Friday 18th June: Day 5 WQF
- Capital requirements and bank capitalization.
- Liquidity requirements and banks’ liquidity positions.
- Bank activity: lending and trading.
- Market assessment of bank health.
Principal Economist, Federal Reserve Board
Diana Iercosan: Principal Economist, Federal Reserve Board
Lecturer, King’s College London and Researcher, The Alan Turing Institute
Blanka Horvath: Lecturer, King’s College London and Researcher, The Alan Turing Institute
Blanka is a Honorary Lecturer in the Department of Mathematics at Imperial College London and a Lecturer at King’s College London. Her research interests are in the area of Stochastic Analysis and Mathematical Finance.
Her interests include asymptotic and numerical methods for option pricing, smile asymptotics for local- and stochastic volatility models (the SABR model and fractional volatility models in particular), Laplace methods on Wiener space and heat kernel expansions.
Blanka completed her PhD in Financial Mathematics at ETHZürich with Josef Teichmann and Johannes Muhle-Karbe. She holds a Diploma in Mathematics from the University of Bonn and an MSc in Economics from the University of Hong Kong.
PhD Student in Statistics, The University of Warwick
Maud Lemercier: PhD Student in Statistics, The University of Warwick
Maud LEMERCIER is a third year PhD student within the Oxford-Warwick Statistics Programme (OxWaSP) supervised by Theodoros Damoulas. She is also a visiting researcher at the Alan Turing Institute and a member of the DataSig team. Her research interests lie in Bayesian statistics and Machine Learning. I am interesting in developing scalable machine learning algorithms for complex time series data.