World Business StrategiesServing the Global Financial Community since 2000

Friday 28th September

08.30 - 09.00
Morning Welcome Coffee
Stream Chair: Martin Engblom: Co CEO triCalculate, TriOptima, a NEX Group Company

Chair:

Martin Engblom:

Co CEO triCalculate, TriOptima, a NEX Group Company

Martin Engblom: Co CEO triCalculate, TriOptima, a NEX Group Company

Martin Engblom is the Co CEO triCalculate, TriOptima. Prior to joining TriOptima he held various positions at Citigroup, most recently as Director in the Credit Quantitative Analysis group. Martin holds a PhD in Mathematical Finance from Imperial College London.

09.00 - 09.45
All Streams
Keynote Speech: Topics in Self-Learning Agents and Traditional Quantitative Models in Finance
  • What can we draw from our experience of training and running an industry first self-learning agent for electronic order execution?
  • Will traditional hand-crafted heuristic- and quant-based execution algorithms go extinct within 10 years?
  • Does the success of ML and AI agents in finance indicate the eventual demise of traditional quantitative models?
  • Practical aspects of using feeder models and heuristics in AI agents for trading applications.
  • Do we have practical solutions for the equivalence puzzle in Neural Net

Vacslav Glukhov

Vacslav Glukhov, PhD: Executive Director, Linear Quantitative Research, Global Equities, J.P. Morgan

PhD: Executive Director, Linear Quantitative Research, Global Equities. J.P. Morgan

Vacslav is an Executive Director in the Linear Quantitative Research group at JPMorgan in London. His focus is probabilistic decision making, algorithmic trading, and applications of machine learning in finance. Vacslav holds a PhD in Electrical Engineering from Stanford University, California, and a PhD in Theoretical Physics from National University in Kiev, Ukraine

09.45 - 10.30
All Streams
XVA, AAD, Intial Margin & FRTB Panel:

Moderator:  

  • Alexandre Antonov: Director, Standard Chartered Bank

 Panelists:   

  • Andrew Green: Managing Director and XVA Lead Quant, Scotiabank
  • Andrew Mcclelland: Director, Quantitative Research, Numerix
  • Ignacio Ruiz: Founder & CEO, MoCaX Intelligence
  • Gilles Artaud: Market and Counterparty Risk, Credit Agricole-CIB
  • Assad Bouayoun: Director, XVA Senior Quant, Scotiabank

Topics: 

  • Initial Margin, a push for more model standardization? Good or bad?
  • How do you interpret the regulatory requirements to validate and monitor SIMM, and how would a firm best go about meeting those requirements?
  • SIMM relies on counterparts calculating their own sensitivities. Do the panelists foresee that causing any problems meeting requirements or additional costs?
  • Discuss Implementing SIMM for Non Cleared Initial Margin Rules
  • Explore the interaction between MVA and XVAs:  
    • What does MVA mean for XVA overall? Can you simplify the valuation adjustments?
    • Understand the impacts of initial margin, bi-lateral initial margin and MVA on business models
    • Is it possible to ensure transparency of derivative pricing calculation to reduce disputes

XVA & Machine Learning  

  • Discuss the existing and potential applications of machine learning in XVA

Discuss the Impact of FRTB on XVA’s: 

  • How will the latest proposed regulations impact CVA calculations
  • Review what are the most important factors to take into account when calculating the new CVA
  • Calculating & Implementing FRTB CVA. How will it affect banks’ internal modelling for counterparty risk and risk management?

Alexandre Antonov:

Director, Standard Chartered Bank

Alexandre Antonov, Director, Standard Chartered Bank

Alexandre Antonov received his PhD degree from the Landau Institute for Theoretical Physics in 1997. He worked for Numerix during 1998-2017 and recently he has joined Standard Chartered bank in London as a director.

His activity is concentrated on modeling and numerical methods for interest rates, cross currency, hybrid, credit and CVA/FVA/MVA. AA is a published author for multiple publications in mathematical finance and a frequent speaker at financial conferences.

He has received a Quant of Year Award of Risk magazine in 2016.

Andrew Green: 

Managing Director and XVA Lead Quant, Scotiabank

Andrew Green: Managing Director and XVA Lead Quant, Scotiabank

Andrew Green is a Managing Director and lead XVA Quant at Scotiabank in London. Prior to joining Scotiabank, Andrew held roles as a quantitative analysis in several different banks in London. He is the author of XVA: Credit, Funding and Capital Valuation Adjustments, published by Wiley. 

Andrew McClelland: 

Director, Quantitative Research, Numerix

Andrew McClelland: Director, Quantitative Research, Numerix

Andrew McClelland’s work at Numerix focuses on counterparty credit risk issues including valuation adjustments and counterparty exposure production for structured products. He also works on numerical methods for efficient production of risk profiles under real-world measures.

Andrew received his Ph.D. in finance at the Queensland University of Technology in financial econometrics. His research involved markets exhibiting crash feedback, option pricing, and parameter estimation using particle filtering methods. His work has been published in the Journal of Banking and Finance, the Journal of Econometrics, and the Journal of Business and Economic Statistics.

