Head of the Securities, European Commission
Tilman Lüder: Head of the Securities, European Commission
Tilman Lüder heads the unit developing European policy in the area of investment funds at the European Commission. Policy development in this area involves drafting legislative proposals, implementing acts and conducting pre-legislative impact studies. The unit represents the Commission in negotiations with Council and Parliament as well as with the European Securities and Markets Authority (ESMA). Most recently Tilman was involved in equivalence decisions for share trading venues and also the Delegated acts for MiFID II and the Market Abuse Regulation, and amendments to the regulation on securities markets.
Head of Market Risk and Pricing Models, Quantitative Risk Management (QRM), Inc.
Andrei Lyashenko: Head of Market Risk and Pricing Models, Quantitative Risk Management (QRM), Inc.
Andrei Lyashenko is the head of Market Risk and Pricing Models at the Quantitative Risk Management (QRM), Inc. in Chicago. His team is responsible for research, implementation and support of pricing and risk models across multiple asset classes. In November 2019, he was awarded the prestigious Quant of the Year award, jointly with Fabio Mercurio from Bloomberg, L.P., for their Risk Magazine paper on modeling backward-looking rates.
Andrei is also adjunct professor at the Illinois Institute of Technology. Before joining the QRM in 1997, Andrei was on the mathematical faculty at the University of Illinois at Chicago and Iowa State University. Prior to coming to the US, he conducted academic research in applied math in Russia, Japan and Italy and published numerous research papers in the area of fluid stability in major mathematical journals. He holds a BSc in Mathematics from the Novosibirsk State University, Russia and a PhD in Mathematics from the Russian Academy of Science.
Global Head of Quant Analytics, Bloomberg L.P.
Fabio Mercurio: Global Head of Quant Analytics, Bloomberg L.P.
Fabio is global head of Quantitative Analytics at Bloomberg LP, New York. His team is responsible for the research on and implementation of cross-asset analytics for derivatives pricing, XVA valuations and credit and risk management. Fabio is also adjunct professor at NYU. He has jointly authored the book ‘Interest rate models: theory and practice’ and published extensively in books and international journals, including 16 cutting-edge articles in Risk Magazine. Fabio holds a BSc in Applied Mathematics from the University of Padua, Italy, and a PhD in Mathematical Finance from the Erasmus University of Rotterdam, The Netherlands.
Director, Senior Balance Sheet Quantitative Analyst, Federal Home Loan Bank of Chicago
Benny Tjahjono: Director, Senior Balance Sheet Quantitative Analyst, Federal Home Loan Bank of Chicago
Managing Director, Antevorta Consultants
Sharon Freeman: Managing Director, Antevorta Consultants
Sharon’s career spans nearly 25 years across the financial industry; from investment banking to corporate banking and asset management within front and back office with experience in multiple products. She held positions at Standard Chartered, Barclays, Dresdner, Merrill Lynch and JP Morgan Asset Management.
Antevorta Consultants was established in 2013 to address the evolving regulatory landscaped. Sharon worked initially in remediation programmes including the high-profile mis-selling of interest rate swaps, delivering business change and implementation of group-wide controls framework.
She has an extensive knowledge of LIBOR transition risks and implementation challenges attained through first-hand practitioner experience and various programme mandates. Sharon presented at the inaugural LIBOR Transition training course by Risk.net. She is a regular speaker at LIBOR conferences and training events as well as providing insights through webinars.
Director, Global Market Risk Analytics, Bank of America
Adolfo Montoro: Director, Global Market Risk Analytics, Bank of America
Adolfo Montoro FRM, is a director in the Global Market Risk Analytics, Bank of America in London. Previously he lead the Market Data Strategy and Analytics team and represented Deutsche Bank in the Industry FRTB Working Group supporting elements of the FRTB implementation and advocacy for the Bank over the last five years. Previously he has been in charge of the Strategic implementation of Full Revaluation-based suite of VaR model ensuring as well the adequacy of quantitative methodologies used for market risk management and regulatory purposes (Pillar I and II). He has earned an MSc in Risk Management from Bocconi University, Italy, and graduated with a degree in economics (with honours) from Universita’ della Calabria, Italy. He has earned his Financial Risk Manager (FRM) certification in 2005. Adolfo is currently affiliated with the Global Association of Risk Professionals, where he serves both as a Regional Director for the UK Chapter as well as member of the FRM Committee.
