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2017 Keynote Speakers

Peter Carr

Chair of the Finance and Risk Engineering Department

NYU TANDON SCHOOL OF ENGINEERING

Peter Carr, Chair of the Finance and Risk Engineering Department, NYU TANDON SCHOOL 

Professor Peter Carr is the Chair of the Finance and Risk Engineering Department at NYU's Tandon School. He has headed various quant groups in the financial industry for the last twenty years. He also presently serves as a trustee for the National Museum of Mathematics and WorldQuant University.
Prior to joining the financial industry, Dr. Carr was a finance professor for 8 years at Cornell University, after obtaining his PhD from UCLA in 1989. He has over 85 publications in academic and industry- oriented journals and serves as an associate editor for 8 journals related to mathematical finance. He was selected as Quant of the Year by Risk Magazine in 2003 and Financial Engineer of the Year by IAQF/Sungard in 2010. From 2011 to 2014, Dr. Carr was included in Institutional Investor's Tech 50, an annual listing of the 50 most influential people in financial technology.

Darrell Duffie

Dean Witter Distinguished Professor of Finance at the Graduate School of Business

STANFORD UNIVERSITY

Darrell Duffie, Dean Witter Distinguished Professor of Finance at the Graduate School of Business, STANFORD UNIVERSITY

Darrell Duffie is the Dean Witter Distinguished Professor of Finance at Stanford University's Graduate School of Business, and Professor (by courtesy) in the Department of Economics, Stanford University.

Duffie is a Fellow and member of the Council of the Econometric Society, a Research Fellow of the National Bureau of Economic Research, a Fellow of the American Academy of Arts and Sciences, and a member of the board of directors of Moody's Corporation. He was the 2009 president of the American Finance Association, and in 2014 chaired the Financial Stability Board's Market Participants Group on Reference Rate Reform.

Duffie's recent focuses on capital markets and financial stability. His research is published in journals such as Econometrica, Journal of Political Economy, and Journal of Finance, among others. His recent books include How Big Banks Fail (Princeton University Press, 2010), Measuring Corporate Default Risk (Oxford University Press, 2011), and Dark Markets (Princeton University Press, 2012).

Dilip Madan

Professor of Finance at the Robert H. Smith School of Business

UNIVERSITY OF MARYLAND

Dilip Madan, ‎Professor at Robert H. Smith School of Business, UNIVERSITY OF MARYLAND

Dilip Madan is Professor of Finance at the Robert H. Smith School of Business. He specializes in Mathematical Finance. Currently he serves as a consultant to Morgan Stanley, Meru Capital and Caspian Capital. He has also consulted with Citigroup, Bloomberg, the FDIC and Wachovia Securities. He is a founding member and Past President of the Bachelier Finance Society. He received the 2006 von Humboldt award in applied mathematics, was the 2007 Risk Magazine Quant of the year, received the 2008 Medal for Science from the University of Bologna and held the 2010 Eurandom Chair. He is Man- aging Editor of Mathematical Finance, Co-editor of the Review of Derivatives Research, Associate Editor of the Journal of Credit Risk and Quantitative Finance. His work is dedicated to improving the quality of financial valuation models, enhancing the performance of investment strategies, and advancing the efficiency of risk allocation in modern economies. Recent major contributions have appeared inMathematical Finance, Finance and Stochastics, Quantitative Finance, the Journal of Computational Finance, The International Journal of Theoretical and Applied Finance, The Journal of Risk, The Journal of Credit Risk among other journals.

Fabio Mercurio

Head of Quant Analytics

BLOOMBERG

Fabio Mercurio, Head of Quant Analytics, BLOOMBERG

Fabio is global head of Quantitative Analytics at Bloomberg LP, New York. His team is responsible for the research on and implementation of cross-asset analytics for derivatives pricing, XVA valuations and credit and risk management. Fabio is also adjunct professor at NYU. He has jointly authored the book 'Interest rate models: theory and practice' and published extensively in books and international journals, including 16 cutting-edge articles in Risk Magazine. Fabio holds a BSc in Applied Mathematics from the University of Padua, Italy, and a PhD in Mathematical Finance from the Erasmus University of Rotterdam, The Netherlands.

Attilio Meucci

Founder

ARPM

Attilio Meucci, Founder, ARPM (Advanced Risk and Portfolio Management)

Attilio was the chief risk officer at KKR; the chief risk officer and director of portfolio construction at Kepos Capital; the global head of research for Bloomberg's risk and portfolio analytics platform; a researcher at Lehman POINT; a trader at the hedge fund Relative Value International; and a consultant at Bain & Co.

Attilio is the author of numerous publications. In addition to the ARPM Bootcamp®, he taught at Columbia-IEOR, NYU-Courant (New York), Bocconi University (Milan), and NUS-Business School (Singapore), where he is Visiting Senior Research Fellow at CAMRI.

Attilio earned a BA summa cum laude in Physics from the University of Milan, an MA in Economics from Bocconi University, a PhD in Mathematics from the University of Milan and is a CFA charterholder. Attilio is fluent in six languages.

Santhanam Nagarajan

Portfolio Oversight Manager

TUDOR INVESTMENT CORPORATION

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

Santhanam Nagarajan (Nag) is Portfolio Oversight Manager at Tudor Investment Corporation. Prior to joining Tudor, Nag was a trader at Hutchin Hill Capital LP (2014-2015) and BlueCrest Capital Management LLP (2011-2014) where he developed and ran trading strategies across all asset classes including interest rates, corporate and sovereign credit, capital structure arbitrage, and cross asset strategies. Prior to moving to the buy-side, he worked at Deutsche Bank AG (2006-2011) as market maker for credit tranches, and was also deeply involved in structured finance markets during the credit crisis. Nag holds a Ph.D. from Stanford University where he was a Research Associate working on large scale simulations of fluid flows, and taught graduate level numerical analysis.