Ignacio Ruiz:

Founder & CEO, MoCaX Intelligence

Ignacio Ruiz: Founder & CEO, MoCaX Intelligence

Ignacio Ruiz has been the head strategist for Counterparty Credit Risk, exposure measurement, for Credit Suisse, as well as the Head of Risk Methodology, equities, for BNP Paribas. In 2010, Ignacio set up iRuiz Consulting as an independent advisory business in this field. In 2014, Ignacio founded iRuiz Technologies to develop and commercialise MoCaX Intelligence.

Ignacio has several publications in the space of quantitative risk management and pricing. He has also published a comprehensive guide to the subject of XVA Desks and Risk Management.

He holds a PhD in nano-physics from Cambridge University.

Gilles Artaud: 

Market and Counterparty Risk, Credit Agricole-CIB

Gilles Artaud: Market and Counterparty Risk, Credit Agricole-CIB

Gilles Artaud has been working in investment banking for the last 20 years, where he held various positions within Quant, Front Office and Risk Department, working all along on many underlying types, pricing, validation, regulatory and economic capital, market risk and counterparty credit risk topics.

After setting in place the methodology and library for CCR and CVA, he lead XVA, initial margins on non-cleared transactions, and many regulatory topics.

His current “hot” topics are XVAs (CVA DVA FVA AVA MVA…) and impact of new regulatory requirements on derivatives, among which SA-CCR, NSFR, FRTB and FRTB-CVA and Artificial Intelligence technologies in Risk Management.

Assad Bouayoun:

Director, XVA Senior Quant, Scotiabank

Assad Bouayoun: Director, XVA Senior Quant, Scotiabank

Assad Bouayoun is a senior XVA Quantitative Analyst with more than 15 years’ experience in leading banks. He has designed industry standard hedging and pricing systems, first in equity derivative at Commerzbank, then in credit derivatives at Credit Agricole, in XVA at Lloyds in Model Validation at RBS in Model Development. Assad has an extensive experience in developing enterprise wide analytics to improve the financial management of derivative portfolios, in particular large scale hybrid Monte-Carlo and Exposure computation. Assad is currently building the prototype of a new XVA platform integrating cutting-edge technologies (GPU, Cloud computing) and numerical methods (AAD) to enable fast and accurate XVA and sensitivities computation. He holds a MSc in Mathematical Trading and Finance from CASS business school and a Master in Applied Mathematics and Computer Science from Université de Technologie de Compiegne (France).

10.30 - 11.00
Morning Break and Networking Opportunities
11.00 - 11.45
XVA, AAD, MVA & Initial Margin Stream
Accelerated MVA in the Probability Matrix Method
  • Introduction to the Probability Matrix Method
  • Simulating IM using full SIMM and CCP formulas
  • Practical examples and benchmarks
    Live demo

Martin Engblom:

Co CEO triCalculate, TriOptima, a NEX Group Company

Martin Engblom: Co CEO triCalculate, TriOptima, a NEX Group Company

Martin Engblom is the Co CEO triCalculate, TriOptima. Prior to joining TriOptima he held various positions at Citigroup, most recently as Director in the Credit Quantitative Analysis group. Martin holds a PhD in Mathematical Finance from Imperial College London.

11.45 - 12.40
XVA, AAD, MVA & Initial Margin Stream
Algorithmic Differentiation Through Least-Squares Monte Carlo: CVA Greeks and MVA for Callables

Algorithmic Differentiation Through Least-Squares Monte Carlo: CVA Greeks and MVA for Callables 

  • Pathwise methods for CVA Greeks and future value Greeks for MVA both require differentiation of continuation values over model parameters
  • When using LSMC, algorithmic differentiation can be applied in reverse mode (CVA) and forward mode (MVA) for efficiency
  • Careful inspection of the regression algorithm reveals specific dependencies, namely those of coefficients on contemporaneous states, which vanish as the sample size grows large
  • Ignoring these dependencies dramatically simplifies propagation and yields significant reductions in the computational expense with minimal impact on accuracy
  • We present a set of illustrative examples involving Bermudan swaptions

Andrew McClelland: 

Director, Quantitative Research, Numerix

Andrew McClelland: Director, Quantitative Research, Numerix

Andrew McClelland’s work at Numerix focuses on counterparty credit risk issues including valuation adjustments and counterparty exposure production for structured products. He also works on numerical methods for efficient production of risk profiles under real-world measures.

Andrew received his Ph.D. in finance at the Queensland University of Technology in financial econometrics. His research involved markets exhibiting crash feedback, option pricing, and parameter estimation using particle filtering methods. His work has been published in the Journal of Banking and Finance, the Journal of Econometrics, and the Journal of Business and Economic Statistics.

