World Business StrategiesServing the Global Financial Community since 2000

Main Conference Day 1: Thursday 20th October

08.00 – 09.00: Registration and Morning Welcome Coffee

Volatility, Pricing & Modelling Stream

09.00 – 09.45: Next generation local volatility

  • New efficient and general approach for calibration of local volatility models by Monte-Carlo simulation
  • Discrete methodology consistent with the Euler simulation scheme
  • Extends to general stochastic local volatility
  • Applications to options on volatility and multi dimensions.

Jesper Andreasen: 

Kwant Daddy! Global Head of Quantitative Research, Saxo Bank

Jesper Andreasen (Kwant Daddy): Global Head Of Quantitative Research, Saxo Bank  

Jesper Andreasen is head of Quantitative Research at Saxo Bank in Copenhagen. Jesper has previously held senior positions in the quantitative research departments of Danske Bank, Bank of America, Nordea, and General Re Financial Products. Jesper’s recent research focusses on efficient and accurate methods for computing credit and market risk. Jesper holds a PhD in mathematical finance from Aarhus University, Denmark. He received Risk Magazine’s Quant of the Year awards in 2001 and 2012, joint with Leif Andersen and Brian Huge respectively, and is an honorary professor of mathematical finance at Copenhagen University.

Volatility, Pricing & Modelling Stream

09.45 – 10.30: The Smile of Stochastic Volatility: Revisiting the Bergomi-Guyon expansion

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.

10.30 – 11.00: Morning Break and Networking Opportunities

Volatility, Pricing & Modelling Stream

11.00 – 11.45: Looking beyond SA-CCR

  • How can risk sensitivity of SA-CCR be improved beyond re-calibration?
    • Using internal risk factor sensitivities
    • Allowing multiple risk factors per trade
    • Calculating netting-set-level expected exposure for multiple time points
    • Incorporating margin agreement thresholds in a risk sensitive manner
  • Designing a more risk sensitive non-model framework for EAD calculation
    • Setting up Gaussian dynamics for risk factors
    • Projecting spot trade market values into the future
    • Projecting spot risk factor sensitivities into the future
    • Deriving expected exposure for various margin arrangements
    • Projecting spot initial margin into the future
  • Comparison with SA-CCR for simple examples
    • Single interest rate swap
    • Portfolio of a long-term cross-currency swap and a short-term FX forward

Michael Pykhtin:

Manager, Quantitative Risk, U.S. Federal Reserve Board

Michael Pykhtin: Manager, Quantitative Risk, U.S. Federal Reserve Board

Michael Pykhtin is a manager in the Quantitative Risk section at the U.S. Federal Reserve Board. Prior to joining the Board in 2009 as a senior economist, he had a successful nine-year career as a quantitative researcher at Bank of America and KeyCorp. Michael has edited “Counterparty Risk Management” (Risk Books, 2014) and “Counterparty Credit Risk Modelling” (Risk Books, 2005). He is also a contributing author to several recent edited collections. Michael has published extensively in the leading industry journals; he has been an Associate Editor of the Journal of Credit Risk since 2007. Michael is a two-time recipient of Risk Magazine’s Quant of the Year award (for 2014 and 2018). Michael holds a Ph.D. degree in Physics from the University of Pennsylvania and an M.S. degree in Physics and Applied Mathematics from Moscow Institute of Physics and Technology.

Volatility, Pricing & Modelling Stream

11.45 – 12.30: “Collateralised Exposure Modelling: Bridging the Gap Risk”

Fabrizio Anfuso:

Fabrizio Anfuso: Traded Risk Measurement, PRA, Bank of England

Fabrizio Anfuso: Traded Risk Measurement, PRA, Bank of England

12.30 – 13.45: Lunch

Volatility, Pricing & Modelling Stream

13.45 – 14.30: Topic to be confirmed

Andrey Chirikhin:

Head of Structured Credit QA, Barclays Investment Bank

Andrey Chirikhin: Head of Structured Credit QA, Barclays Investment Bank

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.

