World Business StrategiesServing the Global Financial Community since 2000

Thursday 5th November: Day 4 WQF

Machine Learning Models & Fixed Income Quant Trading

EST: 09.00
GMT: 14.00
CET: 15.00

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 logistic models used for sizing of positions, non-linear patterns in the data, model stacking & how ML approach can produce forecasts for instruments with limited historical data (i.e new issues).

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.
Edith Mandel is a seasoned finance professional with over 18 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
Topic and Presenter to be confirmed

EST: 10.00
GMT: 15.00
CET: 16.00

Sponsor: Goldman Sachs

PANEL: Career Progression
EST: 11.00
GMT: 16.00
CET: 17.00

 

Topics:

  • Do you think that being a woman is a significant factor in slowing down career progression in QR Financial Services?
    • If so, could this be avoided and how?
  • Discuss the current career return to work strategies available
    • Have you benefited from any such schemes?
  • Discuss the Importance and value of mentorship and sponsorship
    • What mentoring programs are available for juniors if any?
  • Is it still hard to make it to the top positions, if so why and what can do done to change the situation?
  • Discuss female role models in finance and significant achievements
  • Tips from coaches on career progression (eg having your voice heard)
  • Actively managing your career; distribution of opportunity set
  • Gender diversity issues (discuss numbers, policies, how to address it)
  • Maternity leave
    • Has Shared Parental Leave (SPL) helped equality in this area?
  • How important are the following:
    • Promotions/Career opportunities
    • Pay gap elimination
    • Agile/Flexible working
    • Getting the feedback you need (even if you don’t really want it)
    • Supporting each other

Moderator:

Dr. Agnès Tourin:

Industry Associate Professor, NYU Tandon School of Engineering

Dr. Agnès Tourin: Industry Associate Professor, NYU Tandon School of Engineering

Priti Sinha:

Head of SAF Analytics, NatWest Markets

Priti Sinha: Head of SAF Analytics, NatWest Markets

Dr Priti Sinha is a PhD in Pure Mathematics and Theoretical Computer Science. She has over 12 years’ experience as a Fixed Income and Hybrids Quant at NatWest Markets. Over the years, she has developed several models for these divisions and she now heads the SAF Analytics team at NWM. Priti is responsible for core analytics, the curves and algorithms used in pricing, hedging and risk management across all asset classes in NWM.

Automation is her big focus; she and her team are engaged in a range of automation initiatives across the Bank. She is making Quant skills available beyond the traditional trading floor, to other non-trading sections of the bank.

Outside her work Priti enjoys spending time with her 6 year old twins and brainstorming with her husband, who is a founder of an IOT & Tech start-up.

Veronica G. Artof:

Director, Consumer Products Strategic Analyst, Bank of America

Veronica G. Artof, Director, Consumer Products Strategic Analyst, Bank of America

Veronica G. Artof leads the Production and Change Management team within Global Risk Analytics’ Mortgage Data & Reporting group. The team is responsible for provisioning data & executing key reports utilized in the mortgage loss forecasting process. Artof is also responsible for leading change and project management efforts across the entire Data & Reporting group, coordinating with key stakeholders including Model Development, Model Implementation, Model Execution and Forecast Administration teams.

Artof joined Bank of America in 2007 as a Senior Development Lead with Countrywide Capital Markets. She has held software development and operations leadership positions in Capital Markets, GT&O and Global Risk Analytics. Artof previously served as the co-chair for Lead for Women Ventura County and continues to be actively involved in Bank of America’s HOLA and Lead for Women employee networks.

Artof holds a Master’s degree in Computer Science from the University of California Irvine, with a specialization in Software processes, and a Bachelor’s degree in Engineering from the National Polytechnic Institute in Mexico City.

Artof resides in Westlake Village, California with her family, where she volunteers at her son’s elementary school.

Jing Xu:

Managing Director – Head of Model Risk Inventory Management at Citibank

Jing Xu: Managing Director – Head of Model Risk Inventory Management at Citibank

Milena Imamovic-Tomasovic:

Head of Product-Aligned Valuation Methodology, Deutsche Bank

Milena Imamovic-Tomasovic: Head of Product-Aligned Valuation Methodology, Deutsche Bank

Milena Imamovic-Tomasovic is a quantitative finance professional with fifteen years of experience in banking. Her current role is Head of Business-Aligned Valuation Methodology within Global Valuation Group team in Deutsche Bank. Prior to that, she was Head of CVA and Funding Methodology within GVG Methodology and before that Head of Analytics, EMEA at HSBC where she headed a cross-asset Valuation Control quant team. Before joining HSBC, Milena worked at TD Securities as a model validation and subsequently front office equity quant. She holds a Ph.D in theoretical physics from the University of Toronto.

Shreya Gossain:

Market Risk Analyst, Barclays

Shreya Gossain: Market Risk Analyst, Barclays

Shreya recently graduated from NYU Tandon with a Master’s in Financial Engineering where she was also the first elected female President of the Graduate Student Government. Owing to her leadership initiatives and active role in mentoring women in STEM, she was awarded Student Leader of the Year on her graduation. Through her time at NYU, she researched on several quantitative projects, including portfolio management for interest rate volatility and inflation expectations under the guidance of the CIO of Quadratic Capital Management. Last year, she interned with Barclays as a Market Risk Summer Analyst and will be joining them full-time this year. Shreya is passionate about analyzing financial and economic data to generate insightful results about shifts in market dynamics and identifying risk profiles. Prior to her Master’s, Shreya obtained a Bachelor’s degree in Electrical Engineering.

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