 

Stefano Pasquali

Managing Director, Head of Liquidity Research

BLACKROCK

Stefano Pasquali, Managing Director, Head of Liquidity Research, BLACKROCK

Stefano Pasquali Managing Director, is the Head of Liquidity Research Group at BlackRock Solutions. As Head of Liquidity Research, Mr. Pasquali is responsible for market liquidity modelling both at the security and portfolio level, as well as estimating portfolio liquidity risk profiles. His responsibilities include defining cross asset class models, leveraging available trade data and developing innovative machine learning based approaches to better estimate market liquidity. Mr. Pasquali is heavily involved in developing methodologies to estimate funding liquidity and better estimate funds flows. These models include: the cost of position or portfolio liquidation, time to liquidation, redemption estimation, and investor behavior modelling utilizing a big data approach. Stefano is a member of the Government Relations Steering Committee within BlackRock.

Previous to Blackrock, Mr. Pasquali oversaw product development and research for Bloomberg's liquidity solution, introducing a big data approach to their financial analytics. His team designed and implemented models to estimate liquidity and risk across different asset classes with a particular focus on OTC markets. Before this he lead business development and research for fixed income evaluated pricing.

Mr. Pasquali has more than 15 years of experience examining and implementing innovative approaches to calculating risk and market impact. He regularly speaks at industry events about the complexity and challenges of liquidity evaluation ̶ particularly in the OTC marketplace. His approach to risk and liquidity evaluation is strongly influenced by over 20 years of experience working with big data, data mining, machine learning and data base management.

Prior to moving to New York in 2010, Mr. Pasquali held senior positions at several European banks and asset management firms where he oversaw risk management, portfolio risk analysis, model development and risk management committees. These accomplishments include the construction of a risk management process for a global asset management firm with over 100 Billion AUM. This involved driving projects from data acquisition and normalization to model development and portfolio management support.
Mr. Pasquali, a strong believer in academic contribution to the industry, has engaged in various conversations and collaborations with universities from the US, UK, and Italy. He also participates as a supervisor in the Experiential Learning Program and Masters of Quantitative Finance Program based at Rutgers University, along with tutoring students in research activities.

Before his career in finance, Mr. Pasquali was a researcher in Theoretical and Computational Physics (in particular Monte Carlo Simulation, Solid State physics, Environment Science, Acoustic Optimization). Originally from Carrara (Tuscany, Italy), he grew up in Parma. Mr. Pasquali is a graduate of Parma University and holds a master's degree in Theoretical Physics, as well as research fellowships in Computational Physics at Parma University and Reading University (UK).

Michael Pykhtin

Senior Economist

FEDERAL RESERVE BOARD

Michael Pykhtin, Manager, Quantitative Risk, THE 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 co-edited "Counterparty Risk Management" (Risk Books, 2014), edited "Counterparty Credit Risk Modelling" (Risk Books, 2005) and contributed chapters 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 the recipient of Risk Magazine's Quant of the Year award for 2014. 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.

Advisory board members

Arthur Berd

Founder and Chief Executive Officer

GENERAL QUANTITATIVE

Arthur Berd, Founder and Chief Executive Officer, GENERAL QUANTITATIVE

Arthur M. Berd is the Founder and CEO of General Quantitative LLC, an emerging diversified financial services firm whose GQ Asset Management division focuses on systematic investment strategies including risk-based asset allocation, tactical trading and security selection, GQ Analytics offers institutional advisory services in risk management and structured product design, and Wealth Technologies division provides systematic wealth management and financial planning services and solutions.

Earlier, Arthur was the Head of Macro Volatility Strategies at Capital Fund Management, and held senior strategy and research positions at BlueMountain Capital Management, Lehman Brothers and Goldman Sachs Asset Management.

Dr. Berd is the Editor-in-Chief of the Journal of Investment Strategies, and is also the co-founder and coordinator of the quantitative finance section of http://arxiv.org, a global electronic research repository with over 2000 papers covering topics from portfolio and risk management, to trading and market microstructure, to securities pricing and mathematical and statistical finance methods. An author of more than 30 publications and a frequently invited speaker at major industry conferences, Dr. Berd edited the book "Lessons from the Financial Crisis" (RiskBooks, 2010, 2013). He holds a Ph.D. in Physics from Stanford University.

 

Peter Carr

Chair of the Finance and Risk Engineering Department

NYU TANDON SCHOOL OF ENGINEERING

Peter Carr, Chair of the Finance and Risk Engineering Department, NYU TANDON SCHOOL OF ENGINEERING

Professor Peter Carr is the Chair of the Finance and Risk Engineering Department at NYU's Tandon School He has headed various quant groups in the nancial industry for the last twenty years. He also presently serves as a trustee for the National Museum of Mathematics and WorldQuant University. Prior to joining the nancial industry, Dr. Carr was a finance professor for 8 years at Cornell University, after obtaining his PhD from UCLA in 1989. He has over 85 publications in academic and industry-
oriented journals and serves as an associate editor for 8 journals related to mathematical nance. He was selected as Quant of the Year by Risk Magazine in 2003 and Financial Engineer of the Year by IAQF/Sungard in 2010. From 2011 to 2014, Dr. Carr was included in Institutional Investor's Tech 50, an annual listing of the 50 most inuential people in financial technology.

John Hull

Maple Financial Professor of Derivatives and Risk Management, Joseph L. Rotman School of Management

UNIVERSITY OF TORONTO

John Hull, Maple Financial Professor of Derivatives and Risk Management, Joseph L. Rotman School of Management, UNIVERSITY OF TORONTO

John Hull is an internationally recognized authority on derivatives and risk management and has many publications in this area. His work has an applied focus. In 1999 he was voted Financial Engineer of the Year by the International Association of Financial Engineers. He has acted as consultant to many North American, Japanese, and European financial institutions. He has won many teaching awards, including University of Toronto's prestigious Northrop Frye award.