Volatility, Pricing & Modelling Stream

14.30 – 15.15: New Developments in Deep Pricing

Youssef Elouerkhaoui:

Managing Director, Global Head of Credit and Commodities Quantitative Analysis, Citi

Youssef Elouerkhaoui: Managing Director, Global Head of Credit and Commodities Quantitative Analysis, Citi

Youssed Elouerkhaoui is the global Head of Credit Quantitive Analysis at Citi. His group supports all aspects of modelling and product development across desks, thais includes: Flow Credit Trading, Correlation Trading, CDOs, Exotics and Emering Markets.

He also supports CVA, Funding and Regulatory Capital for Credit Markets. Prior to this, he was a Director in the Fixed Income Derivatives Quantitative Research Group at UBS, where he was in charge of developing and implementing models for the Structured Credit Desk. Before joining UBS, Youssef was a Quantitative Research Analyst at Credit Lyonnais supporting the Interest Rates Exotics business. He has also worked as a Senior Consultant in the Risk Analytics and Research Group at Ernst & Young. He is a graduate of Ecole Centrale Paris and he holds a PhD in Mathematics from Paris-Dauphine University.

15.15 – 15.45: Afternoon Break and Networking Opportunities

Volatility, Pricing & Modelling Stream

15.45 – 16.30: Deep Hedging under Rough Volatility

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.

All Streams

16.30 – 17.30: QFC Panel:

Alexander Sokol:

Executive Chairman and Head of Quant Research, CompatibL

Alexander Sokol: Executive Chairman and Head of Quant Research, CompatibL

Alexander Sokol is the founder, Executive Chairman, and Head of Quant Research at CompatibL, a trading and risk technology company. He is also the co-founder of Numerix, where he served as CTO from 1996 to 2003, and the co-founder of Duality Group, where he served as CTO from 2017 to 2020.

Alexander won the Quant of the Year Award in 2018 together with Leif Andersen and Michael Pykhtin, for their joint work revealing the true scale of the settlement gap risk that remains even in the presence of initial margin. Alexander’s other notable research contributions include systemic wrong-way risk (with Michael Pykhtin, Risk Magazine), joint measure models, and the local price of risk (with John Hull and Alan White, Risk Magazine), and mean reversion skew (Risk Books, 2014).

Alexander earned his BA from the Moscow Institute of Physics and Technology at the age of 18, and a PhD from the L. D. Landau Institute for Theoretical Physics at the age of 22. He was the winner of the USSR Academy of Sciences Medal for Best Student Research of the Year in 1988.

Christoph Burgard:

Head of Risk Analytics For Global Markets, Bank of America Merrill Lynch

Christoph Burgard: Head of Risk Analytics For Global Markets, Bank of America Merrill Lynch

Christoph Burgard heads the Risk Analytics team for Global Markets at Bank of America Merrill Lynch, which he joined in November 2015. Prior to this he spent 16 years at Barclays, where he was leading the Equity Derivatives and XVA front office Quantitative Analytics teams for the investment bank as well as the ALM modelling area for the bank’s treasury department. Christoph was named Risk Magazine’s Quant of the Year 2015 for his pioneering work on FVA. He has a PhD in Particle Physics from Hamburg University and was a research fellow at CERN and DESY.

Peter Jaeckel:

Independent financial mathematics and analytics consultant. OTC Analytics

Peter Jaeckel: Independent financial mathematics and analytics consultant. OTC Analytics

Peter Jäckel received his DPhil from Oxford University in 1995. In 1997, he moved into quantitative analysis and financial modelling when he joined Nikko Securities. Following that he worked as a quantitative analyst at NatWest, Commerzbank Securities, ABN AMRO, and now VTB Capital where he is the Deputy Head of Quantitative Research. Peter is the author of “Monte Carlo Methods in Finance” published by John Wiley & Sons. Some of his publications can be found at WWW.JAECKEL.ORG.

