World Business StrategiesServing the Global Financial Community since 2000

Conference Stream

08.15 – 09.00

Registration and Welcome Coffee

09.00 - 09.45

The role of media sentiment in factor investing: Added value of alternative data

Svetlana Borovkova:

Head of Quantitative Modelling, Probability & Partners. Associate Prof, Vrije Universiteit Amsterdam

Svetlana Borovkova: Head of Quantitative Modelling, Probability & Partners and Associate Professor, Vrije Universiteit Amsterdam

Currently Head of Quantitative Modelling at Probability & Partners and Associate Professor at Vrije University Amsterdam, Dr Svetlana Borovkova has specialized in applying mathematical and statistical methods to problems within quantitative finance and risk management.

Dr Borovkova’s research extends in many areas, such as news analytics for finance, derivatives pricing, commodity markets and risk management in the face of new regulation. She is also a consultant for the Dutch Central Bank and the founder and principal consultant of DataDecisions: Financial Risk Consultancy.

Dr Borovkova is a frequent speaker on international conferences, such as Global Derivatives, Risk Minds, Bachelier Congress for Mathematical Finance, Sentiment Analysis and Behavioural Finance and others.

Previously she held an assistant professor position in Delft University of Technology and a trading analyst position in Shell Trading, London.

She got her PhD in 1998 from the University of Groningen, The Netherlands, and Oregon State University, USA and MSc degree in applied mathematics and computer science from Moscow and Utrecht.

09.45 - 10.30

SA-CCR Methodology, issues and impact on counterparty risk management and central clearing risk

Olga Pavlova-Harris:

Consultant – Risk & Compliance/Education/Digital

Olga Pavlova-Harris: Consultant – Risk & Compliance/Education/Digital

Olga holds PhD in mathematics and is an experienced risk management professional. Her current interests are in the area of risk management, education and digital disruption. Prior to becoming an independent consultant she worked in UBS, Barclays Capital and Deutsche Bank as a quantitative risk manager. She managed teams across Atlantic, led bank-wide credit risk system development and obtained regulatory approvals.

10.30 - 11.00

Morning Break and Networking Opportunities

11.00 - 11.45

‘Time Changing Volatility’

Laura Ballotta:

Prof. of Mathematical Finance, Bayes Business School (formerly Cass)

Laura Ballotta: Prof. of Mathematical Finance, Bayes Business School (formerly Cass)

Dr Ballotta works in the areas of quantitative finance and risk management. She has written on topics including stochastic modelling for financial valuation and risk management, numerical methods aimed at supporting financial applications, and the interplay between finance and insurance.

Recent major contributions have appeared in Journal of Financial and Quantitative Analysis, European Journal of Operational Research and Quantitative Finance among others.
She serves as associate editor and referee for a number of international journals in the field.

Laura Ballotta obtained her PhD in Mathematical and Computational Methods for Economics and Finance from the Università degli Studi di Bergamo (Italy), following her BSc in Economics from Università Cattolica del Sacro Cuore, Piacenza (Italy), and MSc in Financial Mathematics from the University of Edinburgh – jointly awarded with Heriot-Watt University (UK). Laura has previously held positions at Università Cattolica del Sacro Cuore, Piacenza (Italy), and Department of Actuarial Science and Statistics, City University London (UK).

11.45 - 12.45

PANEL: Talent Attraction & Retention:

Recruiting/Retaining talent

  • What are QR Financial Services currently doing and what should they be doing to attract more female talent?
  • What strategies are financial companies using to retain talent? Is there anything else that could be done?

Career progression

  • 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
  • Are quantitative positions too specialised which prevents women (and men) to move horizontally to different (and possibly more senior) roles?
  • Hybrid working model-does it benefit for retaining/advancing women careers?
  • Mentoring vs sponsorship programmes that could specifically help Diversity & Inclusion.
  • Limitations for progression in challenging times when there is less opportunities available
  • Is there difference in diversity approach/success between US vs Euro banks?
  • Company diversity targets-good idea?
  • How to overcome unconscious bias

Moderator:

Milena Imamovic-Tomasovic:

Global Head of Product Valuation Methodologies and VCG Digital, Citi

Milena Imamovic-Tomasovic: Global Head of Product Valuation Methodologies and VCG Digital, Citi

Milena Imamovic-Tomasovic is a quantitative finance professional with over fifteen years of experience in banking. Her current role is Global Head of product valuation Methodologies and VCG Digital in Citi. Prior to that, she was Head of Business-Aligned Valuation Methodology within Global Valuation Group team and Head of CVA and Funding Methodology within GVG Methodology in Deutsche Bank. 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.