Alex Lipton

Chief Executive Officer

StrongHold Bank Labs

Alex Lipton, Chief Executive Officer, StrongHold Bank Labs, Connection Science Fellow, MIT Connection Science, Media Lab, MASSACHUSETTS INSTITUTE OF TECHNOLOGY and Adjunct Professor of Mathematics, Courant Institute, NEW YORK UNIVERSITY

Speakers

Irene Aldridge

Managing Director

ABLE ALPHA TRADING

Irene Aldridge, Managing Director, ABLE ALPHA TRADING

Irene Aldridge is a quantitative portfolio manager, a recognized expert on the subjects of quantitative investing, microstructure and high-frequency trading (HFT) and a seasoned educator. Aldridge is the author of "High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems" (Wiley), now in its second edition and translated into Chinese. Aldridge is currently Managing Director and Quantitative Portfolio Manager at ABLE Alpha Trading, LTD., where designs, implements and deploys proprietary trading strategies. Aldridge is also President of AbleMarkets.com, a suite of real-time and near-real-time products, including flash crash predictability feeds, market impact optimization, trading cost management, high-frequency participation in the markets, high-frequency portfolio optimization and trading sentiment data.

Prior to ABLE Alpha, Aldridge worked for various institutions on Wall Street and in Toronto, including Goldman Sachs and CIBC, where she led quantitative risk management initiatives and, earlier, large-scale technology projects. She has taught graduate quantitative finance courses at several U.S. universities (most recently, as an Industry Assistant Professor in the Dept of Financial Engineering at NYU Poly), and, for industry executives, various courses on high-frequency trading via HFTTraining.com. Over the years, Aldridge has been called to contribute to numerous government regulatory panels, including the U.K. Government Foresight Committee for Future of Computer Trading and the U.S. Commodity Futures Trading Commission's Subcommittee on High-Frequency Trading.

Aldridge holds an MBA from INSEAD, an MS in financial engineering from Columbia University, and a BE in electrical engineering from the Cooper Union in New York. She has studied in two PhD programs, including Operations Research at Columbia University. Aldridge is a frequent speaker at top industry events and a contributor to academic, practitioner and mainstream media publications, including the Journal of Portfolio Management, Journal of Trading, Futures Magazine, Reuters HedgeWorld, Advanced Trading, FXWeek, FINalternatives, Dealing with Technology, and Huffington Post.

Aldridge often appears on major television networks, including BBC, CNBC, FOX Business, CBC, BNN, German ZDF, among others, and has been invited to discuss the implications of technology in finance on CNN radio, National Public Radio (NPR) and Bloomberg Radio. In addition, Aldridge has been quoted by the New York Times, the Wall Street Journal, Associated Press, Financial Times, Thomson/Reuters, Bloomberg LP, Forbes and other major business news outlets.

Aldridge strongly believes in giving back to the community, and Aldridge presently serves as Treasurer at Carnegie Hill Neighbors, a neighborhood improvement not-for-profit organization, and as member of the education committee at the Southampton Historical Museum in Southampton Village, New York.

 

 

Bob Bass

Managing Director, Head of Factor Allocation Platform

BLACKROCK

Bob Bass, Managing Director, Head of Factor Allocation Platform, BLACKROCK

Bob Bass is a member of BlackRock's Factor Based Strategies Group. His primary focus is on building out the tools and analytics necessary to support a factor-based investment process. Mr. Bass formerly led the Client Analytics Group within BlackRock Solutions and was responsible for analytical support for all clients of BlackRock Solutions' enterprise investment system, Aladdin.

Prior to joining BlackRock in 1998, Mr. Bass was involved in the structuring of project revenue bond transactions for both Lehman Brothers and Salomon Smith Barney.

Mr. Bass earned a BA degree in economics from Dartmouth College in 1989, and an MBA degree with concentrations in statistics and finance from the University of Chicago in 1994.

 

Terry Benzschawel

Managing Director, Credit Quantitative Analysis

CITI

Terry Benzschawel, Managing Director, Credit Quantitative Analysis, CITI

Terry Benzschawel is a Managing Director in Citigroup's Institutional Clients Business. Terry heads the Portfolio Analysis and Quantitative Strategies group which develops and implements quantitative tools and strategies for credit market trading and risk management, both for Citi's clients and for in-house applications. Some sample tools include models of corporate default and recovery values, relative value of corporate bonds, loans, and credit default swaps, credit portfolio optimization, credit derivative trades, capital structure arbitrage, measuring and hedging liquidity risk, and cross-credit-sector asset allocation. In addition, Terry's credit analysis software is embedded in Citi Yield Book's Credit Analysis Module.

After six years of post-doctoral research in academia and industry and two years in consumer banking, Terry began his investment banking career in at Salomon Brothers in 1992. Terry built models for proprietary arbitrage trading in bonds, currencies and derivative securities in Salomon's Fixed Income Arbitrage Group. In 1998, he moved to the Fixed Income Strategy department as a credit strategist with a focus on client-oriented solutions across all credit markets and has worked in related roles since then. Terry was promoted to Managing Director at Citi in 2008.

Terry received his Ph.D. in Experimental Psychology from Indiana University (1980) and his B.A. (with Distinction) from the University of Wisconsin (1975). Terry has done post-doctoral fellowships in Optometry at the University of California at Berkeley and in Ophthalmology at the Johns Hopkins University School of Medicine and was a visiting scientist at the IBM Thomas J. Watson Research Center prior to embarking on a career in finance. He currently serves on the steering committees of the Masters of Financial Engineering Programs at the University of California at Berkeley and the University of California at Los Angeles and Carnegie Mellon University's Computational Finance Program.

Terry is a frequent speaker at industry conferences and events and has lectured on credit modelling at major universities. In addition, he has published over a dozen articles in refereed journals and is author of CREDIT MODELING: FACTS, THEORIES AND APPLICATIONS. In addition, Terry has been the instructor for courses in credit modelling for Incisive Media and the Centre for Finance Professionals. Finally, Terry has taught a course on credit modelling at Russia's Sberbank in Moscow.

 

Peter Cotton

Executive Director

JP MORGAN

Peter Cotton, Executive Director, Data Science, JP MORGAN

Peter was the founder of Benchmark Solutions, a company which delivered real-time bond and CDS pricing, and was acquired by Bloomberg in 2013. Prior, he worked at Morgan Stanley for six years with a focus on structured credit analytics. Currently he leads a project at J.P. Morgan that approaches real-time prediction and control through a variety of crowd-sourcing mechanisms.

