models:
- Volatility skew of oil futures especially at turbulent times of Spring 2020
- Term structure of volatilities for oil futures: backwardation of both implied and historical realized volatilities of futures, the famous known Samuelson effect
We find that under crash conditions, as during Spring 2020, the Bachelier model performs better than the Black model, showing much flatter smile and weaker Samuelson.
Research Professor at NYU , Tandon School of Engineering
Roza Galeeva: Research Professor at NYU , Tandon School of Engineering, Commodity Derivatives, Risk Management