Director, Product Control Regulatory Initiatives, RBC
Sasha Polishchuk: Director, Product Control Regulatory Initiatives, RBC
With 20 years of Experience in Capital Markets, Sasha spent 8 years in RBC’s valuation function covering wide range of financial products including interest rate derivatives. Most recently he has been involved with RBC’s enterprise-wide IBOR transition program as a part of his Regulatory Initiatives responsibilities within Middle Office. His prior experience included 10 years with mortgage securitization group of a leading private US mortgage lender.
Non-Executive Director: Loughborough Building Society
Moorad Choudhry: Non-Executive Director: Loughborough Building Society
Professor Moorad Choudhry is an Independent Non-Executive Director on the Board of Recognise Financial Services Ltd. Previously he was Treasurer, Corporate Banking at The Royal Bank of Scotland, Head of Treasury at Europe Arab Bank, Head of Treasury at KBC Financial Products and vice-president in structured finance services at JPMorgan Chase Bank. He began his career at the London Stock Exchange in 1989.
At KBC FP Moorad led the team that designed, originated and structured Picaros Funding LLP, the world’s first multi-SPV synthetic asset-backed funding vehicle, and later winner of the Euromoney Structured Finance Deal of the Year award for 2005.
Moorad is a Fellow of the Chartered Institute for Securities & Investment, a Fellow of the Institute of Directors, a Fellow of the London Institute of Banking and Finance and a Freeman of the Worshipful Company of International Bankers. He is on the Editorial Boards of the Journal of Structured Finance, Qualitative Research in Financial Markets, and American Securitization. He is author of The Principles of Banking.
Senior Consultant, Solum Financial Limited
Kevin Liddy: Senior Consultant, Solum Financial Limited
Kevin has 30 years of experience in trading, risk management and consultancy. He has acted as an expert witness and been deposed in the US courts. Prior to joining Solum Financial Kevin worked at Chase Manhattan, Bear Stearns, Nat West and Royal Bank of Scotland. At Royal Bank of Scotland he was Global co-head of Counterparty Exposure Management responsible for the Pricing, Management and Trading of all counterparty risk activities. In addition Kevin was Global Head of STIRT, responsible for all Delta trading products in the short end of the curve. Previously at Bear Stearns and Chase Manhattan he was head of Sterling derivative trading. Kevin holds a BSc. Hons in Applied Science from Kingston University.
Managing Partner muRisQ Advisory and Visiting Professor, University College London
Marc Henrard: Managing Partner muRisQ Advisory and Visiting Professor, University College London
Over the last 20 years, Marc has worked in various areas of quantitative finance. Marc’s career includes Head of Quantitative Research at OpenGamma, Global Head of Interest Rate Modeling for Dexia Group, Head of Quantitative Research and Deputy Head of Interest Rate Trading at the Bank for International Settlements (BIS) and Deputy Head of Treasury Risk also at BIS.
Marc’s research focuses on interest rate modeling and risk management. More recently he focused his attention to market infrastructure (CCP and bilateral margin, exchange traded product design, regulatory costs). He publishes on a regular basis in international finance journals, and is a frequent speaker at academic and practitioner conferences. He recently authored two books: The multi-curve framework: foundation, evolution, implementation and Algorithmic Differentiation in Finance Explained.
Marc holds a PhD in Mathematics from the University of Louvain, Belgium. He has been research scientist and university lecturer in Belgium, Italy, Chile and the United Kingdom.
Director – Quantitative Analyst, Deutsche Bank
Emiliano Papa: Director – Quantitative Analyst, Deutsche Bank
- Director – Quantitative Analyst, Deutsche Bank
- PhD in Theoretical Physics Oxford
- Lecturer at University of Texas at Austin
Partner & Director PRMIA
Navin Rauniar: Partner & Director PRMIA
Navin is a Risk Director with 17 years’ experience in advising the sell side on the delivery of prudential regulation such as IBOR Transition, FRTB, IRRBB, Basel III, CRR 2 and CRD V. Navin is currently leading the IBOR workstream for a Tier One bank.