Ashish Dev

Principal Economist

FEDERAL RESERVE BOARD

Ashish Dev, Principal Economist, FEDERAL RESERVE BOARD

Ashish Dev is the principal economist at the Federal Reserve Board. He was previously a managing director at JP Morgan Chase Risk Management. Mr. Dev as over 20 years' experience in enterprise risk management and is listed as one of the most published authors by Risk in its 20th anniversary issue. He has been recognized as one of the top faces of Operational Risk for making the field what it is today. He has a Ph.D. in Economics & Finance and holds the CFA professional designation.

 

 

Mikhail Dron

Managing Director, Balance Sheet Management Technology

TD SECURITIES

Mikhail Dron, Managing Director, Balance Sheet Management Technology, TD SECURITIES

Mikhail Dron, Managing Director at TD Bank, is an accomplished business technology leader with broad experience in delivering innovative solutions for Capital Markets and Treasury business segments.

At TD Mikhail provides clear strategy and precise execution for large transformational programs such as build out of new ALM platform, Liquidity program, and FRTB-CVA platform.
Prior to TD, Mikhail was responsible for Global Equity Derivatives Risk platform re-engineering at Citi.

Mikhail received MBA in Finance from Pace University and holds undergraduate degree in Information and Computer Science.

Samim Ghamami

Senior Economist

U.S. DEPARTMENT OF THE TREASURY

Samim Ghamami, Senior Economist, U.S. DEPARTMENT OF THE TREASURY

Samim Ghamami is a senior economist at the US Department of the Treasury, Office of Financial Research (OFR). Samim is also the lead of the central counterparty program at the OFR, an adjunct professor at NYU Courant Institute, and a senior researcher at UC Berkeley.
Samim has been an economist at the Board of Governors of the Federal Reserve System and an advisor to the Basel Committee on Banking Supervision. His work on the interplay between the regulation and risk management of banks and central counterparties has been presented and discussed at central banks, supervisory agencies, and among standard setting bodies.

Samim has also been a visiting scholar at the Department of Economics at UC Berkeley, a senior quantitative researcher at MSCI, a quantitative analyst at Barclays Capital in New York, an adjunct professor at USC, and a post-doctoral researcher at CREATE Homeland Security Center. His publications have appeared in various journals including the Journal of Financial Intermediation, Journal of Applied Probability, Mathematics of Operations Research, Journal of Credit Risk, Journal of Derivatives, Probability in the Engineering and Informational Sciences, Quantitative Finance, and the International Journal of Financial Engineering.

Igor Halperin

Adjunct Professor

NYU TANDON SCHOOL OF ENGINEERING

Igor Halperin, Adjunct Professor, NYU TANDON SCHOOL OF ENGINEERING

Bernhard Hientzsch

Director, Head of Model, Library, and Tools Development for Corporate Model Risk

WELLS FARGO

Bernhard Hientzsch, Director, Head of Model, Library, and Tools Development for Corporate Model Risk, WELLS FARGO

Bernhard Hientzsch is the Head of Model, Library, and Tool Development in the Corporate Model Risk Management Group at Wells Fargo. His group is responsible for the implementation of models, libraries, components, and tools for the validation, benchmarking, and oversight of models at Wells Fargo. Prior to joining Wells Fargo, he was a postdoctoral scientist at New York University in several DoE supported projects and consulting on mathematical, financial, and computer modelling in the USA and Germany. Bernhard received his PhD in applied mathematics from the Courant Institute at New York University.

Andrey Itkin

Director, Senior Quant Research Associate

BANK OF AMERICA

Andrey Itkin, Director, Senior Quant Research Associate, BANK OF AMERICA

Dr. Andrey Itkin is an Adjunct Professor at NYU, Department of Risk and Financial Engineering and Director, Senior Research Associate at Bank of America. He received his PhD in physics of liquids, gases and plasma, and degree of Doctor of Science in computational physics. During his academic carrier he published few books and multiple papers on chemical and theoretical physics and astrophysics, and later on computational and mathematical finance. Andrey occupied various research and managerial positions in financial industry and also is a member of multiple professional associations in finance and physics.

Timothy Klassen

CEO and Founder

VOLAR TECHNOLOGIES

Timothy Klassen, CEO and Founder, VOLAR TECHNOLOGIES

Dr. Timothy Klassen is an expert in fast and robust pricing and calibration methods, as well as volatility arbitrage and automated risk management, with over 17 years of experience in quantitative finance. He founded Volar Technologies LLC in 2016 to provide the options industry with pricing, modeling, and volatility fitting analytics previously only available to the largest and most sophisticated options traders in the world.
He started his career in finance as an equity derivatives quant at Goldman Sachs, before moving on to build the equity derivatives quant team and modeling library at Wachovia Securities from scratch, covering all quantitative aspects of the ED business. At Getco he built the options market making analytics infrastructure and quant team from the ground up. Getco became one of very few successful new equity options market makers post-penny pilot.

Besides discovering the first classes of modern, asymptotically arbitrage-free implied volatility curves, Tim is best known for designing the new VIX which the CBOE started disseminating in 2003 (it was based on a proposal by Tim, Sandy Rattray, and Devesh Shah, then all at Goldman Sachs). He is an authority on modeling and fitting volatility surfaces. He received his Ph.D. in particle physics from the University of Chicago.

 

Petter Kolm

Director of the Mathematics in Finance Masters Program

NEW YORK UNIVERSITY

Petter Kolm, Director of the Mathematics in Finance Masters Program and Clinical Professor, Courant Institute of Mathematical Sciences, NEW YORK UNIVERSITY

Petter Kolm is the Director of the Mathematics in Finance Masters Program and Clinical Associate Professor at the Courant Institute of Mathematical Sciences, New York University and the Principal of the Heimdall Group, LLC. Previously, Petter worked in the Quantitative Strategies Group at Goldman Sachs Asset Management where his responsibilities included researching and developing new quantitative investment strategies for the group's hedge fund. Petter coauthored the books Financial Modeling of the Equity Market: From CAPM to Cointegration (Wiley, 2006), Trends in Quantitative Finance (CFA Research Institute, 2006), Robust Portfolio Management and Optimization (Wiley, 2007), and Quantitative Equity Investing: Techniques and Strategies (Wiley, 2010). He holds a Ph.D. in mathematics from Yale, an M.Phil. in applied mathematics from Royal Institute of Technology, and an M.S. in mathematics from ETH Zurich.

