Quant Summit Asia - Key Topics
Key Themes of Quant Summit Asia
Head of Asia-Pacific Quantitative Strategies and Global Product Head for Equities Modelling
Global Head of Quantitative Execution Services
Head of Quantitative Execution Services, Asia Pacific
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.
Quantitative Finance Editor
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.
CRO and head of quantitative research
Managing Director, Global Head of Credit and Commodities Quantitative Analysis
Youssef Elouerkhaoui, Managing Director, Global Head of Credit and Commodities Quantitative Analysis, CITI
Youssef Elouerkhaoui is a Managing Director and the Global Head of Credit and Commodities Quantitative Analysis at Citi. His group supports all modelling and product development activities across businesses. He is also in charge of CVA, Funding and Regulatory Capital for his businesses. Prior to this, he was a Director in the Fixed Income Derivatives Quantitative Research Group at UBS, where he was in charge of model development for the Structured Credit Desk. Before joining UBS, Youssef was a Quantitative Research Analyst at Credit Lyonnais supporting Interest Rates Exotics. He is a graduate of Ecole Centrale Paris and he holds a PhD in Mathematics from Paris-Dauphine University.
Global Head of Scientific Implementation
BANK OF AMERICA MERRILL LYNCH
Daniel Giamouridis, PhD, is the Global Head of Scientific Implementation (Scientific Implementation Group, SIG), Global Portfolio Products at Bank of America Merrill Lynch in London. He heads a Team of primarily PhD-trained scientists.
Daniel joined Bank of America Merrill Lynch in January 2016, in Global Portfolio Products in EMEA. He was instrumental in conceptualizing and launching the SIG, and Headed EMEA SIG until August 2017, when he assumed the role of Global Head. Prior to joining Bank of America Merrill Lynch Daniel was an Associate Professor of Finance at the Athens University of Economics and Business and had worked closely for over 10 years with institutional investors, investments banks and asset management organizations in Europe and in the United States in areas covering quantitative equity research, hedge fund replication, pension asset management, and derivatives valuation. His research has appeared in academic and practitioner journals like the Journal of Banking and Finance, European Financial Management, Journal of Financial Research, Journal of Asset Management, Journal of Futures Markets, Journal of Risk, Journal of Derivatives, Journal of Alternative Investments, Journal of Portfolio Management. Daniel’s research has also received grants from professional organizations such as Amundi and the Institute for Quantitative Investment Research (INQUIRE UK) as well as from academic institutions such as CAREFIN-Bocconi and AUEB.
Daniel holds a PhD in Finance from Cass Business School and a MEng in Mechanical Engineering from NTUA. He is currently affiliated as a Visiting/Associate member of staff with Cass Business School (City University), Lancaster University Management School (Lancaster University) and EDHEC-Risk Institute (EDHEC Business School). Daniel is a member of the Governing Board of the Institute for Quantitative Investment Research (INQUIRE) UK and also a Co-Editor of the Financial Analysts Journal, the Journal of the CFA Institute.
David Jessop, Managing Director, Global Head of Equities Quantitative Research, UBS
David Jessop is the Global Head of Equities Quantitative Research at UBS. His areas of research include portfolio analysis and construction, style analysis and risk modelling. He also helps clients understand, use and implement the quantitative tools available from UBS. David joined UBS in 2002. Prior to this, he spent seven years at Citigroup as Head of Global Quantitative Marketing. Before moving to the sell side he spent six years at Morgan Grenfell Asset Management, where he managed index funds, asset allocation funds and also an option overwriting fund. David graduated from Trinity College, Cambridge with an MA in Mathematics.
Managing Director, Head of Data Analytics, Electronic Market Solutions
STANDARD CHARTERED BANK
In his role as Managing Director and Head of Data Analytics, Electronic Market Solutions at Standard Chartered Bank, Alexei is responsible for providing data analytics services to Financial Markets sales and trading.
He joined Standard Chartered Bank in 2010 from Barclays Capital where he managed a model development team within Credit Risk Analytics. Prior to joining Barclays Capital in 2004, he was a senior quantitative analyst at Dresdner Bank in Frankfurt.
Alexei holds MSc in Theoretical Nuclear Physics from the University of Kiev and PhD in Mathematical Physics from the Institute for Mathematics, National Academy of Sciences of Ukraine.
He was the recipient of the 2019 Quant of the Year award from Risk magazine.