12.30 - 13.30
Lunch
13.30 - 14.15
XVA, AAD, MVA & Initial Margin Stream
Low-Memory Algorithmic Adjoint Propoagation
  • Recall: Tape-based algorithmic adjoints
  • Low development effort adjoints by taping to disc
  • Separation of randomly and sequentially accessed data
  • Minimisation of size of randomly accessed data

Uwe Naumann:

Professor of Computer Science, RWTH Aachen University

Uwe Naumann: Professor of Computer Science, RWTH Aachen University

Uwe Naumann is the author of the popular text book on (Adjoint) Algorithmic Differentiation (AAD) titled “The Art of Differentiating Computer Programs” and published by SIAM in 2012. He holds a Ph.D. in Applied Mathematics / Scientific Computing from the Technical University Dresden, Germany.

Following post-doctoral appointments in France, the UK and the US, he has been a professor for Computer Science at RWTH Aachen University, Germany, since 2004. As a Technical Consultant for the Numerical Algorithms Group (NAG) Ltd. Uwe has been playing a leading role in the delivery of AAD software and services to a growing number of tier-1 investment banks since 2008.

14.15 - 15.00
XVA, AAD, MVA & Initial Margin Stream
Algorithmic Adjoint & GPU Solution and Performance Figures

Algorithmic Adjoint & GPU Solution and Performance Figures

Andrew Green: 

Managing Director and XVA Lead Quant, Scotiabank

Andrew Green: Managing Director and XVA Lead Quant, Scotiabank

Andrew Green is a Managing Director and lead XVA Quant at Scotiabank in London. Prior to joining Scotiabank, Andrew held roles as a quantitative analysis in several different banks in London. He is the author of XVA: Credit, Funding and Capital Valuation Adjustments, published by Wiley. 

15.00 - 15.15
Afternoon Break and Networking Opportunities
15.15 - 16.00
All Streams
Closing Presentation: Examining Real Possibilities and Applications of Distributed Ledger Technologies
  • Which applications are game changing for finance and why?

End of Conference

Massimo Morini:

Head of Interest Rate and Credit Models, Banca IMI

Massimo Morini: Head of Interest Rate and Credit Models, Banca IMI

Massimo Morini is also Coordinator of Model Research. Massimo is Professor at Bocconi University and MSc Director at Milan Polytechnic, and he was Research Fellow at Cass Business School, London. He has published papers in journals including Risk Magazine, Mathematical Finance, and the Journal of Derivatives, and is the author of “Understanding and Managing Model Risk: A Practical Guide for Quants, Traders and Validators” and other books on credit, funding and interest rate modelling. Massimo holds a PhD in Mathematics.

Machine Learning & Quantum Computing Techniques Stream

08.30 - 09.00
Morning Welcome Coffee
Stream Chair: Andrey Chirikhin: Founder at Quantitative Recipe

Chair:

Andrey Chirikhin:

Founder at Quantitative Recipes

Andrey Chirikhin: Founder at Quantitative Recipes

Andrey was formerly Head of Modelling and Quantitative Analytics for L1 Treasury, part of a USD 25bn privately held investment vehicle LetterOne. Prior to LetterOne, Andrey was MD and Head of CVA and CCR quantitative Analytics at RBS. There he has created and run the front office cross asset CVA quant team. He also restructured and led the risk-side quant team charged with delivering a new Basel III compliant internal CCR methodology. The system utilizing the newly delivered methodology has won the 2013 Internal System of the year Risk award. In his 20 year career in investment banking, Andrey held several leadership and senior quant positions at Goldman Sachs, HSBC and Dresdner Kleinwort. Andrey Chirikhin holds PhD in Theoretical Statistics from Warwick University (UK), MBA from INSDEAD and MSc in Applied Mathematics from Moscow Institute for Physics and Technology (Phystech).

Since 2018 Andrey runs his own company, Quantitative Recipes, that advises on wide rage of XVA, long-term market modelling for risk and quant infrastructure.

09.00 - 09.45
All Streams
Keynote Speech: Topics in Self-Learning Agents and Traditional Quantitative Models in Finance
  • What can we draw from our experience of training and running an industry first self-learning agent for electronic order execution?
  • Will traditional hand-crafted heuristic- and quant-based execution algorithms go extinct within 10 years?
  • Does the success of ML and AI agents in finance indicate the eventual demise of traditional quantitative models?
  • Practical aspects of using feeder models and heuristics in AI agents for trading applications.
  • Do we have practical solutions for the equivalence puzzle in Neural Nets

Vacslav Glukhov

Vacslav Glukhov, PhD: Executive Director, Linear Quantitative Research, Global Equities, J.P. Morgan

PhD: Executive Director, Linear Quantitative Research, Global Equities. J.P. Morgan

Vacslav is an Executive Director in the Linear Quantitative Research group at JPMorgan in London. His focus is probabilistic decision making, algorithmic trading, and applications of machine learning in finance. Vacslav holds a PhD in Electrical Engineering from Stanford University, California, and a PhD in Theoretical Physics from National University in Kiev, Ukraine

09.45 - 10.30
All Streams
XVA, AAD, Intial Margin & FRTB Panel

Moderator:  