Petter is a member of the editorial boards of the International Journal of Portfolio Analysis and Management (IJPAM), Journal of Investment Strategies (JOIS), Journal of Portfolio Management (JPM), and the board of directors of the International Association for Quantitative Finance (IAQF). As a consultant and expert witness, he has provided his services in areas such as algorithmic and quantitative trading strategies, econometrics, forecasting models, portfolio construction methodologies incorporating transaction costs, and risk management procedures.

Nikolai Kukharkin

Senior Risk Manager, formerly Global Head of Model Risk Management & Control

UBS

Nikolai Kukharkin, Senior Risk Manager, formerly Global Head of Model Risk Management & Control, UBS

Nikolai Kukharkin, Managing Director, is the Global Head of Model Risk Management & Control (MRMC) at UBS. Part of UBS Group Risk Control, MRMC has primary responsibility for the key aspects of the model risk framework across the UBS group including independent model validation, review of model performance, risk rating of models, front-to-back model governance and control, reporting and oversight of model risk on an individual model level and on aggregate. Nikolai joined UBS in 2003 where he held several positions in Risk Control function before to his appointment to his current role in 2014. Prior to UBS, Nikolai worked for 5 years at JPMorgan Chase in New York where he was a member of the Model Review Group.

Prior to starting his career in finance in 1997, Nikolai was a scientist in the field in theoretical plasma physics and hydrodynamics. Nikolai holds PhD in Nuclear Physics from Moscow Institute of Physics and Technology (Russia).

 

Roger Lee

Associate Professor Department of Mathematics

UNIVERSITY OF CHICAGO

Roger Lee, Associate Professor Department of Mathematics, UNIVERSITY OF CHICAGO

Roger Lee is Associate Professor of Mathematics at the University of Chicago, where he is also the Director of the Program on Financial Mathematics. His research is in the pricing and hedging of financial derivatives, including the robust modelling of volatility and jump risk, and asymptotic and computational methods for option valuation and implied volatility. He serves on several editorial boards, as an Associate Editor of Mathematical Finance, an Associate Editor of the SIAM Journal on Financial Mathematics, an Associate Editor of Applied Mathematical Finance, and an Associate Editor of High Frequency. He has a PhD from Stanford University and a BA summa cum laude from Harvard University. His professional experience includes working in Global Equity-Linked Products at Merrill Lynch in New York.

 

Tim Leung

Associate Professor, Director of Computational Finance and Risk Management Program

UNIVERSITY OF WASHINGTON

Tim Leung, Associate Professor, Director of Computational Finance and Risk Management Program, UNIVERSITY OF WASHINGTON

Professor Tim Leung is an Associate Professor in the Department of Applied Mathematics and the Director of the Computational Finance & Risk Management (CFRM) program. Professor Leung obtained his PhD in Operations Research & Financial Engineering at Princeton University. He was​ previously​ an Assistant Professor in the Department of Applied Mathematics & Statistics at Johns Hopkins University and in the Department of Industrial Engineering & Operations Research at Columbia University​.​

Professor Leung's research areas are Financial Mathematics and Optimal Stochastic Control. He has worked on a variety of problems, such as derivatives pricing, algorithmic trading, credit risk, ​executive compensation, ​and exchange-traded funds (ETFs). His research has been funded by the National Science Foundation (NSF), and published in ​numerous journal​ articles​. He has written two books, respectively, on Optimal Mean Reversion Trading, and ETFs. In 2016, he won the Emerald Literati Network​ Award.

Professor Leung is an Associate Editor of a number of journals, including SIAM Journal on Financial Math, Journal of Financial Engineering, Studies in Economics & Finance, High Frequency, and Digital Signal Processing. ​He is the founding editor of the book series, Modern Trends in Financial Engineering​, that publishes monographs on important contemporary topics in theory and practice of Financial ​Mathematics & ​Engineering. ​​Professor Leung regularly supervises PhD, MS, and undergraduate research projects, collaborates with academics, practitioners, and regulators, and he is active in conference organization. He is the Chair of the INFORMS Finance Section, and the ​Vice Chair of the SIAM Activity Group on Financial Mathematics & Engineering (SIAG-FME).

 

Isaac Lieberman

Founder and Chief Executive Officer

ASTON CAPITAL MANAGEMENT

Isaac Lieberman, Founder and Chief Executive Officer, ASTON CAPITAL MANAGEMENT

Isaac Lieberman founded Aston Capital Management as a quantitative hedge fund in November 2013. As a veteran trader of proprietary quantitative strategies, Isaac has more than 20 years of experience trading in global FX and Fixed Income markets. Prior to founding Aston Capital Management, Isaac was Managing Director at J.P. Morgan where he was the Head of Algorithmic Trading and the Head of Electronic FX Options Trading. Before joining J.P Morgan in 2008, Isaac was Head of the FX and Fixed Income division in the Principal Strategies Group at Bear Stearns where he worked from 1996

Gordon Liu

Head of Global Risk Analytics

HSBC NORTH AMERICA

Gordon Liu, Head of Global Risk Analytics, HSBC NORTH AMERICA

Dr. Gordon Liu is Managing Director/Executive Vice President, head of Regulatory and Risk Analytics, Wholesale Credit and Markets Risk, HSBC North America. He is responsible for the development and implementation of risk models used for market risk, counterparty credit risk, and wholesale credit risk; development and implementation of wholesale credit and traded risk CCAR/PRA/EBA stress testing models; regulatory and economical capital models; and for communicating and interacting with various regulatory agencies to ensure HSBC's compliance with model standards and capital rules in the region.

