World Business StrategiesServing the Global Financial Community since 2000

Friday 18th October

08.30 - 09.00
Morning Welcome Coffee
Stream Chair:

Chair:

Jos Gheerardyn:

Co-founder and CEO, Yields.io

Jos Gheerardyn: Co-founder and CEO of Yields.io

Jos is the co-founder and CEO of Yields.io. Prior to his current role he has been active in quantitative finance both as a manager and as an analyst. Over the past 15 years he has been working with leading international investment banks as well as with award winning start-up companies. He is the author of multiple patents applying quantitative risk management techniques on imbalance markets. Jos holds a PhD in superstring theory from the University of Leuven.

09.00 - 09.45
Machine Learning & Quantum Computing Techniques Stream
Quantifying Model Uncertainty with Artificial Intelligence
  • Defining model risk and model uncertainty
  • Overview of relevant regulatory frameworks
  • Measuring uncertainty with ML
  • Model risk of AI

Jos Gheerardyn:

Co-founder and CEO, Yields.io

Jos Gheerardyn: Co-founder and CEO of Yields.io

Jos is the co-founder and CEO of Yields.io. Prior to his current role he has been active in quantitative finance both as a manager and as an analyst. Over the past 15 years he has been working with leading international investment banks as well as with award winning start-up companies. He is the author of multiple patents applying quantitative risk management techniques on imbalance markets. Jos holds a PhD in superstring theory from the University of Leuven.

09.45 - 10.30
Machine Learning & Quantum Computing Techniques Stream
Non-negative Matrix Factorization for Analysing High-Dimensional Datasets

Abstract:

Non-negative matrix factorization (NMF) is a widely-used tool for analysing high-dimensional datasets. Its popularity stems from its ability to extract meaningful factors from the data. Applications include image processing, text mining and bioinformatics. In this talk we will give an overview of NMF and demonstrate our implementations of recent NMF algorithms by automatically classifying a series of websites based on their content. We will then briefly discuss applications of NMF in finance.

Edvin Hopkins:

Technical Consultant, NAG

Edvin Hopkins: Technical Consultant, NAG

Edvin first worked with NAG between 2010 and 2013, as part of a Knowledge Transfer Partnership with the University of Manchester. Long-time NAG collaborator Professor Nick Higham and his team had developed many new algorithms to compute matrix functions. Edvin’s role was to convert these algorithms into code for the NAG Library.

After the successful collaboration, Edvin worked with Professor Higham as a post-doctoral research associate, before finally joining NAG in 2015. He is based in our Manchester Office.

Edvin gained a PhD in Numerical Relativity from the University of Cambridge in 2009. His supervisor was Dr John Stewart. This followed a first class honours degree in Mathematics and a “Certificate of Advanced Study in Mathematics” from the same institution.

 

 

 

10.30 - 11.00
Morning Break and Networking Opportunities
11.00 - 11.45
Machine Learning & Quantum Computing Techniques Stream
P Pricing by Q Learning

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
Validating / Auditing ML Models

Machine Learning Models are like any other models, but different. You probably had presentation or experiences on how to use them in order to get good value out of their relative complexity.

This presentation will be about what, from a Model Audit point of view, should be set in place in order to avoid them failing despite all the efforts you put in building them.

But also incidentally how some can exploit their specific vulnerability to make them fail.

It will cover :

  • Model Risk : Machine Learning models are like any other model.
    • So what’s required for non-ML models?
  • Artificial Intelligence and ML : Machine Learning models are not exactly like any other model.
    • What could make them fail ?
    • How could they fail
  • Tricks or treats? Application to Neuron networks or Random Forest

Gilles Artaud: 

Head of Model Internal Audit, Group Crédit Agricole

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 - 15.00
Machine Learning & Quantum Computing Techniques Stream
Extended Talk: Deep Analytics

Abstract:

We apply deep learning to resolve the conundrum of revaluation of large, diverse trading books in the context of regulatory simulations and also offer a solution to MVA.

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.