  • Alexandre Antonov: Director, Standard Chartered Bank

 Panelists:   

  • Andrew Green: Managing Director and XVA Lead Quant, Scotiabank
  • Andrew Mcclelland: Director, Quantitative Research, Numerix
  • Ignacio Ruiz: Founder & CEO, MoCaX Intelligence
  • Gilles Artaud: Market and Counterparty Risk, Credit Agricole-CIB
  • Assad Bouayoun: Director, XVA Senior Quant, Scotiabank

Topics:  

  • Initial Margin, a push for more model standardization? Good or bad?
  • How do you interpret the regulatory requirements to validate and monitor SIMM, and how would a firm best go about meeting those requirements?
  • SIMM relies on counterparts calculating their own sensitivities. Do the panelists foresee that causing any problems meeting requirements or additional costs?
  • Discuss Implementing SIMM for Non Cleared Initial Margin Rules
  • Explore the interaction between MVA and XVAs: 
    • What does MVA mean for XVA overall? Can you simplify the valuation adjustments?
    • Understand the impacts of initial margin, bi-lateral initial margin and MVA on business models
    • Is it possible to ensure transparency of derivative pricing calculation to reduce disputes 

XVA & Machine Learning  

  • Discuss the existing and potential applications of machine learning in XVA

Discuss the Impact of FRTB on XVA’s: 

  • How will the latest proposed regulations impact CVA calculations
  • Review what are the most important factors to take into account when calculating the new CVA
  • Calculating & Implementing FRTB CVA. How will it affect banks’ internal modelling for counterparty risk and risk management?

Alexandre Antonov:

Director, Standard Chartered Bank

Alexandre Antonov, Director, Standard Chartered Bank

Alexandre Antonov received his PhD degree from the Landau Institute for Theoretical Physics in 1997. He worked for Numerix during 1998-2017 and recently he has joined Standard Chartered bank in London as a director.

His activity is concentrated on modeling and numerical methods for interest rates, cross currency, hybrid, credit and CVA/FVA/MVA. AA is a published author for multiple publications in mathematical finance and a frequent speaker at financial conferences.

He has received a Quant of Year Award of Risk magazine in 2016.

Andrew Green: 

Managing Director and XVA Lead Quant, Scotiabank

Andrew Green: Managing Director and XVA Lead Quant, Scotiabank

Andrew Green is a Managing Director and lead XVA Quant at Scotiabank in London. Prior to joining Scotiabank, Andrew held roles as a quantitative analysis in several different banks in London. He is the author of XVA: Credit, Funding and Capital Valuation Adjustments, published by Wiley. 

Andrew McClelland: 

Director, Quantitative Research, Numerix

Andrew McClelland: Director, Quantitative Research, Numerix

Andrew McClelland’s work at Numerix focuses on counterparty credit risk issues including valuation adjustments and counterparty exposure production for structured products. He also works on numerical methods for efficient production of risk profiles under real-world measures.

Andrew received his Ph.D. in finance at the Queensland University of Technology in financial econometrics. His research involved markets exhibiting crash feedback, option pricing, and parameter estimation using particle filtering methods. His work has been published in the Journal of Banking and Finance, the Journal of Econometrics, and the Journal of Business and Economic Statistics.

Ignacio Ruiz:

Founder & CEO, MoCaX Intelligence

Ignacio Ruiz: Founder & CEO, MoCaX Intelligence

Ignacio Ruiz has been the head strategist for Counterparty Credit Risk, exposure measurement, for Credit Suisse, as well as the Head of Risk Methodology, equities, for BNP Paribas. In 2010, Ignacio set up iRuiz Consulting as an independent advisory business in this field. In 2014, Ignacio founded iRuiz Technologies to develop and commercialise MoCaX Intelligence.

Ignacio has several publications in the space of quantitative risk management and pricing. He has also published a comprehensive guide to the subject of XVA Desks and Risk Management.

He holds a PhD in nano-physics from Cambridge University.

Gilles Artaud: 

Market and Counterparty Risk, Credit Agricole-CIB

Gilles Artaud: Market and Counterparty Risk, Credit Agricole-CIB

Gilles Artaud has been working in investment banking for the last 20 years, where he held various positions within Quant, Front Office and Risk Department, working all along on many underlying types, pricing, validation, regulatory and economic capital, market risk and counterparty credit risk topics.

After setting in place the methodology and library for CCR and CVA, he lead XVA, initial margins on non-cleared transactions, and many regulatory topics.

His current “hot” topics are XVAs (CVA DVA FVA AVA MVA…) and impact of new regulatory requirements on derivatives, among which SA-CCR, NSFR, FRTB and FRTB-CVA and Artificial Intelligence technologies in Risk Management.