Jon Gregory: 

Independent xVA Expert

Jon Gregory: Independent xVA Expert 

DR JON GREGORY is an independent expert specialising in counterparty risk and xVA related projects. He has worked on many aspects of credit risk in his career, being previously with Barclays Capital, BNP Paribas and Citigroup. He is a senior advisor for Solum Financial Derivatives Advisory and a faculty member for the Certificate of Quantitative Finance (CQF). He also serves on the Academic Advisory Board of IHS Markit and is a Managing Editor of the journal Quantitative Finance.

In addition to publishing papers on the pricing of credit risk and related topics, Jon is author of the book “Counterparty Credit Risk The New Challenge for the Global Financial Markets” published by Wiley Finance in December 2009 (now in its third edition) and “Central Counterparties: Mandatory Central Clearing and Bilateral Margin Requirements for OTC Derivatives.”

Jon has a PhD from Cambridge University.

Gala Dinner

20.00 til late: The Gala Dinner is complimentary for all conference delegates.

08.00 – 09.00: Registration and Morning Welcome Coffee

Machine Learning Stream

09.00 – 10.30: Double Session: Alternatives to Deep Neural Networks for Function Approximations in Finance

Vladimir Piterbarg:

MD, Head of Quantitative Analytics and Quantitative Development, NatWest Markets

Vladimir Piterbarg: MD, Head of Quantitative Analytics and Quantitative Development at NatWest Markets

Alexandre Antonov:

Chief Analyst, Danske Bank

Alexandre Antonov: Chief Analyst, Danske 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 Danske Bank as the Chief Analyst in Copenhagen.

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.

10.30 – 11.00: Morning Break and Networking Opportunities

Machine Learning Stream

11.00 – 11.45: Topic and Presenter to be confirmed

Machine Learning Stream

11.45 – 12.30: Variational Encoder-Generator-Decoder (VEGD) Models for the Interest Rates

Abstract:

  • We propose a variational encoder-generator-decoder (VEGD) model architecture in Q- and P-measure where:
    • Latent space geometry is discovered by pretraining VAE encoder and decoder to optimally represent historical interest rate curves, rather than rate increments
    • Probability distribution over the latent space is determined by the generator located between encoder and decoder
    • Curve and calibration constraints in Q-measure are applied as additional biases of the decoder
  • VEGD model learns the optimal mapping of state variables to latent variables and latent space geometry directly from the data, without committing to an SDE
  • The proposed architecture permits building a wide variety of models with desirable properties depending on the available calibration data, just like with traditional SDE-based models
  • Examples of using VEGD architecture to build machine learning counterparts of short rate models, forward rate models, and curve factor models are provided

Alexander Sokol:

Executive Chairman and Head of Quant Research, CompatibL

Alexander Sokol: Executive Chairman and Head of Quant Research, CompatibL

Alexander Sokol is the founder, Executive Chairman, and Head of Quant Research at CompatibL, a trading and risk technology company. He is also the co-founder of Numerix, where he served as CTO from 1996 to 2003, and the co-founder of Duality Group, where he served as CTO from 2017 to 2020.

Alexander won the Quant of the Year Award in 2018 together with Leif Andersen and Michael Pykhtin, for their joint work revealing the true scale of the settlement gap risk that remains even in the presence of initial margin. Alexander’s other notable research contributions include systemic wrong-way risk (with Michael Pykhtin, Risk Magazine), joint measure models, and the local price of risk (with John Hull and Alan White, Risk Magazine), and mean reversion skew (Risk Books, 2014).

Alexander earned his BA from the Moscow Institute of Physics and Technology at the age of 18, and a PhD from the L. D. Landau Institute for Theoretical Physics at the age of 22. He was the winner of the USSR Academy of Sciences Medal for Best Student Research of the Year in 1988.