Brian Norsk Huge:

Chief Quantitative Analyst, Danske Markets

Brian Norsk Huge: Chief Quantitative Analyst, Danske Markets

15.00 - 15.15
Afternoon Break and Networking Opportunities
15.15 - 16.00
All Streams
Closing Presentation: Topic to be confirmed

Friday 18th October

08.30 - 09.00
Morning Welcome Coffee
Stream Chair: To be confirmed

Chair:

09.00 - 09.45
Volatility & Modelling Techniques Stream
Transforming Financial Markets through Smart Contracts and Blockchains
  • How is it being used as part of operations within organisations?

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.

09.45 - 10.30
Volatility & Modelling Techniques Stream
Smart Derivative Contracts

Christian Fries: 

Head of Model Development, DZ Bank

Christian Fries: Head of Model Development, DZ Bank

Christian Fries is head of model development at DZ Bank’s risk control and Professor for Applied Mathematical Finance at Department of Mathematics, LMU Munich.

His current research interests are hybrid interest rate models, Monte Carlo methods, and valuation under funding and counterparty risk. His papers and lecture notes may be downloaded from http://www.christian-fries.de/finmath

He is the author of “Mathematical Finance: Theory, Modeling, Implementation”, Wiley, 2007 and runs www.finmath.net.

Peter Kohl-Landgraf

XVA Management, DZ Bank

Peter Kohl-Landgraf, XVA Management, DZ BANK

10.30 - 11.00
Morning Break and Networking Opportunities
11.00 - 11.45
Volatility & Modelling Techniques Stream
Topic to be confirmed

Presenter to be confirmed

11.45 - 12.30
Volatility & Modelling Techniques Stream
SPX, VIX, and Derivatives

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.

12.30 - 13.30
Lunch
13.30 - 15.00
Volatility & Modelling Techniques Stream
Extended Talk: Latest Update on FRTB

Presenters to be confirmed

15.00 - 15.15
Afternoon Break and Networking Opportunities
15.15 - 16.00
All Streams
Closing Presentation: Topic to be confirmed

Presenter to be confirmed

Friday 18th October

08.30 - 09.00
Morning Welcome Coffee
Stream Chair: To be confirmed

Chair:

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.

09.00 - 09.45
XVA, AAD, MVA & Initial Margin Stream
Vitamin B, Chebyshev Polynomials, Homocysteine and… Dynamic Initial Margin
  • The power of Chebyshev Polynomials. Exponential convergence of Chebyshev methods: why is it so fast?
  • Theoretical basis
  • Live demo of how they work
  • Application to simulation of Initial Margin inside Monte Carlo simulations
  • Examples: swaps, swaptions and beyond
  • Comparison to regression and AD methods
  • Numerical results
  • Chebyshev is to Dynamic Initial Margin what Vitamin B is to Homocysteine
  • Options for free software available for inhouse testing and implementation

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.

09.45 - 10.30
XVA, AAD, MVA & Initial Margin Stream
Topic to be confirmed

Presenter to be confirmed.

10.30 - 11.00
Morning Break and Networking Opportunities
11.00 - 11.45
XVA, AAD, MVA & Initial Margin Stream
Efficient Calculation Techniques for Credit Exposure in the Presence of Initial Margin
  • Modeling collateralized exposure
  • Producing exposure on a daily simulation time grid without daily revaluations or daily IM calculations
  • Reducing simulation noise in the presence of IM
  • Alternatives to calculating IM along simulation paths

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.

11.45 - 12.30
XVA, AAD, MVA & Initial Margin Stream
Topic to be confirmed

Presenter to be confirmed.

12.30 - 13.30
Lunch
13.30 - 15.00
XVA, AAD, MVA & Initial Margin Stream
Extended Talk: Symmetric or Asymmetric FVA?
  • Basic FVA and discounting
  • Funding strategies
  • NSFR
  • Evidence from Totem
  • A move to asymmetric FVA?
  • Link to initial margin and MVA

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.

15.00 - 15.15
Afternoon Break and Networking Opportunities
15.15 - 16.00
All Streams
Closing Presentation: Topic to be confirmed

Presenter to be confirmed.

  • Discount Structure
  • Super early bird discount
    25% until May 31st 2019

  • Early bird discount
    20% until August 2nd 2019

  • Early bird discount
    10% until September 20th 2019

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

  • Conference + Workshop
    £300 Discount

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

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