Assad Bouayoun:

Director, XVA Senior Quant, Scotiabank

Assad Bouayoun: Director, XVA Senior Quant, Scotiabank

Assad Bouayoun is a senior XVA Quantitative Analyst with more than 15 years’ experience in leading banks. He has designed industry standard hedging and pricing systems, first in equity derivative at Commerzbank, then in credit derivatives at Credit Agricole, in XVA at Lloyds in Model Validation at RBS in Model Development. Assad has an extensive experience in developing enterprise wide analytics to improve the financial management of derivative portfolios, in particular large scale hybrid Monte-Carlo and Exposure computation. Assad is currently building the prototype of a new XVA platform integrating cutting-edge technologies (GPU, Cloud computing) and numerical methods (AAD) to enable fast and accurate XVA and sensitivities computation. He holds a MSc in Mathematical Trading and Finance from CASS business school and a Master in Applied Mathematics and Computer Science from Université de Technologie de Compiegne (France).

10.30 - 11.00
Morning Break and Networking Opportunities
11.00 - 11.45
Machine Learning & Quantum Computing Techniques Stream
Multivariate Time Series Modelling: Linear Models vs Machine Learning
  • The ultimate goal of practical time series analysis is extraction of cross sectional and serial dependency so as to end up with i.i.d. residuals.
  • Various linear techniques, routed at Box-Jenkins are in place.
  • Machine learning and NN can be used to create a non-parametric and non-linear multivariate time series modelling framework.
  • We contrast multivariate and multistep regressive approaches with NN methods for modelling multivariate autoregressive processes (e.g. swap rates or volatilities).

Andrey Chirikhin:

Founder at Quantitative Recipes

Andrey Chirikhin: Founder at Quantitative Recipes

Andrey was formerly Head of Modelling and Quantitative Analytics for L1 Treasury, part of a USD 25bn privately held investment vehicle LetterOne. Prior to LetterOne, Andrey was MD and Head of CVA and CCR quantitative Analytics at RBS. There he has created and run the front office cross asset CVA quant team. He also restructured and led the risk-side quant team charged with delivering a new Basel III compliant internal CCR methodology. The system utilizing the newly delivered methodology has won the 2013 Internal System of the year Risk award. In his 20 year career in investment banking, Andrey held several leadership and senior quant positions at Goldman Sachs, HSBC and Dresdner Kleinwort. Andrey Chirikhin holds PhD in Theoretical Statistics from Warwick University (UK), MBA from INSDEAD and MSc in Applied Mathematics from Moscow Institute for Physics and Technology (Phystech).

Since 2018 Andrey runs his own company, Quantitative Recipes, that advises on wide rage of XVA, long-term market modelling for risk and quant infrastructure.

11.45 - 12.30
Machine Learning & Quantum Computing Techniques Stream
MVA using Machine Learning Techniques 
  • Initial Margin: why and what?
  • IM Impacts on pricing (on different valuation adjustments
  • Brute force computations; more elaborate techniques: AAD, American Monte Carlo
  • How can Machine Learning help?

Gilles Artaud: 

Market and Counterparty Risk, Credit Agricole-CIB

Gilles Artaud: Market and Counterparty Risk, Credit Agricole-CIB

Gilles Artaud has been working in investment banking for the last 20 years, where he held various positions within Quant, Front Office and Risk Department, working all along on many underlying types, pricing, validation, regulatory and economic capital, market risk and counterparty credit risk topics.

After setting in place the methodology and library for CCR and CVA, he lead XVA, initial margins on non-cleared transactions, and many regulatory topics.

His current “hot” topics are XVAs (CVA DVA FVA AVA MVA…) and impact of new regulatory requirements on derivatives, among which SA-CCR, NSFR, FRTB and FRTB-CVA and Artificial Intelligence technologies in Risk Management.

12.30 - 13.30
Lunch
13.30 - 14.15
Machine Learning & Quantum Computing Techniques Stream
Vectorised Approach to Tree-Based Machine Learning Problems

Vectorised Approach to Tree-Based Machine Learning Problems

Jan Novotny:

eFX Quant, Global Banking and Markets, HSBC

Jan Novotny: eFX Quant, Global Banking and Markets, HSBC

Jan is a front office quant at HSBC in the eFX markets working on predictive analytics and alpha signals. Prior to joining HSBC team, he was working in the Centre for Econometric Analysis on the high-frequency time series econometric models and was visiting lecturer at Cass Business Group, Warwick Business School and Politecnico di Milano. He co-authored number of papers in peer-reviewed journals in Finance and Physics, contributed to several books, and presented at numerous conferences and workshops all over the world. During his PhD studies, he co-founded Quantum Finance CZ.

14.15 - 15.00
Machine Learning & Quantum Computing Techniques Stream
Industry Breakthroughs in Quantum Computing
  • An inside glimpse into how quantum computing is starting to be applied to finance

Alexei Kondratyev:

Managing Director, Head of Prime Services Analytics, Standard Chartered Bank

Alexei Kondratyev: Managing Director, Head of Prime Services Analytics, Standard Chartered Bank

In his role as Managing Director, Financial Markets at Standard Chartered Bank, Alexei is responsible for providing analytics support to the global derivatives trading business with special focus on clearing, intermediation and portfolio services.

