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.

Matthias Arnsdorf: Global head of Counterparty Credit Risk Quantitative Research, J.P. Morgan

Since 2012 Matthias has been heading the counterparty credit risk quantitative research team globally.

His main responsibilities include the development & support of J.P. Morgan’s suite of credit exposure models which are used for valuation and risk management as well as credit capital.

Prior to his work in credit risk, Matthias headed the market risk capital modelling effort in EMEA for two years. Matthias started his career in finance in 2002 as a credit derivatives quantitative researcher at UBS and J.P.Morgan.

Matthias holds a PhD in Quantum Gravity from Imperial College London and has spent two years as a post-doctoral researcher at the Niels Bohr Institute in Copenhagen prior to his move to quantitative finance.

Blanka Horvath: Associate Professor in Mathematical and Computational Finance, University of Oxford and Researcher, The Alan Turing 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.

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.

Gordon Lee: Head of XVA and Derivatives Quantitative Analytics, BNY Mellon

Rita Laura D’Ecclesia: Professor of Quantitative Finance. Sapienza University of Rome, Italy

Youssef Elouerkhaoui: Managing Director, Global Head of Markets 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.

Laura Ballotta: Prof. of Mathematical Finance, Bayes Business School (formerly Cass)

Dr Ballotta works in the areas of quantitative finance and risk management. She has written on topics including stochastic modelling for financial valuation and risk management, numerical methods aimed at supporting financial applications, and the interplay between finance and insurance.

Recent major contributions have appeared in Journal of Financial and Quantitative Analysis, European Journal of Operational Research and Quantitative Finance among others.
She serves as associate editor and referee for a number of international journals in the field.

Laura Ballotta obtained her PhD in Mathematical and Computational Methods for Economics and Finance from the Università degli Studi di Bergamo (Italy), following her BSc in Economics from Università Cattolica del Sacro Cuore, Piacenza (Italy), and MSc in Financial Mathematics from the University of Edinburgh – jointly awarded with Heriot-Watt University (UK). Laura has previously held positions at Università Cattolica del Sacro Cuore, Piacenza (Italy), and Department of Actuarial Science and Statistics, City University London (UK).

Andrew Green: Managing Director and Lead GFI Quant, Scotiabank

Andrew Green is a Managing Director and lead XVA Quant at Scotiabank in London. Prior to joining Scotiabank, Andrew held roles as a quantitative analysis in several different banks in London. He is the author of XVA: Credit, Funding and Capital Valuation Adjustments, published by Wiley. 

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.

Claudio Albanese: Founder, Global Valuation

Gianpaolo Tomasi: QIS research, Director, Deutsche Bank

I currently lead the equity team within the Quantitative Investment Strategies (QIS) Research group. My main focus are long-short and long-only machine learning strategies in equities; I am also involved in the computation of ESG scores and the creation of ESG strategies based on natural language processing.

Peter Hafez: Chief Data Scientist, RavenPack

Peter Hafez is the head of data science at RavenPack. Since joining RavenPack in 2008, he’s been a pioneer in the field of applied news analytics bringing alternative data insights to the world’s top banks and hedge funds. Peter has more than 15 years of experience in quantitative finance with companies such as Standard & Poor’s, Credit Suisse First Boston, and Saxo Bank.

He holds a Master’s degree in Quantitative Finance from Sir John Cass Business School along with an undergraduate degree in Economics from Copenhagen University. Peter is a recognized speaker at quant finance conferences on alternative data and AI, and has given lectures at some of the world’s top academic institutions including London Business School, Courant Institute of Mathematics at NYU, and Imperial College London.

