fbpx
World Business StrategiesServing the Global Financial Community since 2000

Tuesday 23rd March 2021

Stream One: AI
Frameworks for Model Risk Management of AI

EST: 08.00
GMT: 13.00
CET: 14.00

  • Model risk components
    • Overview of market practice
    • Technological evolutions
  • Adapting for AI
    • Typical ML model dependencies
    • Frameworks
      • designing AI-safety
      • assessment list for trustworthy AI
      • quantitative tests
    • Design considerations
    • Limitations

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.

Sponsor: Yields.io
Stream One: AI
"Why Causal AI Prevents Overfitting"

EST: 09.00
GMT: 14.00
CET: 15.00

Darko Matovski:

CEO, causaLens

Darko Matovski: CEO, causaLens

Dr. Darko Matovski is the CEO of causaLens. The company is leading Causal AI research, a way for machines to understand cause & effect, and serves some of the most sophisticated organisations. Darko has also worked for cutting edge hedge funds and research institutions. For example, the National Physical Laboratory in London (where Alan Turing worked) and Man Group in London. Darko has a PhD in Machine Learning and an MBA.

Sponsor: causaLens
Stream One: AI
Topic to be confirmed

EST: 10.00
GMT: 15.00
CET: 16.00

Ioana Boier:

Head of Quantitative Portfolio Solutions, Alphadyne Asset Management

Ioana Boier: Head of Quantitative Portfolio Solutions, Alphadyne Asset Management

Ioana is the Head of Quantitative Portfolio Solutions, Alphadyne Asset Management.

I have a Ph.D. in Computer Science from Purdue University. In addition, I have completed graduate coursework in Financial Mathematics at NYU and Big Data at Harvard University. Prior to joining Citadel, I was a Director in the Global Markets Division at BNP Paribas where I managed the Interest Rate Options & Inflation quantitative research team. Before transitioning into Finance, I was a research staff member at the IBM T. J. Watson Research Center.

Stream One: AI
Accelerate your AI Modelling with IPUs

EST: 11.00
GMT: 16.00
CET: 17.00

In the finance sector, the potential for innovation with advanced machine intelligence is significant. But often, new and complex models are not being fully leveraged due to latency issues and compute restraints. Enter the IPU – a completely new processing architecture designed for machine intelligence, capable of running advanced financial models up to 26x faster. Graphcore’s Alex Tsyplikhin explains how the IPU’s unique architecture can power such incredible breakthroughs – and what this means for the future of finance and trading.

What you’ll learn:

  • How the IPU is able to achieve faster financial model accelerations than other hardware available on the market
  • How to use IPUs for financial modelling training and inference
  • Insights into advanced models, use cases and IPU benchmarks

Alexander Tsyplikhin:

Senior AI Engineer, Graphcore

Alexander Tsyplikhin: Senior AI Engineer, Graphcore

Alexander Tsyplikhin is a Senior AI Engineer at Graphcore. Qualified to PhD level in Speech Biometrics, Alexander has worked in the field of machine learning for 19 years. He is passionate about leveraging technology and innovation to improve lives and generate results for businesses. At Graphcore, Alexander is focused on AI use cases in industry, using his expertise in machine intelligence to help drive customer success.

Sponsor: Graphcore
Both Streams
xVA Networking & Informal Discussion Rooms

EST: 12.00
GMT: 17.00
CET: 18.00

Chill out and chat informally at the end of the day on all things xVA, with the global quants community. The main meeting room will be moderated by WBS Training with mics open on request or simply grab a coffee or a glass of wine and jump into a breakout room:

  • Main Meeting Room
  • Private Rooms
  • Breakout Rooms One (Maximum 6)
  • Breakout Rooms Two (Maximum 12)
Main Room Experts: (to be confirmed)

Tuesday 23rd March 2021

Stream Two: xVA
XVA, the Front Office way: Extended model, Scripting and Big compute

EST: 08.00
GMT: 13.00
CET: 14.00

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.

Stream Two: xVA
Dynamically Controlled Kernel Estimation

EST: 09.00
GMT: 14.00
CET: 15.00

Gordon Lee:

XVA and Capital Quantitative Analyst, UBS

Gordon Lee: XVA and Capital Quantitative Analyst, UBS

Stream Two: xVA
Topic & Presenter to be confirmed

EST: 10.00
GMT: 15.00
CET: 16.00

Justin Chan:

Head of Product Management, Risk, FIS

Justin Chan: Head of Product Management, Risk, FIS

Justin Chan has over 11 years of experience in financial risk management and capital markets. Mr. Chan has a deep focus on quantitative modelling in areas such as xVA, credit exposure, and collateral simulations. He is currently responsible for the Risk Quantitative Strategy and Innovation program at FIS. Prior to FIS, Mr. Chan worked at Manulife Financial as a manager in corporate risk management.

Mr. Chan studied engineering science (BASc), and theoretical physics (MSc) at University of Toronto, where he also holds a Master of Mathematical Finance (MMF) degree.

Sponsor: FIS
Stream Two: xVA
Hierarchical Simulation for Deep XVA Analysis

EST: 11.00
GMT: 16.00
CET: 17.00

Stéphane Crépey:

Professor of Mathematics Université de Paris, Laboratoire de Probabilités, Statistique et Modélisation

Stéphane Crépey: Professor of Mathematics at the Université de Paris, Laboratoire de Probabilités, Statistique et Modélisation (LPSM)

Stéphane Crépey is the Professor of Mathematics at the Université de Paris, Laboratoire de Probabilités, Statistique et Modélisation (LPSM). Formerly professor at the Mathematics Department of University of Evry (France), head of Probability and Mathematical Finance and head of the Engineering and Finance branch (M2IF) of the Paris-Saclay Master Program in Financial Mathematics. His research interests are financial modeling, counterparty and credit risk, numerical finance, as well as related mathematical topics in the fields of backward stochastic differential equations and partial differential equations. He is the author of numerous research papers and two books: “Financial Modeling: A Backward Stochastic Differential Equations Perspective” (S. Crépey, Springer Finance Textbook Series, 2013) and “Counterparty Risk and Funding, a Tale of Two Puzzles” (S. Crépey, T. Bielecki and D. Brigo, Chapman & Hall/CRC Financial Mathematics Series, 2014).

He is an associate editor of SIAM Journal on Financial Mathematics, International Journal of Theoretical and Applied Finance, and a member of the scientific council of the French financial markets authority (AMF). Stéphane Crépey graduated from ENSAE and he holds a PhD in applied mathematics from Ecole Polytechnique and INRIA Sophia Antipolis.

Both Streams
xVA Networking & Informal Discussion Rooms

EST: 12.00
GMT: 17.00
CET: 18.00

Chill out and chat informally at the end of the day on all things xVA, with the global quants community. The main meeting room will be moderated by WBS Training with mics open on request or simply grab a coffee or a glass of wine and jump into a breakout room:

  • Main Meeting Room
  • Private Rooms
  • Breakout Rooms One (Maximum 6)
  • Breakout Rooms Two (Maximum 12)
Main Room Experts: (to be confirmed)
  • Discount Structure
  • Super early bird discount
    30% until 22nd January 2021

  • Early bird discount
    15% until 19th February 2021

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

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

Only five days left to claim this discount!

Event Email Reminder

Error