He joined Standard Chartered Bank in 2010 from Barclays Capital where he managed a model development team within Credit Risk Analytics.

Prior to joining Barclays Capital in 2004, he was a senior quantitative analyst at Dresdner Bank in Frankfurt.

Alexei holds MSc in Theoretical Nuclear Physics from the University of Kiev and PhD in Mathematical Physics from the Institute for Mathematics, National Academy of Sciences of Ukraine.

15.00 - 15.15
Afternoon Break and Networking Opportunities
15.15 - 16.00
All Streams
Closing Presentation: Examining Real Possibilities and Applications of Distributed Ledger Technologies
  • Which applications are game changing for finance and why?

End of Conference

Massimo Morini:

Head of Interest Rate and Credit Models, Banca IMI

Massimo Morini: Head of Interest Rate and Credit Models, Banca IMI

Massimo Morini is also Coordinator of Model Research. Massimo is Professor at Bocconi University and MSc Director at Milan Polytechnic, and he was Research Fellow at Cass Business School, London. He has published papers in journals including Risk Magazine, Mathematical Finance, and the Journal of Derivatives, and is the author of “Understanding and Managing Model Risk: A Practical Guide for Quants, Traders and Validators” and other books on credit, funding and interest rate modelling. Massimo holds a PhD in Mathematics.

Volatility & Modelling Techniques Stream

08.30 - 09.00
Morning Welcome Coffee
Stream Chair: Antoine Savine: Quantitative Research, Danske Bank

Chair:

Antoine Savine:

Quantitative Research, Danske Bank

Antoine Savine: Quantitative Research, Danske Bank

Antoine Savine has worked for various Investment Banks since 1995, along Bruno Dupire, Leif Andersen and Marek Musiela. He was Global Head of Quantitative Research for Fixed Income, Currency and Credit Derivatives for BNP-Paribas 1999-2009, and currently works in Copenhagen for Danske Bank, where his work with Jesper Andreasen earned the In-House System of the Year 2015 Risk Award. His upcoming publications in Wiley’s Computational Finance series are dedicated to teaching the technologies implemented in those award-winning systems.

Antoine also teaches Volatility Modeling and Numerical Finance in the University of Copenhagen’s Masters of Science in Mathematics-Economics. The curriculum for his Numerical Finance lectures is being published by Wiley under the name “AAD and Parallel Simulations”.

Antoine holds a Masters from the University of Paris (Jussieu) and a PhD from the University of Copenhagen, both in Mathematics.

09.00 - 09.45
All Streams
Keynote Speech: Topics in Self-Learning Agents and Traditional Quantitative Models in Finance
  • What can we draw from our experience of training and running an industry first self-learning agent for electronic order execution?
  • Will traditional hand-crafted heuristic- and quant-based execution algorithms go extinct within 10 years?
  • Does the success of ML and AI agents in finance indicate the eventual demise of traditional quantitative models?
  • Practical aspects of using feeder models and heuristics in AI agents for trading applications.
  • Do we have practical solutions for the equivalence puzzle in Neural Nets

Vacslav Glukhov

Vacslav Glukhov, PhD: Executive Director, Linear Quantitative Research, Global Equities, J.P. Morgan

PhD: Executive Director, Linear Quantitative Research, Global Equities. J.P. Morgan

Vacslav is an Executive Director in the Linear Quantitative Research group at JPMorgan in London. His focus is probabilistic decision making, algorithmic trading, and applications of machine learning in finance. Vacslav holds a PhD in Electrical Engineering from Stanford University, California, and a PhD in Theoretical Physics from National University in Kiev, Ukraine

09.45 - 10.30
All Streams
XVA, AAD, Intial Margin & FRTB Panel

Moderator:  

  • Alexandre Antonov: Director, Standard Chartered Bank

 Panelists:   

  • Andrew Green: Managing Director and XVA Lead Quant, Scotiabank
  • Andrew Mcclelland: Director, Quantitative Research, Numerix
  • Ignacio Ruiz: Founder & CEO, MoCaX Intelligence
  • Gilles Artaud: Market and Counterparty Risk, Credit Agricole-CIB
  • Assad Bouayoun: Director, XVA Senior Quant, Scotiabank

Topics: 

  • Initial Margin, a push for more model standardization? Good or bad?
  • How do you interpret the regulatory requirements to validate and monitor SIMM, and how would a firm best go about meeting those requirements?
  • SIMM relies on counterparts calculating their own sensitivities. Do the panelists foresee that causing any problems meeting requirements or additional costs?
  • Discuss Implementing SIMM for Non Cleared Initial Margin Rules
  • Explore the interaction between MVA and XVAs: 
    • What does MVA mean for XVA overall? Can you simplify the valuation adjustments?
    • Understand the impacts of initial margin, bi-lateral initial margin and MVA on business models
    • Is it possible to ensure transparency of derivative pricing calculation to reduce disputes 

XVA & Machine Learning

  • Discuss the existing and potential applications of machine learning in XVA

Discuss the Impact of FRTB on XVA’s: 

  • How will the latest proposed regulations impact CVA calculations
  • Review what are the most important factors to take into account when calculating the new CVA
  • Calculating & Implementing FRTB CVA. How will it affect banks’ internal modelling for counterparty risk and risk management?

