World Business StrategiesServing the Global Financial Community since 2000
13.00 - 17.00
Machine Learning Models for Interest Rates and Credit

The workshop day on Wednesday 17th November will be complimentary, on a first come first served basis in-person. No limit virtually.

  • For the past four decades of quant research, building a model meant first selecting the model SDE, and then calibrating its parameters
  • Today we are on the verge of transition to a new paradigm where model selection and model calibration are replaced by a single step – model learning
  • Model learning is much more than advanced interpolation – I will show that ML is able to reason about the interest rate and credit spread data in a highly sophisticated way rather than merely interpolate it
  • Even with the field still in its infancy, ML can already outperform the traditional techniques in important practical applications

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.

13.00 - 17.00
ESG & Climate Risk in Quantitative Finance

The workshop day on Wednesday 17th November will be complimentary, on a first come first served basis in-person. No limit virtually.

Introduction to ESG

  • What is ‘E’, ‘S’ and ‘G’?
  • Explaining Climate Risk, Sustainability, GHG and Net Zero

Global Regulatory Requirements for ESG Frameworks

  • Latest update of regulatory requirements including Climate, Sustainability, Carbon & Net Zero
  • Integrating into ESG Regulatory Frameworks

Overview of ESG and Climate products

  • The Key Characteristics of ESG and Climate Products in the Current Market
  • Matching the Client’s ESG Returns and solutions required for hedging, structuring, etc

ESG Products Design Framework: Aligning the Desired ESG Products with Market Strategies

  • Key considerations for ESG product design
  • Challenges and opportunities especially with ESG metrics
  • Taxonomies for Investment Products

Managing ESG and Climate data – sourcing the right data sets

  • Identifying the data source, historic and forward looking
  • Addressing the typical paint points and associated vendor solutions

Group Discussion, Case Studies & Market Opportunities

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.

  • Discount Structure
  • Early bird discount
    25% until 24th September 2021

  • Early bird discount
    15% until 29th October 2021

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

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

Only 23 hours left to claim this discount!

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