Programme

Programme

2019 Programme

08:2008:50

Registration

08:20 - 08:50

08:5009:00

Welcome address

08:50 - 09:00

Mauro Cesa

Quantitative finance editor

Risk.net

Mauro Cesa is quantitative finance editor for Risk.net, based in London. He leads the team responsible for the publication of quantitative research across all brands of the division. The section of Risk.net he manages, Cutting Edge, publishes peer-reviewed papers on derivatives, asset and risk management, and commodities.

Mauro holds a degree in economics from the university of Trieste and a masters in quant finance from the University of Brescia.

09:0009:30

Keynote address by the Quant House of the Year 2020: Let the Quantos Smile

09:00 - 09:30

George Hong

Head of Asia-Pacific Quantitative Strategies and Global Product Head for Equities Modelling

Credit Suisse

09:3010:00

Evolution of execution dynamics and advances in trading technology

09:30 - 10:00

Michael Steliaros

Global head of quantitative execution services

Goldman Sachs

Michael is the global head of Quantitative Execution Services at Goldman Sachs. He is responsible for the research, development and implementation of quantitative processes for portfolio and electronic trading, as well as the management of the firm's relationships with the quantitative client-base across regions. Michael manages a variety of teams globally, spanning algorithmic research, portfolio quants, client solutions, analytics and quantitative content generation. He joined the firm as a managing director in 2017.

Prior to this, Michael spent eight years at Bank of America Merrill Lynch in a variety of senior roles in London and New York, including the centralisation of risk for the bank’s equities flow, quantitative liquidity management processes and in the last few years running the global agency portfolio trading and quantitative equity businesses. Earlier in his career, he spent more than a decade on the buy-side (most notably BGI and Winton) building quant stock-selection models and managing global market neutral equity portfolios. Before that, Michael was a Financial Econometrics lecturer at City University (CASS) Business School in London. He has a wide range of academic, peer-reviewed and practitioner journal and book publications on a host of finance topics, as well as numerous presentations in global quant and industry conferences.

Michael received a bachelor's degree in Economics & Econometrics from the University of Nottingham, a master's degree in Finance and a PhD in Behavioural Finance from City University (CASS) Business School in London.

Romanos Piperakis

Head of Quantitative Execution Services, Asia Pacific

Goldman Sachs

10:0010:30

Risk premia strategies - exploring alternative approaches

10:00 - 10:30

Puneet Singh

Head of APAC Quant

Societe Generale Corporate and Investment Banking

10:3011:20

Panel discussion: Questioning the quant drought

10:30 - 11:10

George Hong

Head of Asia-Pacific Quantitative Strategies and Global Product Head for Equities Modelling

Credit Suisse

Ben Dunn

Chief Investment Officer, Quantitative Strategies

EASTSPRING INVESTMENTS

Lu Yan

Head of quantitative and alternative investment department

CSOP

Mr. Lu Yan is currently the head of Quantitative and Alternative Investment Department at CSOP and managing the firm’s equity funds. He has more than twelve years of investment management and trading experience. Mr. Lu's views are frequently featured in industry periodicals and the press, including The Wall Street Journal, The New York Times, Reuters and Bloomberg. Mr. Lu earned his Bachelor’s Degree in Finance at Tsinghua University. He also holds the designation of CFA.

Olivier Alvarez

Managing Director

Aquanthus Capital Management

Sofiane Rinaz

Head of AeJ fixed income quantitative research

Nomura

Sofiane graduated in 2001 from the University of Michigan with a MS in Financial Engineering, followed by a PhD in Economics from Kyoto University in 2006 on zero-interest rate modelling. Since 2006, he has held various roles in Tokyo, Hong Kong and Singapore, focusing on exotic hybrid derivatives pricing.

11:2011:40

Morning networking break

11:10 - 11:40

11:4012:20

Stream

Portfolio/investment

A Factor Based Market Sentiment Indicator – Introduction to Qontigo’s ROOF Scores

11:40 - 12:20

Olivier D'Assier

Head of applied research, APAC

Qontigo

Olivier d’Assier is Head of Applied Research, APAC for Qontigo, responsible for generating unique regional insights into risk trends by leveraging and analyzing Axioma's vast data on market and portfolio risk. d’Assier’s research helps clients and prospects better understand and adapt to the evolving risk environment in Asia Pacific. The author of periodic special reports, d’Assier produces regional and global research on market and portfolio risk.

