Wednesday 16th June: Day 3 WQF
Integrating Climate Risk into Risk Management: Challenges and Opportunities
EDT: 09.00
BST: 14.00
CEST: 15.00
Attention to climate-related financial risk is clearly growing within finance, both for the private sector and the public sector. Banking regulators and central banks are suddenly beginning to pay more attention to the role of climate change as a source of financial risk. During this presentation, I will introduce how Banks are under rising regulatory and commercial pressure to protect themselves from the impact of climate change and to align themselves with the global sustainability agenda.
Key takeaways include:
- Incorporating the financial risks of climate change into risk management frameworks, strategic discussions, and oversight regimes
- Understand the significant limitations and challenges to anticipating the financial impact of climate change
- Learn the role of the banking sector in transitioning to a net-zero carbon emission world
Diana Ouamar:
Co-Founder and Managing Director, Rima Consulting
Diana Ouamar: Co-Founder and Managing Director, Rima Consulting
Diana is the Co-Founder and 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.
Machine Learning Operations in Financial Services
EDT: 10.00
BST: 15.00
CEST: 16.00
Francesca Lazzeri:
Principal Manager, Cloud & AI & Machine Learning, Microsoft
Francesca Lazzeri: Principal Manager, Cloud & AI & Machine Learning, Microsoft
Francesca Lazzeri is a machine learning scientist on the cloud advocacy team at Microsoft. An expert in big data technology innovations and the applications of machine learning-based solutions to real-world problems, she has worked with these issues in a wide range of industries, including energy, oil and gas, retail, aerospace, healthcare, and professional services. Previously, she was a research fellow in business economics at Harvard Business School, where she performed statistical and econometric analysis within the Technology and Operations Management Unit and worked on multiple patent data-driven projects to investigate and measure the impact of external knowledge networks on companies’ competitiveness and innovation. Francesca periodically teaches applied analytics and machine learning classes at universities in USA and Europe. and is a mentor for PhD and postdoc students at the Massachusetts Institute of Technology. She enjoys speaking at academic and industry conferences to share her knowledge and passion for AI, machine learning, and coding. Francesca holds a PhD in innovation management.
Keynote: Balance and Income Forecasting – an integrated modelling approach.
EDT: 11.00
BST: 16.00
CEST: 17.00
Priya Balan:
Director, Quantitative Analytics, Barclays
Priya Balan: Director, Quantitative Analytics, Barclays
Priya is a Director in the Quantitative Analytics team in Barclays where she leads a team of quants responsible for developing balance and income projection models used by Treasury and Finance departments for various regulatory and internal purposes. She has 20 years of industry experience in a career spanning quantitative analytics, sell side research and front office technology.
Prior to working in Quantitative Analytics, Priya was a strategist in the Research team at Barclays where she worked in different areas including European securitisation research, structured credit strategy and credit macro strategy.
Before joining Barclays in 2007 she worked in front office technology at Deutsche Bank supporting the credit derivatives and the rates trading desks. Priya has a Masters degree in Financial Engineering from Birkbeck College.
Machine Learning Models & Fixed Income Quant Trading
ESDT: 12.00
BST: 17.00
CEST: 18.00
Abstract:
Fixed Income trading is slow to evolve. We see a lot of innovation in algorithmic execution & TCA, but changes are less dramatic in risk-taking parts of the business. In this talk I will describe several practical applications of ML to signal-driven trading in Fixed Income. We will focus on bonds, and work through examples of models used for predictions & sizing of positions, model stacking & how ML approach can produce forecasts for instruments with limited historical data (i.e new issues). We will also highlight how ML can drive innovation in TCA.
Edith Mandel:
Principal, Greenwich Street Advisors, LLC
Edith Mandel: Principal at Greenwich Street Advisors, LLC
Edith Mandel is a seasoned finance professional with 20 years of experience. She held a number of senior roles both on the sell and buy sides of the Fixed Income business.
Edith has extensive hands-on experience in developing quantitative trading models, and building systematic risk-taking businesses from the ground up.
As a principal at Greenwich Street Advisors, LLC, Edith advises both established participants in the Fixed Income market and those companies considering opportunities for expansion. As an expert in the Fixed Income market, Edith evaluates the opportunity cost, advises on trading infrastructure build-out, electronic and quantitative trading, risk management, alpha research and algorithmic execution.
In the last two-and-a-half years, Edith Mandel was the head of Fixed Income Mid-Frequency Trading at KCG (formerly GETCO). While there, she spearheaded a development of a new quantitative and systematic business within the Global Fixed Income group.
Edith started her professional career at Goldman Sachs, where she held a number of positions in the Fixed Income division. As a Managing Director, Edith ran a team of quantitative strategists responsible for algorithmic trading in US Treasuries and Swaps, for risk management of a broad set of interest rate products, including vanilla and exotic options, and for the development of a toolkit for systematic risk-taking.
Prior to joining KCG, Edith Mandel worked at Citadel as a Managing Director, Head of Fixed Income Quantitative Research. There she was instrumental to a significant revamp and expansion of the Fixed-Income Asset Management business and a development of new profitable systematic trading strategies in liquid rates.