Alexandre Antonov:

Director, Standard Chartered Bank

Alexandre Antonov, Director, Standard Chartered Bank

Alexandre Antonov received his PhD degree from the Landau Institute for Theoretical Physics in 1997. He worked for Numerix during 1998-2017 and recently he has joined Standard Chartered bank in London as a director.

His activity is concentrated on modeling and numerical methods for interest rates, cross currency, hybrid, credit and CVA/FVA/MVA. AA is a published author for multiple publications in mathematical finance and a frequent speaker at financial conferences.

He has received a Quant of Year Award of Risk magazine in 2016.

Andrew Green: 

Managing Director and XVA Lead Quant, Scotiabank

Andrew Green: Managing Director and XVA Lead Quant, Scotiabank

Andrew Green is a Managing Director and lead XVA Quant at Scotiabank in London. Prior to joining Scotiabank, Andrew held roles as a quantitative analysis in several different banks in London. He is the author of XVA: Credit, Funding and Capital Valuation Adjustments, published by Wiley. 

Andrew McClelland: 

Director, Quantitative Research, Numerix

Andrew McClelland: Director, Quantitative Research, Numerix

Andrew McClelland’s work at Numerix focuses on counterparty credit risk issues including valuation adjustments and counterparty exposure production for structured products. He also works on numerical methods for efficient production of risk profiles under real-world measures.

Andrew received his Ph.D. in finance at the Queensland University of Technology in financial econometrics. His research involved markets exhibiting crash feedback, option pricing, and parameter estimation using particle filtering methods. His work has been published in the Journal of Banking and Finance, the Journal of Econometrics, and the Journal of Business and Economic Statistics.

Ignacio Ruiz:

Founder & CEO, MoCaX Intelligence

Ignacio Ruiz: Founder & CEO, MoCaX Intelligence

Ignacio Ruiz has been the head strategist for Counterparty Credit Risk, exposure measurement, for Credit Suisse, as well as the Head of Risk Methodology, equities, for BNP Paribas. In 2010, Ignacio set up iRuiz Consulting as an independent advisory business in this field. In 2014, Ignacio founded iRuiz Technologies to develop and commercialise MoCaX Intelligence.

Ignacio has several publications in the space of quantitative risk management and pricing. He has also published a comprehensive guide to the subject of XVA Desks and Risk Management.

He holds a PhD in nano-physics from Cambridge University.

Gilles Artaud: 

Market and Counterparty Risk, Credit Agricole-CIB

Gilles Artaud: Market and Counterparty Risk, Credit Agricole-CIB

Gilles Artaud has been working in investment banking for the last 20 years, where he held various positions within Quant, Front Office and Risk Department, working all along on many underlying types, pricing, validation, regulatory and economic capital, market risk and counterparty credit risk topics.

After setting in place the methodology and library for CCR and CVA, he lead XVA, initial margins on non-cleared transactions, and many regulatory topics.

His current “hot” topics are XVAs (CVA DVA FVA AVA MVA…) and impact of new regulatory requirements on derivatives, among which SA-CCR, NSFR, FRTB and FRTB-CVA and Artificial Intelligence technologies in Risk Management.

Assad Bouayoun:

Director, XVA Senior Quant, Scotiabank

Assad Bouayoun: Director, XVA Senior Quant, Scotiabank

Assad Bouayoun is a senior XVA Quantitative Analyst with more than 15 years’ experience in leading banks. He has designed industry standard hedging and pricing systems, first in equity derivative at Commerzbank, then in credit derivatives at Credit Agricole, in XVA at Lloyds in Model Validation at RBS in Model Development. Assad has an extensive experience in developing enterprise wide analytics to improve the financial management of derivative portfolios, in particular large scale hybrid Monte-Carlo and Exposure computation. Assad is currently building the prototype of a new XVA platform integrating cutting-edge technologies (GPU, Cloud computing) and numerical methods (AAD) to enable fast and accurate XVA and sensitivities computation. He holds a MSc in Mathematical Trading and Finance from CASS business school and a Master in Applied Mathematics and Computer Science from Université de Technologie de Compiegne (France).

10.30 - 11.00
Morning Break and Networking Opportunities
11.00 - 11.45
Volatility & Modelling Techniques Stream
On the Joint Calibration of SPX and VIX Options
  • Past attempts
  • New approach for continuous models on the SPX
  • The case of instantaneous VIX: Necessary and sufficient condition for joint calibration
  • The real case of 30 day VIX: Inversion of convex ordering of VIX2 and local VIX2
  • Inversion of convex ordering using fast mean-reverting and highly volatile volatility
  • Inversion of convex ordering using rough volatility

Julien Guyon: 

Senior Quant, Bloomberg L.P.

Julien Guyon: Senior Quant, Bloomberg L.P.