12.30 – 13.45: Lunch

Machine Learning Stream

13.45 – 15.15: Double Session: Differential Machine Learning Masterclass

Differential Machine Learning combines Adjoint Differentiation (AAD) and Machine Learning (ML) to resolve a variety of critical problems with financial Derivatives such as learning pricing and risk functions of complex instruments and trading books in real-time, or safely reduce the dimensionality of pricing and risk models. Applications include regulations like XVA or CCR, as well as forward-looking exotic risk or back-testing engines. This masterclass presents the key ideas, algorithms and results in a unified format. After a theoretical introduction of the rationale and principles, we will explore the practical implementation of the three main algorithms of the differential ML ecosystem: differential regression, differential PCA and differential deep learning. We will also present results in exotic pricing and risk management applications, as well as regulations like CVA, PRIIPS or FRTB, and conclude with a discussion of the future, deployment and extensions of these novel technologies.

Antoine Savine:

Chief Quantitative Analyst, Danske Bank

Antoine Savine: Chief Quantitative Analyst, 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.

Brian Norsk Huge:

Senior Specialist Quant, Saxo Bank

Brian Norsk Huge: Senior Specialist Quant, Saxo Bank

15.15 – 15.45: Afternoon Break and Networking Opportunities

Machine Learning Stream

15.45 – 16.30: Topic and Presenter to be confirmed

 

Machine Learning Stream

16.30 – 17.30: QFC Panel:

Alexander Sokol:

Executive Chairman and Head of Quant Research, CompatibL

Alexander Sokol: Executive Chairman and Head of Quant Research, CompatibL

Alexander Sokol is the founder, Executive Chairman, and Head of Quant Research at CompatibL, a trading and risk technology company. He is also the co-founder of Numerix, where he served as CTO from 1996 to 2003, and the co-founder of Duality Group, where he served as CTO from 2017 to 2020.

Alexander won the Quant of the Year Award in 2018 together with Leif Andersen and Michael Pykhtin, for their joint work revealing the true scale of the settlement gap risk that remains even in the presence of initial margin. Alexander’s other notable research contributions include systemic wrong-way risk (with Michael Pykhtin, Risk Magazine), joint measure models, and the local price of risk (with John Hull and Alan White, Risk Magazine), and mean reversion skew (Risk Books, 2014).

Alexander earned his BA from the Moscow Institute of Physics and Technology at the age of 18, and a PhD from the L. D. Landau Institute for Theoretical Physics at the age of 22. He was the winner of the USSR Academy of Sciences Medal for Best Student Research of the Year in 1988.

Christoph Burgard:

Head of Risk Analytics For Global Markets, Bank of America Merrill Lynch

Christoph Burgard: Head of Risk Analytics For Global Markets, Bank of America Merrill Lynch

Christoph Burgard heads the Risk Analytics team for Global Markets at Bank of America Merrill Lynch, which he joined in November 2015. Prior to this he spent 16 years at Barclays, where he was leading the Equity Derivatives and XVA front office Quantitative Analytics teams for the investment bank as well as the ALM modelling area for the bank’s treasury department. Christoph was named Risk Magazine’s Quant of the Year 2015 for his pioneering work on FVA. He has a PhD in Particle Physics from Hamburg University and was a research fellow at CERN and DESY.

Peter Jaeckel:

Independent financial mathematics and analytics consultant. OTC Analytics

Peter Jaeckel: Independent financial mathematics and analytics consultant. OTC Analytics

Peter Jäckel received his DPhil from Oxford University in 1995. In 1997, he moved into quantitative analysis and financial modelling when he joined Nikko Securities. Following that he worked as a quantitative analyst at NatWest, Commerzbank Securities, ABN AMRO, and now VTB Capital where he is the Deputy Head of Quantitative Research. Peter is the author of “Monte Carlo Methods in Finance” published by John Wiley & Sons. Some of his publications can be found at WWW.JAECKEL.ORG.

Jon Gregory: 

Independent xVA Expert

Jon Gregory: Independent xVA Expert 

DR JON GREGORY is an independent expert specialising in counterparty risk and xVA related projects. He has worked on many aspects of credit risk in his career, being previously with Barclays Capital, BNP Paribas and Citigroup. He is a senior advisor for Solum Financial Derivatives Advisory and a faculty member for the Certificate of Quantitative Finance (CQF). He also serves on the Academic Advisory Board of IHS Markit and is a Managing Editor of the journal Quantitative Finance.