Prior to joining HSBC, Dr. Liu was a market risk model developer and manager at Citi Group and Merrill Lynch, responsible for VaR model development and implementation, after spending three years in the telecommunication industry developing network management software.

Dr. Liu received his PhD in electrical and systems engineering from University of Connecticut, undergraduate and master degrees from Huazhong University of Science and Technology, Wuhan, China.

 

Yuhong Liu

CCAR Model Validation Lead

BNP PARIBAS

Yuhong Liu, CCAR Model Validation Lead, BNP PARIBAS

Yuhong holds Plasma Physics PhD from Columbia University. She leads the CIB CCAR model validation team in BNP Paribas. Before that, she worked in Morgan Stanley and Citi Group for Market Risk and Credit Risk management functions.

Julia Litvinova

Head of Model Validation and Analytics, Managing Director

STATE STREET

Julia Litvinova, Head of Model Validation and Analytics, Managing Director, STATE STREET

Julia Litvinova is the Head of Model Validation and Analytics at State Street. In this role Julia is responsible for supervising validation of a broad range of models for credit, market, ALM, liquidity risks and asset management at State Street as well as quantifying and managing model risk at the firm-wide level.

Prior to joining State Street Julia worked at the Brattle Group, the economic litigation consulting company. She received her Ph.D. in Economics from Duke University, M.A. in Economics from New Economics School and M.S. in Mathematics from Moscow State University.

 

Wujiang Lou

Director, Global Fixed-Income Trading

HSBC

Wujiang Lou, Adjunct Professor, The Courant Institute of Mathematical Sciences, NEW YORK UNIVERSITY & Director, Global Fixed-Income Trading, HSBC

Dr. Wujiang Lou is a director, quant trader with HSBC‘s global fixed income, currently specialized in repo financing and high yield trading, and previously led US legacy structured finance trading.

Lou joined HSBC in 2006 as a lead quant from Morgan Stanley and has since maintained a strong interest in developing and applying pricing and risk models sensible to the business. Lou's independent research in XVA has led to multiple articles published in Risk covering CVA, FVA, MVA, and KVA.

 

Kharen Musaelian

Founder and Chief Investment Officer

DUALITY ADVISORS

Kharen Musaelian, Founder and Chief Investment Officer, DUALITY ADVISORS

Dr. Kharen Musaelian is the founder of Duality Advisors, a firm specializing in application of machine learning to asset management. Prior to founding Duality Advisors, Dr. Musaelian was Co-Head of Global Rates and Macro at Hutchin Hill Capital, Portfolio Manager at Bluecrest Capital, and the Head of Global Strategic Risk at Merrill Lynch. Dr. Musaelian began his investment career at JP Morgan in 1995, as the Managing Director for the Proprietary Positioning business, focusing on proprietary trading of credit and interest rate products. Dr. Musaelian shared the Risk.net Buy-Side Quant of the Year Award for 2016.

Miquel Noguer Alonso

Executive Director

UBS

Miquel Noguer Alonso, Executive Director, UBS & Adjunct Assistant Professor, COLUMBIA UNIVERSITY

Miquel Noguer i Alonso is a financial markets practitioner with more than 20 years of experience in asset management, he is currently working for UBS AG (Switzerland). He worked as a CFO and CIO for a European bank from 2000 to 2006. He started his career at KPMG.

He is Adjunct Assistant Professor at Columbia University teaching Asset Allocation, Big Data in Finance, Fintech and Hedge Fund Professor at ESADE. He received an MBA and a Degree in business administration and economics in ESADE in 1993. In 2010 he earned a PhD in quantitative finance with a Summa Cum Laude distinction (UNED - Madrid Spain). He also holds the Certified European Financial Analyst diploma ( 2000 ).

His research interests range from asset allocation, big data to algorithmic trading and fintech. His academic collaborations include a visiting scholarship in Columbia University in 2013 in the Finance and Economics Department, in Fribourg University in 2010 in the mathematics department, and presentations in Indiana University, ESADE, London Business School, CAIA Association, AFI and several industry seminars.

 

Elliot Noma

Managing Director

GARRETT ASSET MANAGEMENT

Elliot Noma, Managing Director, GARRETT ASSET MANAGEMENT

Dr. Noma is the founder of Garrett Asset Management, a systematic trading firm that uses technical systems to invest in futures, ETFs, and currencies. The firm uses a regime switching model to determine when to update the allocations in a portfolio of technical strategies. Dr. Noma is also a Senior Risk
Consultant with Asset alliance. He consults on a variety of financial issues involving the structuring of innovative ETF products, portfolio management, hedge fund due diligence, trading systems, risk management, fund of hedge funds, and operational due diligence. He has patented an improved structure
for leveraged ETFs.

Prior to founding Garrett Asset Management, Dr. Noma was the portfolio manager for the BTOP50 fund, a diversified portfolio of global macro, commodity, and managed futures programs. Dr. Noma was also
the Chief Risk Officer at Asset Alliance.

Dr. Noma graduated from Dartmouth College in 1972 with a BA in Mathematics. He received M.A's in Mathematics and Psychology in 1979 and a Ph.D in Mathematical Psychology in 1982 from The University of Michigan.

Natasha Pekelis

Global Head of Capital Markets Technology and Analytics

TD SECURITIES

Natasha Pekelis, Managing Director, Global Head of Capital Markets Technology and Analytics, TD SECURITIES

Currently the Head of Global Markets IT & Quantitative Analytics at TD Securities, Natasha has 15 plus years in the Capital Markets Technology world. Natasha's numerous responsibilities entail overseeing the technology departments in the FX, Rates, Credit and Commodities trading business lines at TDS. Natasha is a key driver to the TD Infrastructure strategy and has led the delivery of a cross asset Pricing, Risk and Valuation platform. Prior to TDS, Natasha was with Citigroup as Global Head of Equity Risk & Equity Derivatives IT where she championed the reorganization and unification of multiple regional teams into one unified global organization running 200 plus individuals strong. Natasha's varied experiences also had her spending time with HSBC as Global Head of Derivatives IT. Natasha has degrees in Computer Science and Applied Mathematics from Columbia University and Leningrad State University respectively. In her personal time Natasha has two beautiful children and enjoys attending theatre, skiing and ballroom dancing.