Julien is a senior quantitative analyst in the Quantitative Research group at Bloomberg L.P., New York. He is also an adjunct professor in the Department of Mathematics at Columbia University and at the Courant Institute of Mathematical Sciences, NYU. Before joining Bloomberg, Julien worked in the Global Markets Quantitative Research team at Societe Generale in Paris for six years (2006-2012), and was an adjunct professor at Universite Paris 7 and Ecole des ponts. He co-authored the book Nonlinear Option Pricing (Chapman & Hall, CRC Financial Mathematics Series, 2014) with Pierre Henry-Labordere. His main research interests include nonlinear option pricing, volatility and correlation modeling, and numerical probabilistic methods. Julien holds a Ph.D. in Probability Theory and Statistics from Ecole des ponts. He graduated from Ecole Polytechnique (Paris), Universite Paris 6, and Ecole des ponts. A big football fan, Julien has also developed a strong interest in sports analytics, and has published several articles on the FIFA World Cup, the UEFA Champions League, and the UEFA Euro in top-tier newspapers such as The New York Times, Le Monde, and El Pais, including a new, fairer draw method for the FIFA World Cup.

11.45 - 12.30
Volatility & Modelling Techniques Stream
"Smile Modelling in Commodity Markets"
  • Derivatives on Commodity Futures
  • Fast Calibration of Future Option Smile
  • Forward Curve and Volatility Smile Dynamics
  • Numerical Investigations in Realistic Settings 

Andrea Pallavicini: 

Head of Equity, FX and Commodity models, BANCA IMI

Andrea Pallavicini: Head of Equity, FX and Commodity models, BANCA IMI

Andrea Pallavicini is the head of equity, FX and commodity models at Banca IMI, Milan, and visiting professor at the Department of Mathematics of Imperial College, London. He holds a Ph.D. in Theoretical and Mathematical Physics from the University of Pavia for his research activity at CERN. Over the years he published several papers in financial modelling, theoretical physics and astrophysics. He is the author of the books “Credit Models and the Crisis: a journey into CDOs, copulas, correlations and dynamic models”, Wiley (2010), and “Counterparty Credit Risk, Collateral and Funding with pricing cases for all asset classes”, Wiley (2013).

12.30 - 13.30
Lunch
13.30 - 14.15
Volatility & Modelling Techniques Stream
Optimal Investment

Optimal Investment

Vladimir Piterbarg

Vladimir Piterbarg

14.15 - 15.00
Volatility & Modelling Techniques Stream
Financial Cash-Flow Scripting: Beyond valuation
  • Cash-flow scripting and its usage beyond structuring and valuation of exotics
  • Visitor-based scripting as a flexible, efficient and practical representation of transactions in a derivatives system
  • Application to xVA: aggregation, compression and decoration
  • xVA with collateral and branching
  • Automated risk smoothing with fuzzy logic

Antoine Savine:

Quantitative Research, Danske Bank

Antoine Savine: Quantitative Research, Danske Bank

Antoine Savine has worked for various Investment Banks since 1995, along Bruno Dupire, Leif Andersen and Marek Musiela. He was Global Head of Quantitative Research for Fixed Income, Currency and Credit Derivatives for BNP-Paribas 1999-2009, and currently works in Copenhagen for Danske Bank, where his work with Jesper Andreasen earned the In-House System of the Year 2015 Risk Award. His upcoming publications in Wiley’s Computational Finance series are dedicated to teaching the technologies implemented in those award-winning systems.

Antoine also teaches Volatility Modeling and Numerical Finance in the University of Copenhagen’s Masters of Science in Mathematics-Economics. The curriculum for his Numerical Finance lectures is being published by Wiley under the name “AAD and Parallel Simulations”.

Antoine holds a Masters from the University of Paris (Jussieu) and a PhD from the University of Copenhagen, both in Mathematics.

15.00 - 15.15
Afternoon Break and Networking Opportunities
15.15 - 16.00
All Streams
Closing Presentation: Examining Real Possibilities and Applications of Distributed Ledger Technologies 
  • Which applications are game changing for finance and why?

End of Conference

Massimo Morini:

Head of Interest Rate and Credit Models, Banca IMI

Massimo Morini: Head of Interest Rate and Credit Models, Banca IMI

Massimo Morini is also Coordinator of Model Research. Massimo is Professor at Bocconi University and MSc Director at Milan Polytechnic, and he was Research Fellow at Cass Business School, London. He has published papers in journals including Risk Magazine, Mathematical Finance, and the Journal of Derivatives, and is the author of “Understanding and Managing Model Risk: A Practical Guide for Quants, Traders and Validators” and other books on credit, funding and interest rate modelling. Massimo holds a PhD in Mathematics.

  • Discount Structure
  • Early bird discount
    20% until July 20th 2018

  • Special Offer
    When 2 colleagues attend the 3rd goes free!

  • Conference + Workshop
    £150 Discount

  • 70% Academic Discount
    (FULL-TIME Students Only)

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