In addition to publishing papers on the pricing of credit risk and related topics, Jon is author of the book “Counterparty Credit Risk The New Challenge for the Global Financial Markets” published by Wiley Finance in December 2009 (now in its third edition) and “Central Counterparties: Mandatory Central Clearing and Bilateral Margin Requirements for OTC Derivatives.”

Jon has a PhD from Cambridge University.

Gala Dinner

20.00 til late: The Gala Dinner is complimentary for all conference delegates.

08.00 – 09.00: Registration and Morning Welcome Coffee

ESG Stream

09.00 – 09.45: Connecting ESG to Climate Risk, Sustainable Financing, Carbon Markets, and Net Zero

Navin Rauniar:

Advisory Partner focusing on LIBOR, ESG, Climate Risk & TCFD, HSBC

Navin Rauniar: Advisory Partner focusing on LIBOR, ESG, Climate Risk & TCFD, HSBC

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.

ESG Stream

09.45 – 10.30: Breaking Quantitative ESG and Climate Risk Through Institutional Barriers

Presenter to be confirmed

10.30 – 11.00: Morning Break and Networking Opportunities

ESG Stream

11.00 – 11.45: New Horizons in Survival Analysis: Modelling the Electric Vehicle Transition.

We combine ideas from network theory and credit portfolio modelling to build an agent based model of the electric vehicle transition. The approach is geographically specific, with potential applications in climate risk modelling.

The talk would be readily comprehensible to anyone with a credit risk background, but represents an entirely new application of the modelling techniques.

Jodie Humphreys:

Director, Bank of America

Jodie Humphreys: Director, Bank of America

Jodie leads the Simulation Modelling Program within the Alternative Modelling Group (AMG) at Bank of America. He previously worked in the field of credit derivative pricing and regulatory capital modelling and has also led the development of a number of innovative technical solutions within the bank. Jodie holds a BA and Certificate of Advanced Study in Mathematics from the University of Cambridge and a PhD in Mathematics from University College London. His PhD thesis studied the algebraic properties of lattices in semi-simple Lie groups, a subject with applications to the classification of higher dimensional manifolds.

ESG Stream

11.45 – 12.30: ESG Market Risk Valuation and Management

Presenter to be confirmed

12.30 – 13.45: Lunch

Quantum Computing Stream

13.45 – 14.30: A Quantum Generative Adversarial Network for Distributions

Presenter to be confirmed

Alexei Kondratyev:

Quantitative Research & Development Lead, ADIA

Alexei Kondratyev: Quantitative Research & Development Lead, ADIA

Alexei Kondratyev is Quantitative Research and Development Lead at Abu Dhabi Investment Authority (ADIA). Prior to joining ADIA in July 2021, he held quantitative research and data analytics positions at Standard Chartered, Barclays Capital and Dresdner Bank. Alexei holds MSc in Theoretical Physics from Taras Shevchenko National University of Kiev and PhD in Mathematical Physics from the Institute for Mathematics, National Academy of Sciences of Ukraine. He was the recipient of 2019 Risk magazine Quant of the Year award.

Quantum Computing Stream

14.30 – 15.15: “Quantum Machine Learning in Finance: Time Series Forecasting”

Presenter to be confirmed

15.15 – 15.45: Afternoon Break and Networking Opportunities

Quantum Computing Stream

15.45 – 16.30: Practical Quantum Computing in Finance

  • General considerations
    • General principles of quantum computing
    • Type of machines and algorithms
  • HPC perspective
    • Mapping a financial problem to an algorithm
    • Mapping an algorithm to a particular infrastructure (distributed hardware)
    • Where could quantum computing fit ? A concrete example
  • Quant perspective
    • Portfolio optimisation
    • Reverse stress testing

Assad Bouayoun:

XVA and Credit Derivative Quant, Daiwa Capital Markets

Assad Bouayoun: XVA and Credit Derivative Quant, Daiwa Capital Markets

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).