Previously Managing Director of APAC, Olivier was responsible for the performance, strategy, and commercial success of Axioma’s operations in Asia Pacific. Upon joining in 2006, d’Assier brought Axioma’s key innovations to the Asia Pacific marketplace via the development of Asian-centric products.

Prior to joining Qontigo, d’Assier spent seven years at Barra Inc. as VP for Asia Pacific and President of Barra Japan before servings as Executive Director for Asia Pacific for MSCIBarra.

In addition to his experience managing quantitative solutions, d’Assier spent nine years in investment banking as a sales trader in Europe and Asia for Nikko Securities and SMI Securities. He is a sought-out public speaker and regular guest on business and financial news programs with CNBC and Bl oomberg TV, providing expert commentary on investment performance, risk management, and industry challenges.

d’Assier has lived in Asia since 1996 and has worked in Singapore, Hong Kong, and Tokyo.

Stream

Model risk/derivatives

Quantifying model performance

11:40 - 12:20

Jan F. Baldeaux

Model validation quant - core model development

ANZ Banking Group

12:2013:00

Stream

Portfolio/investment

Latest alpha generation strategies for a bear market

12:20 - 13:00

Paul Sandhu

Head of multi-assets quant solutions and client advisory, Asia Pacific

BNP Paribas Asset Management

Paul Sandhu is the Head of Multi-Assets Quant Solutions (MAQS) and Client Advisory Asia Pacific.  Based in Hong Kong, he leads the region’s MAQS business to further deepen the firm’s existing broad range of investment capabilities in this space; and is responsible for the development and implementation of customized investment strategies and solutions for institutional investors and wholesale distribution channels in the region.

Paul’s remit also includes developing and managing multi-asset quantitative strategies and structured solutions utilizing cutting edge investment science in their portfolio construction, such as artificial intelligence and machine learning.  He manages a team of investment professionals, solution structurers and quantitative analysts to build customized investment solutions aligned with client objectives and adhering to local requirements. 

Prior to joining BNPP AM, he was Head Investment Solutions at a global asset manager and responsible for building the firms third party asset management and consulting business in Asia Pacific.  Utilizing a solutions oriented approach Paul led the company to expansion in markets such as Japan, China, Australia, as well as South East Asia.

Paul graduated from the University of British Columbia with a specialization in Theoretical Physics.  He focused his research on the theory of black holes, where he created and analyzed simulations of a stars evolution by solving Einstein’s equations using numerical techniques. He is also an Associate of the Society of Actuaries.

Stream

Model risk/derivatives

Risk-recycling with volatility derivatives

12:20 - 13:00

This presentation will discuss some of the practical difficulties in hedging an equity exotics book, particularly in certain Asian markets where structured products hedging activity may have a significant impact on the vanilla markets. We will discuss some risk recycling trades that form part of a trading desk’s tools for managing volatility risk.

Olaf Torne

APAC Head of structured products and strategies quantitative analytics

Barclays

13:0013:40

Networking lunch

13:00 - 13:40

13:4014:10

Stream

Portfolio/investment

Systemic Portfolio Diversification

13:40 - 14:10

Marko Weber

Assistant Professor in Mathematical Finance

National University of Singapore

Stream

Model risk/derivatives

Risk managing with stochastic local volatility

13:40 - 14:10

Alex Cohen

Head of APAC Equity Derivatives Quantitative Analytics

UBS

Alex Cohen is currently APAC Head for Equities Derivatives Quantitative Analytics at UBS Investment Bank, based in Hong Kong. He has been working as an equities derivatives quantitative analyst at UBS since 2010, with roles in EMEA and APAC. His focus has been on developing and enhancing equities models at UBS, collaborating with global counterparts, focusing particularly on stochastic volatility models (pure stochastic volatility and stochastic local volatility) and light exotics derivatives on variance and volatility.

In terms of academics, he studied in France at ENSIMAG engineering school for Finance, Mathematics and Computer Science, followed by a Probability and Finance Master at Paris 6 University.

14:1015:10

Stream

Portfolio/investment

Generating performance with factor investing and forecast of market cycles

14:10 - 14:40

Lu Yan

Head of quantitative and alternative investment department

CSOP

Mr. Lu Yan is currently the head of Quantitative and Alternative Investment Department at CSOP and managing the firm’s equity funds. He has more than twelve years of investment management and trading experience. Mr. Lu's views are frequently featured in industry periodicals and the press, including The Wall Street Journal, The New York Times, Reuters and Bloomberg. Mr. Lu earned his Bachelor’s Degree in Finance at Tsinghua University. He also holds the designation of CFA.