Katia Babbar:

University of Oxford, Academic Visitor & Immersive Finance, co-Founder

Katia Babbar: University of Oxford, Academic Visitor & Immersive Finance, co-Founder

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.

Kathy Stokes:

Managing Director, Global Head of Qualitative Model Validation, Citi

Kathy Stokes: Managing Director, Global Head of Qualitative Model Validation, Citi

Kathy assumed her role as the Global Head of Qualitative Model Validation in 2018 and reports to the Head of Model Risk Management. In this role she is responsible for validation of all qualitative models across the firm, including all businesses and functions. She founded the qualitative validation group and developed and implemented the process for validating qualitative models, which is consistent with the overall Model Risk Management (MRM) framework. The group’s initial focus was on models used for Comprehensive Capital Analysis and Review (CCAR) and Dodd Frank Stress Testing (DFAST) but has expanded to other model types and usages as the inventory of qualitative models has grown.

Kathy has over 20 years of experience with Citi and other large firms in Treasury and Risk in a variety of functions. She has experience with building teams and developing new processes in a global environment. Her previous roles at Citi have included coverage of Liquidity Risk, Interest Rate Risk, and Governance. Kathy has a Bachelor’s degree from the Wharton School of the University of Pennsylvania and a Masters in Management from the M.I.T. Sloan School.

Mirela Predescu:

Head – Credit/Repo Market and Counterparty Risk Methodologies, BNP Paribas

Mirela Predescu: Head – Credit/Repo Market and Counterparty Risk Methodologies, BNP Paribas

Mirela Predescu is a manager at BNP Paribas, London, heading a team responsible for market and counterparty risk models for credit and repo products.  Prior to BNP Paribas, Mirela has held positions in the portfolio modelling team at Lloyds Banking Group and the quantitative analytics team at Fitch Solutions. Before moving to the financial industry, Mirela was a University Lecturer at Saïd Business School, University of Oxford. Mirela holds a PhD in Finance from Rotman School of Management, University of Toronto and an MA in Economics from University of Toronto.

Diana Ribeiro: 

Independent

Diana Ribeiro: Independent

12.45 - 13.45

Lunch Break

13.45 - 14.30

Neural Stochastic Partial Differential Equations (joint work with Cristopher Salvi and Andris Gerasimovics, arXiv).  

Maud Lemercier:

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.

14.30 - 15.15

CECL – 2 years post implementation – lessons learned

Andreea Pantchev:

Managing Director, Citi

Andreea Pantchev: Managing Director, Citi

15.15 - 16.00

Deep-XVA solver, a neural network based counterparty credit risk management framework

Abstract: we present a novel computational framework for portfolio-wide risk management problems, where the presence of a potentially large number of risk factors makes

traditional numerical techniques ineffective. The new method utilizes a coupled system of

backward stochastic differential equations (BSDEs) for the valuation adjustments (xVA) and solves these by a recursive application of a neural network based BSDE solver. This not only makes the computation of xVA for high-dimensional problems feasible, but also produces hedge ratios and dynamic risk measures for xVA, and allows simulations of the collateral account.

Athena Picarelli:

Assistant Professor at the Department of Economics, University of Verona

Athena Picarelli: Assistant Professor at the Department of Economics, University of Verona

Athena Picarelli is Assistant Professor at the Department of Economics, University of Verona. Previously, she has been CFM Research Fellow at Imperial and Nomura Research Fellow at the Mathematical and Computational Finance Group in Oxford. Her research spans optimal control, dynamic programming, numerical methods for Hamilton-Jacobi PDEs and computational finance.