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

Fabrizio is a leading expert in developing complex risk analytics, quantitative modelling and financial regulations. He has an extensive track-record of heading quant teams onshore and offshore, as well as of taking part in firm-wide programs, such as IMM, BCBS-IOSCO Margin Requirements and IBOR transition.
In his present and previous roles, Fabrizio has gained a comprehensive knowledge of the full model development cycle, including the model design, the validation of model performance, the IT implementation and the attainment of regulatory compliance.
His main areas of expertise are Counterparty credit risk, Monte Carlo simulations, Internal Models for the trading book (IMM and IMA), derivatives pricing, CCPs & collateral modelling, Initial Margin methodologies and regulatory capital.
Fabrizio is chairing the master’s course in Counterparty Credit Risk of the ETH / University of Zurich and taught a number of advanced professional trainings in topics such as CCR, capital management and Initial Margin methodologies.
As part of his academic activities, he has authored numerous research articles in the fields of quantitative finance and condensed matter physics. Fabrizio holds a Ph.D. in Theoretical Physics from the Chalmers University of Technology (Gothenburg, Sweden). 

Svetlana Borovkova: Climate Risk Quant Research, Bloomberg

Svetlana Borovkova is Climate Risk Quant Researcher at Bloomberg, developing models and tools for Climate Risk and Climate Stress Testing for a wide variety of financial institutions.
Previously she held a position of an associate professor of Quantitative Finance and Risk Management at the Vrije Universiteit Amsterdam and was heading the quantitative modelling team at Probability & Partners.

Svetlana Borovkova has over 60 publications in academic and professional journals as well as books and book contributions. She is a frequent invited and keynote speaker at major international conferences such as QuantMinds and RiskMinds.

Chris Kenyon: Director: Head of XVA Quant Modelling, MUFG Securities EMEA plc 

Dr Chris Kenyon is head of XVA Quant Modelling at MUFG Securities EMEA plc. Previously he was Head of XVA Quantitative Research at Lloyds Banking Group, head quant for Counterparty Credit Risk at Credit Suisse, and (post-crisis) Head of Structured Credit Valuation at DEPFA Bank Plc. He is active in XVA research, introducing KVA and MVA, with Andrew Green in 2014-15, their accounting treatment in 2016-17, as well as double-semi-replication and behavioural effects on XVA. He contributes to the Cutting Edge section of Risk magazine (most-cited author in 2016; 5th most-published author 1988-present in 2017), co-edited “Landmarks in XVA” (Risk 2016). He has a Ph.D. from Cambridge University and is an author of the open source software QuantLib.

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.

Robert Dargavel Smith: Director of Machine Learning Engineering , Clarity AI

“Robert Smith is the Director of Machine Learning Engineering at Clarity AI. Previously he was Head of Data Science at IHS Markit (now part of S&P Global). He has worked in capital markets for over 25 years in Banco Santander and ABN Amro, holding various positions from Head of CVA Desk to Global Head of Quantitative Analysis.”

Saeed Amen: Turnleaf Analytics / Cuemacro / Visiting Lecturer at QMUL

Wen Jiang: Executive Director, Head of Structured Rates Quantitative Research, Nomura

After completing a D.Phil. in Mathematics from Oxford, Wen has worked at Lehman Brothers and Morgan Stanley, and has been at Nomura since 2009. He leads the Structured Rates Quant team in Nomura Global Markets, based in London.

Erik Vynckier: Interim Chief Executive, Foresters Friendly Society

Erik Vynckier is board member of Foresters Friendly Society and chair of the Investment Committee, following a career in investment banking, insurance, asset management and the petrochemical industry. He has been Chief Investment Officer and Chief Executive Officer and frequently consults in investment management, quantitative risk management and derivatives.

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.

Elias Daboussi: Quantitative Analyst, Bank of America Merrill Lynch

Elias Daboussi is a quantitative analyst at Bank of America since 2016. After graduating from University Paris-Diderot and Supelec in 2014, he has specialized in the Rates and Hybrids area, first in the Model Risk Management Group, and now as part of the Quantitative Strategies Group.

Parviz Rakhmonov: Vice President, Quantitative Analyst, Citibank

Parviz Rakhmonov is a Quantitative Analyst at Citi, London since 2016. Prior to moving to quantitative finance, Parviz spent two years as a post-doctoral researcher at the Faculty of Mechanics and Mathematics in Lomonosov Moscow State University, focusing on research in Analytic Number Theory, teaching courses in Calculus and Number Theory. He holds a PhD and MSc in Mathematics from the Lomonosov Moscow State University.