Gregory Pelts

Quant

BLACKROCK

Gregory Pelts, Quant, BLACKROCK

Dr. Gregory Pelts has been working in the financial industry for over a decade. He completed his training in mathematics and physics at the St Petersburg State University and the Steklov Mathematical Institute in Russia. He received his second Ph.D. in Theoretical Physics from the Rockefeller University in New York. Gregory has authored a number of publications and given presentations in theoretical physics and quantitative finance. Gregory is currently employed by BlackRock. Prior to that, he worked for Goldman Sachs, Bear Stearns and Dresdner-Kleinwort-Benson. Gregory focuses on applications of group theoretical methods to problems in quantitative finance, in particular, stochastic interest rates, stochastic volatility, and credit risk.

Gordon Ritter

Senior Portfolio Manager

GSA CAPITAL

Gordon Ritter, ‎Senior Portfolio Manager, GSA CAPITAL

Gordon Ritter is a Senior Portfolio Manager at GSA Capital, and leader of a team which pursues a broad range of statistical arbitrage strategies across geographies and asset classes. Prior to joining GSA, Gordon was a Vice President of Highbridge Capital Management and a core member of the firm's statistical arbitrage group. Concurrently with his position at GSA, Gordon is an Adjunct Professor at NYU, where he teaches advanced econometric modeling. Gordon completed his PhD in mathematical physics at Harvard University, where he worked in quantum computation, quantum field theory, and abstract algebra. He also earned his Bachelor's degree with honors in Mathematics from the University of Chicago.

 

 

Ritirupa Samanta

Managing Director, Global Head of Systematic Fixed Income & Senior Portfolio Manager,

STATE STREET GLOBAL ADVISORS

Ritirupa Samanta, Managing Director, Global Head of Systematic Fixed Income & Senior Portfolio Manager, STATE STREET GLOBAL ADVISORS

Riti Samanta is a managing director and part of the Senior Leadership Team (SLT) at State Street Global Advisors. She is responsible for the development of smart beta fixed income, currency, and active rates investment strategies for SSGA. Previously, she headed the Asset Allocation and Currency research teams developing investible strategies in these areas using quantitative models for return forecasting, risk measurement, and portfolio construction. She is part of the Fixed Income, Cash and Currency (FICC) SLT and a member of the Technical Committee that evaluates all quantitative research in the firm. She is a senior portfolio manager in FICC.

Before joining SSGA, Riti was a senior research associate at State Street Associates using institutional flows, holdings and market returns to forecast investor behavior in equity and currency markets. She has published research on Extreme Value Theory, studying the effect of incorporating non-normalities and time-sensitive correlation structures in various aspects of quantitative modeling. Her research has been published in the Journal of Performance Measurement and presented at the Society for Nonlinear Dynamics and Econometrics.

Riti holds a PhD in international finance and economics from Brandeis University, a MS in finance from Brandeis, and a BA in economics (minor in mathematics) from Reed College, where she held the Walter Mintz scholarship in economics.

Vladimir Sankovich

Managing Director, Head of Quantitative Modeling and Analytics

TD SECURITIES

Vladimir Sankovich, Managing Director, Head of Quantitative Modeling and Analytics, TD SECURITIES

Dr. Vladimir Sankovich is a quantitative analyst with over 18 years of experience in modelling of interest rates derivatives and fixed income products. He currently works as a Managing Director at TD Securities where he leads the Global Quantitative Modelling and Analytics Group. Prior to joining TD Dr. Sankovich worked at several major financial institutions, most recently as a managing director leading the Global Fixed Income and Credit Quant Team at RBC Capital Markets. Dr. Sankovich holds a PhD degree in Theoretical Physics from New York University.

Louis Scott

Officer

FEDERAL RESERVE BANK OF NEW YORK

Louis Scott, Officer, FEDERAL RESERVE BANK OF NEW YORK

Louis Scott is currently in the Model Risk Department, Supervision Group, at the Federal Reserve Bank of New York. He has been with the New York Fed since 2014, and his work includes responsibilities for internal models and review of market risk models used by foreign banks. Before joining the New York Fed, he was in investment banking at UBS and Morgan Stanley for 17 years. He was a Managing Director at UBS and Morgan Stanley, and his last role at UBS was heading the Quantitative Analytics group with responsibilities for front office pricing models. Prior to his career in investment banking, Louis was a finance professor at University of Georgia and University of Illinois. He continues to teach in the New York area and currently teaches an interest rate derivatives course in the Graduate Business School at Fordham University. He has an Engineering degree from Duke University, and MBA from Tulane University, and a Ph.D. in Economics from University of Virginia. His current research interests include the development of financial models using massive parallel processing and equity capital requirements for banks.

Alexander Skabelin

Vice President, Volatility

GOLDMAN SACHS

Alexander Skabelin, Vice President, Volatility Strategies, GOLDMAN SACHS

Alexander Skabelin is Vice President of Volatility Strategies at Goldman Sachs, which he joined in 2005. Prior to Goldman, Alexander was responsible for volatility arbitrage at a multi-billion dollar hedge fund EBF and Associates for four years. He holds a Ph.D. in Physics from MIT

Michael Sotiropoulos

Managing Director, Global Markets

DEUTSCHE BANK

Michael Sotiropoulos, Managing Director, Global Markets, DEUTSCHE BANK

Michael Sotiropoulos is the global head of quant research for equities trading at Deutsche Bank. Prior to his current role, Michael was a Managing Director at Bank of America Merrill Lynch, where he headed the algorithmic trading quant group.

He has also worked for nine years in equity structured products and derivatives pricing at Bank of America and at Bear Stearns.
Michael has a Ph.D. in theoretical physics from Stony Brook University. Before joining the finance industry he taught and worked in quantum field theory and particle physics at the University of Southampton, England and at the University of Michigan.