All Streams

16.30 – 17.30: QFC Panel:

Alexander Sokol:

Executive Chairman and Head of Quant Research, CompatibL

Alexander Sokol: Executive Chairman and Head of Quant Research, CompatibL

Alexander Sokol is the founder, Executive Chairman, and Head of Quant Research at CompatibL, a trading and risk technology company. He is also the co-founder of Numerix, where he served as CTO from 1996 to 2003, and the co-founder of Duality Group, where he served as CTO from 2017 to 2020.

Alexander won the Quant of the Year Award in 2018 together with Leif Andersen and Michael Pykhtin, for their joint work revealing the true scale of the settlement gap risk that remains even in the presence of initial margin. Alexander’s other notable research contributions include systemic wrong-way risk (with Michael Pykhtin, Risk Magazine), joint measure models, and the local price of risk (with John Hull and Alan White, Risk Magazine), and mean reversion skew (Risk Books, 2014).

Alexander earned his BA from the Moscow Institute of Physics and Technology at the age of 18, and a PhD from the L. D. Landau Institute for Theoretical Physics at the age of 22. He was the winner of the USSR Academy of Sciences Medal for Best Student Research of the Year in 1988.

Christoph Burgard:

Head of Risk Analytics For Global Markets, Bank of America Merrill Lynch

Christoph Burgard: Head of Risk Analytics For Global Markets, Bank of America Merrill Lynch

Christoph Burgard heads the Risk Analytics team for Global Markets at Bank of America Merrill Lynch, which he joined in November 2015. Prior to this he spent 16 years at Barclays, where he was leading the Equity Derivatives and XVA front office Quantitative Analytics teams for the investment bank as well as the ALM modelling area for the bank’s treasury department. Christoph was named Risk Magazine’s Quant of the Year 2015 for his pioneering work on FVA. He has a PhD in Particle Physics from Hamburg University and was a research fellow at CERN and DESY.

Peter Jaeckel:

Independent financial mathematics and analytics consultant. OTC Analytics

Peter Jaeckel: Independent financial mathematics and analytics consultant. OTC Analytics

Peter Jäckel received his DPhil from Oxford University in 1995. In 1997, he moved into quantitative analysis and financial modelling when he joined Nikko Securities. Following that he worked as a quantitative analyst at NatWest, Commerzbank Securities, ABN AMRO, and now VTB Capital where he is the Deputy Head of Quantitative Research. Peter is the author of “Monte Carlo Methods in Finance” published by John Wiley & Sons. Some of his publications can be found at WWW.JAECKEL.ORG.

Jon Gregory: 

Independent xVA Expert

Jon Gregory: Independent xVA Expert 

DR JON GREGORY is an independent expert specialising in counterparty risk and xVA related projects. He has worked on many aspects of credit risk in his career, being previously with Barclays Capital, BNP Paribas and Citigroup. He is a senior advisor for Solum Financial Derivatives Advisory and a faculty member for the Certificate of Quantitative Finance (CQF). He also serves on the Academic Advisory Board of IHS Markit and is a Managing Editor of the journal Quantitative Finance.

In addition to publishing papers on the pricing of credit risk and related topics, Jon is author of the book “Counterparty Credit Risk The New Challenge for the Global Financial Markets” published by Wiley Finance in December 2009 (now in its third edition) and “Central Counterparties: Mandatory Central Clearing and Bilateral Margin Requirements for OTC Derivatives.”

Jon has a PhD from Cambridge University.

Gala Dinner

20.00 til late: The Gala Dinner is complimentary for all conference delegates.

  • Discount Structure
  • Super early bird discount
    30% until 24th June 2022

  • Early bird discount
    25% until 29th July 2022

  • Early bird discount
    15% until 23rd September 2022

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

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

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