Quant Europe, Day one - 14 March 2017

8:00 Registration and breakfast

8:50 Opening remarks: Mauro Cesa, Quant Finance Editor, RISK.NET

9:00 KEYNOTE ADDRESS: Flylets and invariant risk metrics

Santhanam Nagarajan, Portfolio Oversight Manager, TUDOR INVESTMENT CORPORATION (Risk.net 2016 Buy-side quants of the year)

9:30 PANEL DISCUSSION: New trends quant finance

  • What new market developments have been driving quant research?
  • What are the most exciting areas to explore?
  • How can they be applied in financial markets?
  • Overrated and underrated developments and why
  • Game changing trends in capital markets (Shadow banking, peer to peer lending, direct debt issuance, etc.) - What is the quants' role in the changing market structure?

Moderator: Gordon Lee, Executive Director, Portfolio Quantitative Analytics, UBS
Rama Cont,
Professor of Mathematics & Chair of Mathematical Finance, Department of Mathematics, IMPERIAL COLLEGE LONDON
Riccardo Rebonato, Professor of Finance, EDHEC BUSINESS SCHOOL
Alexei Kondratyev, Managing Director, Head of ECLIPSE Analytics, STANDARD CHARTERED

10:10 PRESENTATION: Indirect exposure: A dynamic view of portfolio risk

Rama Cont, Professor of Mathematics & Chair of Mathematical Finance, Department of Mathematics, IMPERIAL COLLEGE LONDON

10:40 Morning coffee break

 

STREAM ONE

STREAM TWO

 

BANK RISK MANAGEMENT

SCIENTIFIC PORTFOLIO CONSTRUCTION, TECHNOLOGY & TRADING

11:10

Chair's opening remarks: Andrew Green, Managing Director and XVA Lead Quant, SCOTIA BANK

Chair's opening remarks: Emilio Llorente-Cano, Head of Systematic Asset Solutions, ABERDEEN ASSET MANAGEMENT

1:1:20

FRTB - Minimum capital requirements for market risk under internal model and capital allocation challenges

  • FRTB model validation challenges and expected impacts
  • Cliff effect management under new FRTB internal model vs standardized rules
  • Capital allocation implication for a simple portfolio under internal model approach

Rita GnuttiHead of Market and Counterparty Risk Internal Models, INTESASANPAOLO

How to make stress testing work in practice

  • Solving the engineering problems
  • Dimensionality problem
  • The consistency problem
  • Applying the results to a large realistic portfolio

Riccardo Rebonato, Professor of Finance, EDHEC BUSINESS SCHOOL

12:00

A parsimonious modelling framework to forecast Initial Margin

  • Use-case 1: BCBS-IOSCO counterparties
  • Use-case 2: cleared OTCs

Fabrizio Anfuso, Head of Collateralized Exposure Modelling, CREDIT SUISSE

Machine learning for client-centric solutions

  • Motivation
  • Market factors for over 40 different asset classes
  • Machine learning, question to machine and the need of adapting the algorithms
  • High performance computing

Emilio Llorente-Cano, Head of Systematic Asset Solutions, ABERDEEN ASSET MANAGEMENT

12:20

Application of machine learning techniques to the MVA optimisation problem

  • MVA calculation
  • MVA optimisation
  • Why machine learning?
  • The choice of machine learning algorithm
  • Genetic algorithm
  • Particle swarm optimisation 

Alexei Kondratyev, Managing Director, Head of ECLIPSE Analytics, STANDARD CHARTERED

Algorithmic trade execution and intraday market dynamics

Yuhua Yu, Principal, DIJUN CAPITAL

12:50 Lunch and opportunity to network

1:50

Accounting XVA vs Economic XVA - A unified approach

  • Motivation: XVA Accounting, Fair Value vs Execution Pricing
  • Master Pricing Equation with Funding and Treasury DVA
  • Banking Book vs Trading Book
  • Accounting Principles and Concepts
  • FBA/FCA Accounting vs FVA/FDA Accounting
  • Applications

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

Advanced analytics in ABN AMRO R-labs

  • Applying aadvanced machine learning techniques in risk
  • New generation of credit risk modelling with machine learning
  • Forecasting sub-sector specific operational figures

Igor Stojkovic, Lead Modelling Team, Data Innovation & Analytics, ABN AMRO

 2:20

The price of trading capacity

  • Credit limits control trading capacity, e.g. Potential Future Exposure (PFE)
  • Increasing trading capacity but not the credit limit is a natural application of CVA-like machinery
  • Cover capacity hedging possibilities using credit-sensitive (single-counterparty) and credit-insensitive (multi-counterparty) instruments
  • Cost-capacity pricing trade-offs

Chris Kenyon, Head of XVA Quantitative Research, LLOYDS BANKING

CALL FOR PAPER WINNER: Fire sales, indirect contagion and systemic stress-testing

  • An operational framework to move beyond the "static balance sheet" assumption in stress tests
  • Quantify losses from contagion in stress tests
  • Why is it not possible to account for bank-level fire sales losses with appropriately scaled macro shocks?

Eric Schaanning, Senior Advisor, NORGES BANK

 2:50

XVA + GPU = Extreme Performance Computing

Andrew Green, Managing Director and XVA Lead Quant, SCOTIA BANK

The myth and magic of the Blockchain

  • What is really the Blockchain?
  • Why the excitement?
  • Exploding the myths
  • Is there really a magic?
  • What questions should we be asking?

Martin Walker, Director for Banking & Finance, CENTER FOR EVIDENCE-BASED MANAGEMENT
Jose Luu, Head of IT Derivatives Pricing & Blockchain Technology, NATIXIS

3:20 Afternoon coffee break

3:50 GUEST ADDRESS: Does bilateral initial margin eliminate counterparty risk?

  • The stated purpose of BCBS-IOSCO bilateral initial margin is to eliminate the counterparty risk that remains even when the variation margin threshold is zero due to the presence of MPoR
  • However, when the mechanics of trade and margin flows under ISDA/CSA is taken into account, the residual counterparty credit risk under IM turns out to be much larger than previously thought
  • The use of payment-vs-payment (PvP) services for margin flow payments is proposed to eliminate the residual counterparty risk under IM

Alexander Sokol, Head of Quant Research, COMPATIBL

4:20 PRESENTATION: Global inflation markets on the rebound: Start of a great recovery or false dawn?

  • Oil price recovery
  • Fiscal economic responses
  • Recovery of headline inflation prints
  • A pragmatic assessment of the year ahead

Dariush Mirfendereski, Managing Director, Global Head of Inflation, HSBC BANK

4:50 CLOSING KEYNOTE ADDRESS: Multi-currency shareholder and firm value adjustments

Mats Kjaer, Head of Quant XVA Analytics, BLOOMBERG (Risk.net 2015 Quant of the Year)

5:20 Chairman's closing remarks: Mauro Cesa, Quant Finance Editor, RISK.NET

 5.30 Cocktail reception. End of day one

 

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