Achintya Gopal: Machine Learning Quant Researcher, Bloomberg

Achintya Gopal is a Machine Learning Quant Researcher in the Quantitative Research group in the Office of the CTO at Bloomberg, where he works on applying machine learning within the financial domain. Prior to that, he worked on estimating carbon emissions using machine learning, developing new models in normalizing flows, and exploring new methods to evaluate statistical models with model uncertainty. More recently, he has been working on a variety of projects ranging from volatility modeling using neural networks, causal inference for investing, generative models in differential privacy, active learning for NLP, and the interpretability of large language models.

Ganchi Zhang: QIS research, Director, Deutsche Bank

Marco Scaringi: Quantitative Analyst, Risk Management, Intesa Sanpaolo

Marco Scaringi joined the Financial and Market Risk Management area of Intesa Sanpaolo in 2017 as quantitative analyst in the Fair Value Policy Office. His work focuses on interest rate models, XVAs, financial bubble analysis and portfolio optimization.

He holds a M.Sc. in theoretical physics from University of Milan, with a thesis on advanced statistical mechanics techniques applied to the description and detection of financial bubbles through optimization heuristics. He also holds a post lauream degree Executive Course of Quantitative Finance from MIP, Graduate School of Business, Polytechnic of Milan, with a thesis concerning interest rate and XVAs modelling.

Jörg Kienitz: Independent Consultant, Adjunct Prof (UCT), Assistant Prof (BUW)

Jörg Kienitz is a partner at Quaternion, Acadia’s Quant Services division. He owns the finciraptor.de website – an educational platform for Quantitative Finance and Machine Learning. Jörg consults on the development, implementation, and validation of quantitative models. He is an Assistant Professor at the University of Wuppertal and an Adjunct Associate Professor in AIFMRM at the University of Cape Town. He regularly addresses major conferences, including Quant Minds, RISK or the WBS Quant Conference. Jörg has authored four books, Monte Carlo Frameworks (with Daniel J. Duffy), Financial Modelling (with Daniel Wetterau), and Interest Rate Derivatives Explained I and II (with Peter Caspers). He also co-authored research articles that appeared in leading journals like Quantitative Finance, RISK or Mathematics in Industry.

Andrea Macrina: Professor of Mathematics, University College London (UCL)

Andrea Macrina is Professor of Mathematics and the Director of the Financial Mathematics MSc Programme in the Department of Mathematics, University College London. His current research programme includes projects in climate finance, the development of quantile processes with applications in insurance and finance, and stochastic interpolation. Dr Macrina is Adjunct Professor at the University of Cape Town in the African Institute of Financial Markets and Risk Management where in 2014 he co-founded the Financial Mathematics Team Challenge (FMTC). Andrea is a recipient of the Fields Research Fellowship awarded by The Fields Institute for Research in Mathematical Sciences. He holds a PhD in Mathematics from King’s College, University of London, and an MSc in Physics from the University of Bern, Switzerland. Personal website: https://amacrina.wixsite.com/macrina

Colin Turfus: Quantitative Analyst, Deutsche Bank

Yoshihiro Tawada: Director: Head of FX-flow Quant Modelling, MUFG Securities EMEA plc

Yoshihiro Tawada is head of FX-flow Quant modelling at MUFG Securities EMEA plc. He contributes to the Cutting Edge section of Risk magazine regarding application of machine learning to finance. He is a CFA Charterholder, and received a master’s degree in engineering from the University of Tokyo.

Andrew Alden: PhD student, Mathematical and Computational Finance, King’s College London

Andrew is a PhD student in Computer Science at King’s College London. His research interests fall within the intersection of AI, rough path theory, and quantitative finance. His current work focuses on pricing exotic derivatives using the path signature and deep learning. He is also a visiting student at the Oxford-Man Institute of Quantitative Finance. Andrew obtained his M.Sc. in Mathematics and Finance from Imperial College London and graduated with a B.Sc. (Hons) in Computing Science and Mathematics from the University of Malta. Andrew interned at the Global Markets Data & AI Lab of BNP Paribas in London and at Deloitte in Malta.