Prior to this, he worked as a Senior Manager at a leading global advisory firm, where he led the analysis of the impact of the IBOR Transition on financial institutions. Additionally, Navin has spent 15 years in the industry working in global run-the-bank and change-the-bank roles for Credit Suisse, RBS, Commerzbank and JP Morgan across Front Office, Risk and Operations.
Navin is a steering committee member of the Professional Risk Managers Association where he represents the Risk Management industry on regulatory initiatives, mentoring of capital markets professionals, and a frequent speaker at banking & thought leadership events.
Quantitative Analyst, Deutsche Bank
Colin Turfus: Quantitative Analyst, Deutsche Bank
Colin Turfus has worked for the last twelve years as a financial engineer, mainly analysing model risk for credit derivatives and hybrids. More recently his interest has been in the application of perturbation methods to risk management, finding efficient analytic methods for computing, e.g., CVA, VaR and model risk. He is currently working in Global Model Validation and Governance at Deutsche Bank. He also taught evening courses on C++ and Financial Engineering at City University for seven years. Prior to that Colin worked as a developer consultant in the mobile phone industry after an extended period in academia, teaching applied maths and researching in fluid dynamics and turbulent dispersion.
Interim Chief Executive, Foresters Friendly Society
Erik Vynckier: Interim Chief Executive, Foresters Friendly Society
Erik Vynckier is interim Chief Executive of Foresters Friendly Society, chair of Research and Thought Leadership at the Institute and Faculty of Actuaries and senior adviser to derivatives and capital markets software vendor FiNCAD, following a career in investment banking, insurance, asset management and the petrochemical industry.
He co-founded EU initiatives on high performance computing and big data in finance and co-authored “High-Performance Computing in Finance” and “Tercentenary Essays on the Philosophy and Science of Leibniz”. Erik graduated as MBA at London Business School and as chemical engineer at Universiteit Gent.
Reader in Mathematics, University College London (UCL)
Andrea Macrina: Reader in Mathematics, University College London (UCL)
Andrea holds a PhD in Mathematics from King’s College, University of London, and an MSc in Physics from the University of Bern, Switzerland. He is a Reader in Mathematics and the Director of the Financial Mathematics MSc Programme in the Department of Mathematics, University College London. He also holds an Adjunct Professorship at the University of Cape Town in the African Institute of Financial Markets and Risk Management (AIFMRM). Andrea is one of the principle developers of information-based asset pricing, a framework for the pricing of a variety of asset classes including credit, fixed-income, equity, and insurance-linked assets. He speaks at seminars and conferences where he presents research findings to academics and industry professionals. He is the co-founder of the Financial Mathematics Team Challenge (FMTC), an annual research student workshop held in Cape Town and Rio de Janeiro. Andrea’s research benefits from fruitful collaborations with international researchers, doctoral students, and practitioners of the financial service industry. He is a member of the London Mathematical Society, the American Mathematical Society, the Bernoulli Society for Mathematical Statistics and Probability, and the Bachelier Finance Society. Aside from projects in applied probability and stochastic modelling, a significant part of Andrea’s current research focuses on the transition from interbank offered rates (IBOR) to so-called risk-free rate (RFR) benchmarks.
Personal web site: https://amacrina.wixsite.com/macrina
Independent Consultant, Natixis North America
Jonathan Schachter: Independent Consultant, Natixis North America
Jonathan Schachter, Ph.D is an independent consultant at Natixis North America in New York, part of the French bank conglomerate BPCE. He has more than twenty years of Wall Street experience, including pricing and risk quant positions at Goldman Sachs, Morgan Stanley, State Street, and the Deloitte and Touche financial institution practice. Since 2010, Dr. Schachter has focused on learning the lessons of the Great Recession, working on the Lehman bankruptcy, the London Whale episode at JP Morgan, and the tightening of standards for risk in mathematical finance models (e.g., Fed SR 11-7). At Natixis for nearly two years, he is a primary force behind the LIBOR transition at both its US (SOFR) and Paris (ESTR and Euribor) head offices. He has given talks and guest-lectured in the NYC metropolitan area at Columbia, Cornell, Fordham, Stevens Institute of Technology, and the International Association of Quantitative Finance. A frequent contributor to LinkedIn on regulatory quant matters, including founding the Regulatory Quant discussion group, Dr. Schachter tweets as @regquant. Prior to Wall Street, he was a research scientist in the astronomy department at Harvard, and a team member on the Chandra X-ray Observatory.