Alexander Sokol

CEO and Head of Quant Research

COMPATIBL

Alexander Sokol, CEO and Head of Quant Research, COMPATIBL

Alexander Sokol is CEO and head of quant research of CompatibL, a risk technology vendorspecialising in XVA, Regulatory Capital and Adjoint Algorithmic Differentiation(AAD). Over the course of his 18-year career as a quant, he built valuation andrisk models used by over 350 financial institutions worldwide, including 4 outof 5 largest derivatives dealers. Alexander contributed to a number of recentadvances in risk management such as systemic wrong way risk (with MichaelPykhtin), the local price of risk (with John Hull and Alan White), a new modelfor the margin period of risk (with Leif Andersen and Michael Pykhtin), and thefirst commercial implementation of Vector AAD for enterprise XVA. He has a PhDin theoretical physics from the L.D. Landau Institute and is the leadmaintainer of ModVal.org, a free software library for model validation.

David Shimko

Adjunct Professor of Finance

NYU TANDON SCHOOL OF ENGINEERING

David Shimko, Adjunct Professor of Finance, NYU TANDON SCHOOL OF ENGINEERING

David Shimko has been involved with energy, credit, risk management and derivatives for over 30 years. While head of Commodity Derivatives Research at JPMorgan in the 1990s, he published monthly articles in Risk Magazine and frequently appeared in Energy Risk. At Bankers Trust, he headed a client risk advisory unit, and later co-founded Risk Capital, an independent consulting firm. David has co-authored three issued patents in credit risk management, and has published widely in the academic and trade literature. Concurrent with his professional career, he has taught at USC, Kellogg, HBS and NYU Courant. He is currently Adjunct Professor of Finance at the NYU Tandon School of Engineering.

Ben Steiner

Head of Quantitative Strategies

CIT GROUP

Ben Steiner, Head of Quantitative Strategies, CIT GROUP

Ben Steiner is the Head of Quantitative Strategies at CIT Group. His experience covers quantitative modelling, portfolio management and business development for alternative investments. Now focusing on the less liquid asset class of private debt, his previous experience covered the more liquid strategies of Non-traditional Bond; Managed Futures; Global Macro & Equity Long/Short.

At CIT, Ben is now responsible for model development, research and analysis of credit and default risk. This includes probability of default, loss severity & stress testing (CCAR, DFAST). Ben joined CIT in 2015 and is based in New Jersey.

Before joining CIT, he was an Absolute Return Portfolio Manager and Senior Quantitative Researcher at FFTW (a subsidiary of BNP Paribas). Prior to that, he was with Aspect Capital as the Research Manager for financial engineering. Ben started his career at Deutsche Bank as a member of the quantitative research and portfolio construction team. He has 16 years of alternative investment experience.

Ben has a BA in Economics (with honors) from The University of Manchester and an MSc in Mathematical Finance from Imperial College London. He serves as a Director of the Society of Quantitative Analysts (SQA) - which celebrated its 50th anniversary last year - and sits on the Big Data Advisory Board at Rutgers.

Alexander Veygman

Director, Senior Fixed Income Quantitative Analyst

HSBC

Alexander Veygman, Director, Senior Fixed Income Quantitative Analyst, HSBC

Alexander Veygman had been a leading fixed income desk quantitative analyst at HSBC for the past 12 years working on valuation of various kinds of vanilla and exotic interest rates and credit hybrids derivatives. His scope of interest includes researching numerical methods to simultaneously incorporate multiple market observables to develop practical models ready to be used by fixed income desks. He holds and MS degree from NYU in Statistics & Operations Research/Math in Finance.

Workshop Speakers

Alexander Sokol

CEO and Head of Quant Research

COMPATIBL

Alexander Sokol, CEO and Head of Quant Research, COMPATIBL

Alexander Sokol CEO and head of quant research of CompatibL, a risk technology vendor specialising in XVA, FRTB, and Adjoint Algorithmic Differentiation(AAD). Over the course of his 20-year career as a quant, he built valuation and risk models used by over 350 financial institutions worldwide, including 4 out of 5 largest derivatives dealers. Alexander contributed to a number of recent advances in risk management such as systemic wrong way risk (with Michael Pykhtin), the local price of risk (with John Hull and Alan White), a new model for the margin period of risk (with Leif Andersen and Michael Pykhtin), and the first commercial implementation of Vector AAD for enterprise XVA. He has a PhD in theoretical physics from the L.D. Landau Institute and is the lead maintainer of ModVal.org, a free software library for model validation.

Diana Iercosan

Principal Economist

BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM

Diana Iercosan, Principal Economist, BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM

Diana is a Principal Economist at the Federal Reserve Board. She received a PhD in Economics from the University of Maryland College Park in 2011. The same year she started working at the Federal Reserve Board, where she has focused on banking policy and supervision in the areas of market and counterparty credit risk. She was a member and co-chair of several Basel groups focusing on designing and benchmarking capital rules for trading book activities.

 

 

Miquel Noguer Alonso

Executive Director

UBS

Miquel Noguer Alonso, Executive Director, UBS & Adjunct Assistant Professor, COLUMBIA UNIVERSITY

Miquel Noguer i Alonso is a financial markets practitioner with more than 20 years of experience in asset management, he is currently working for UBS AG (Switzerland). He worked as a CFO and CIO for a European bank from 2000 to 2006. He started his career at KPMG.

He is Adjunct Assistant Professor at Columbia University teaching Asset Allocation, Big Data in Finance, Fintech and Hedge Fund Professor at ESADE. He received an MBA and a Degree in business administration and economics in ESADE in 1993. In 2010 he earned a PhD in quantitative finance with a Summa Cum Laude distinction (UNED - Madrid Spain). He also holds the Certified European Financial Analyst diploma ( 2000 ).

His research interests range from asset allocation, big data to algorithmic trading and fintech. His academic collaborations include a visiting scholarship in Columbia University in 2013 in the Finance and Economics Department, in Fribourg University in 2010 in the mathematics department, and presentations in Indiana University, ESADE, London Business School, CAIA Association, AFI and several industry seminars.