16.00 - 16.30

Afternoon Break and Networking Opportunities

16.30 - 17.15

“Building Graph-Based Systems for Financial Models”

Lily (Lihua) Xiong:

Vice President, Quantitative Analytics Modelling Systems, Barclays

Lily (Lihua) Xiong: Vice President, Quantitative Analytics Modelling Systems, Barclays

Lily (Lihua) Xiong is Vice President in Quantitative Analytics Modelling Systems at Barclays. Lily joined Barclays in 2018 after graduating from NYU Courant’s Mathematics in Finance Master’s program. She enjoys creating elegant mathematical & computational solutions to open-ended problems and is one of the core contributors to the in-house graph-based simulation framework used for large-scale financial models

Dhivya Shankaranarayan:

Director Quantitative Analytics, Barclays

Dhivya Shankaranarayan: Director Quantitative Analytics, Barclays

Dhivya Shankaranarayan is a Director in Quantitative Analytics at Barclays.  She joined Barclays from Lehman Brothers where she started her career as an intern. During her tenure at Barclays, Dhivya has worked on a variety of projects and is passionate about solving computational problems using technological solutions.

17.15 - 18.15

PANEL: Career Progression:

  • Do you think that being a woman is a significant factor in slowing down career progression in QR Financial Services? Is it still hard to make it to the top positions, if so why and what can be done to change the situation? If applicable, discuss about gender diversity issues (discuss numbers, policies, how to address it)
  • Discuss female role models in finance and significant achievements
  • 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
  • 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?

Moderator:

Blanka Horvath:

Technical University of Munich and The Munich Data Science Institute

Blanka Horvath: Technical University of Munich and The Munich Data Science Institute

Blanka research interests are in the area of Stochastic Analysis and Mathematical Finance.

Including 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.

Irene Perdomo:

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.

Caroline Clement:

Director, Quantitative Analyst in Macro, Barclays

Caroline Clement: Director, Quantitative Analyst in Macro, Barclays

Caroline is currently a Director in the Macro Quantitative Analytics team in Barclays. Caroline started her career at Barclays as an intern in the FX quant team in 2011 straight after University before accepting a Graduate position in the same team. She then moved internally to the newly created QA Central team in 2013. She was promoted to Vice President and then Director in QA Central before returning to an asset class role in 2020 focusing on Interest Rates.

In her current role, she works on the development of a new cross-asset analytics library that eliminates duplication and is based on modern software development techniques. She is a graduate of ENSAE (National school of Statistics and Economics in Paris, master’s degree) and holds another master’s degree in Probability and Finance from Paris VI University (ex-DEA El Karoui). She is also the co-leader of the Women in QA initiative in Barclays.

Wendy Lofgren:

Senior Risk Manager, Citibank

Wendy Lofgren: Senior Risk Manager, Citibank, N.A

Wendy Lofgren is the Senior Risk Manager (SRM) for the Citibank, N.A. (“Citibank”) Chief Risk Officer (CRO) where she serves as a trusted advisor to Citi’s CRO addressing high impact strategic issues across the firm’s portfolio of businesses. Wendy is also a Level 2 Senior Credit Officer (the second highest approval authority in the Bank).  She is a standing member of Citibank’s Risk Committee, a member of ALCO, and the Wholesale Credit Senior Governance Group responsible for performing review and challenge of quarterly reserves, as well as other Business Risk and Controls Committees.

Wendy has been in various senior roles across multiple geographies within the Citi organization. Before serving as the SRM of Citibank, Wendy was the North America portfolio head of Power, Chemicals, Metals & Mining and prior to that North America portfolio head of Consumer, Retail, and Healthcare within Citi’s Institutional Corporate Group (ICG) Risk organization. Before her time with the ICG Risk organization, Wendy was a Senior Credit Officer with Citi’s U.S. Commercial Bank managing the New York portfolio.

Wendy began her Citi career in New York in 1997 as a Global Emerging Market Management associate, with rotations in Budapest, Hungary; Mexico City, Mexico; Shanghai, China; and Buenos Aires, Argentina.  She is a member of Women in Risk – Citi’s Risk Management senior leadership development program, a senior member of Risk’s Diversity Council and Risk Analyst Program Steering Committee.

Olga Pavlova-Harris:

Consultant – Risk & Compliance/Education/Digital

Olga Pavlova-Harris: Consultant – Risk & Compliance/Education/Digital

Olga holds PhD in mathematics and is an experienced risk management professional. Her current interests are in the area of risk management, education and digital disruption. Prior to becoming an independent consultant she worked in UBS, Barclays Capital and Deutsche Bank as a quantitative risk manager. She managed teams across Atlantic, led bank-wide credit risk system development and obtained regulatory approvals.

18.15 - 19.30

Drinks Reception

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