Potential for quant strategies in China

14:40 - 15:10

Ben Dunn

Chief Investment Officer, Quantitative Strategies

EASTSPRING INVESTMENTS

Stream

Model risk/derivatives

Balance Sheet XVA by Deep Learning and GPU

14:10 - 15:10

Two competing XVA paradigms are a semi-replication framework and a cost-of-capital, incomplete market approach. Burgard and Kjaer once dismissed an earlier incarnation of the Albanese and Crépey holistic, incomplete market XVA model as being elegant but difficult to solve explicitly. We show that the model (set on a forward/backward SDE formulation) is not only elegant, but also able to be solved efficiently using GPU computing combined with AI methods in a whole bank balance sheet context. We calculate the Mark-to-Market process cube (or its increment, in the context of trade incremental XVA computations) using GPU computing and the XVA process cube using Deep Learning (including joint ES and VaR) Regression methods. We illustrate the model's refined XVA calculations and alternatives using an empirical study, and discuss sensitivities (Greeks) in machine learning models for XVA.

Rodney Hoskinson

Director, Quant Analyst, Strategic Trading and Funding

ANZ Global Markets

Rodney Hoskinson is a frequent speaker at international quantitative finance conferences and a Director in the front office quantitative team for the ANZ Banking Group’s Global Markets business. In this role based in Singapore, he is responsible for XVA development and support for the Group's in-house Sky trading and risk platform. Before joining ANZ he was manager, KVA desk quantitative analysis in Fixed Income, Currencies and Commodities at National Australia Bank in Sydney. Previously he was a Director at PwC Australia focussed on financial services consulting and audit support in market risk and economic capital. He holds a PhD in Finance from EDHEC Business School.

15:1015:30

Afternoon break

15:10 - 15:30

15:3016:00

Leveraging Maritime & Trade Data in Quant Strategies

15:30 - 16:00

Rahul Kapoor

Global head of commodity analytics & research, maritime & trade

IHS Markit

Rahul Kapoor is the Global Head of Commodity Analytics Research Maritime Trade at IHS Markit Based in Singapore, he leads an integrated commodity analytics research, data science and product management teams With subject matter expertise in the maritime industry and financial markets, Rahul is a thought leader with proven credentials in market analysis forecasting, shipping economics and commodity market developments He is a regular speaker at major conferences and client events globally, and is frequently interviewed by both print and visual media Most recently, he was at Bloomberg Intelligence and earlier headed Drewry Financial Research Services Ltd He has also worked as senior equities analyst at RS Platou Markets and Nomura Rahul holds a Bachelor of Science in Marine Engineering from BITS, Pilani and a Postgraduate in Management from IMI, New Delhi, India

16:0016:40

Rating Transition Models: Implied Dynamics, Challenges and Applications

16:00 - 16:40

Sebastien Hitier

Global head of credit quantitative modelling

BNP Paribas

Sebastien Hitier is the global head of credit quantitative modelling at BNP Paribas.

Since 2006, he creates models for the pricing, risk management and relative value of financial instruments and the development of the infrastructure required to provide such services.

Prior to this, he did similar work for JPMorgan. Sebastien studied applied mathematics at Ecole Centrale Paris.

16:4017:20

Artificial Neural Network for Option Pricing with Asymptotic Correction

16:40 - 17:20

This presentation proposes efficient pricing method using artificial neural network combined with already known approximation formulae. This method only requires existing pricer and some approximation to it, thus makes it easy to implement.

Masaki Nakabayashi

Quantitative analyst, risk management

Mizuho Securities

Masaki Nakabayashi is quantitative analyst in risk management department at Mizuho securities, base in Tokyo. His focus has been on model validation, development of risk methodology and recently on data science approach in risk management. He engages in establishing model risk governance framework. He is also responsible for designing business process automation. Prior to joining Mizuho, he experienced trading of US treasuries in Nomura securities Tokyo.

17:2017:30

Chairman's closing remarks

17:20 - 17:30

Mauro Cesa

Quantitative finance editor

Risk.net

Mauro Cesa is quantitative finance editor for Risk.net, based in London. He leads the team responsible for the publication of quantitative research across all brands of the division. The section of Risk.net he manages, Cutting Edge, publishes peer-reviewed papers on derivatives, asset and risk management, and commodities.

Mauro holds a degree in economics from the university of Trieste and a masters in quant finance from the University of Brescia.