Global Head of Quantitative Research
Antonia Lim has led the global quantitative research team for Barclays ring-fenced bank since 2012, designing its asset allocation policy, products and investment tools. She has 18 years’ experience in investment management, is a CFA charterholder and is on the management committee of the not-for-profit organisation London Quant Group. Antonia holds a Masters in Physics from the University of Oxford where she was awarded an academic scholarship. Happy lending intuition, pragmatism and curiosity to the abstract and complex, Antonia enjoys cross-disciplinary ideas that connect the dots and ultimately making those ideas useful.
Global head of quantitative analytics
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 market risk. Fabio is also adjunct professor at NYU, and a former CME risk committee member. 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
Professor of Finance
EDHEC BUSINESS SCHOOL
Riccardo Rebonato, Professor of Finance, EDHEC BUSINESS SCHOOL
Riccardo Rebonato is Professor of Finance at EDHEC Business School and author of journal articles and books on Mathematical Finance,covering derivatives pricing, risk management and asset allocation. Prior to this, he was Global Head of Rates and FX Analytics at PIMCO.
Academically, he is an editor of financial journals and was until 2016 a visiting lecturer at Oxford University and adjunct professor at Imperial College's Tanaka Business School. He has served on the board of directors of the International Swaps and Derivatives Association (ISDA) and the board of trustees for the Global Association of Risk Professionals (GARP). He has been head of derivatives trading, head of research and head of market risk management at different international banks. He holds a doctorate in nuclear engineering and a PhD in condensed matter physics/science of materials from Stony Brook University, NY.
NYU COURANT & TANDON, BARUCH COLLEGE & RUTGERS UNIVERSITY
Gordon Ritter is a Professor at NYU Courant and Tandon, Baruch College, and Rutgers, and an elite buy-side quantitative trader / portfolio manager (selected as Buy-Side Quant of the Year, 2019). His scholarly research papers have 10,000+ downloads; he is an expert in statistical machine learning and its applications in finance. Most recently Gordon founded his own quantitative trading firm; before that he was a senior portfolio manager at GSA Capital where he designed, built, and managed statistical arbitrage strategies in multiple geographies and asset classes, and directed research in GSA's New York office. (GSA won the Equity Market Neutral & Quantitative Strategies category at the Eurohedge awards four times, with numerous other awards.) Prior to GSA, Gordon was a Vice President of Highbridge Capital and a core member of the firm's statistical arbitrage group. Gordon is frequently an invited speaker and typically speaks at 20+ conferences per year. Prior to entering the hedge fund industry in 2007, Gordon completed his PhD in mathematical physics at Harvard University, where he worked with Arthur Jaffe and published papers in international journals across the fields of quantum computation, quantum field theory, and abstract algebra. He earned his Bachelor's degree with honours in Mathematics from the University of Chicago.
Global Head of Quantitative Execution Services
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.
Rainer Michael Preiss
Taurus Family Office
Currently serves as Portfolio Strategist at Taurus Family Office. Taurus is Multi Family Office based in Singapore which advised on USD 2.1 billion in Assets under Advise.
Previously, Chief Equity Strategist at Standard Chartered Bank and a member of the bank’s Global Investment Council where he was responsible for the” house-view” on Equities.
Mr. Preiss has 25 years experience in global financial markets have worked in London, Paris, Hong Kong, Middle East and Africa and Singapore in various investment and research functions.
Mr. Preiss is a graduate of the European Business School with a major in Finance and international economics, having studied at the schools centers in London, Paris and Bologna, Italy in the respective local languages. In addition he studied in Japan, Korea, and China.
Mr. Preiss has taught extensively on Finance and Wealth Management in Asia, Middle East and Africa.
He has also been a guest lecturer at the Chinese University of Hong Kong where he taught on Technical Analysis as well as a course on Banking & Financial Institutions with a focus on China's Financial System. In Singapore he taught a course on Credit Derivatives at SMU (Singapore Management University)
Mr. Preiss has also been invited to teach and has designed courses for The Graduate School of The People's Bank of China, China's Central Bank and is currently an Adjunct Researcher at Singapore’s NTU – Nanyang Technology University Centre of African Studies. The mandate of the NTU-SBF Centre for African Studies (CAS) is to develop awareness of Africa as an investment destination, and to develop thought leadership and capacity for doing business in Africa.
Previously he was advisor and founding member of the Asian Bond Market Forum an initiative by the Thai Ministry of Finance. In Singapore he is the co-founder of the Blockchain and Crypto Association of Singapore.
Mr. Preiss is also a frequent contributor to International media like CNBC and Bloomberg TV and a Columnist for FORBES Magazine global edition www.forbes.com as well as local editions in Indonesia, Vietnam and Kazakhstan. In Vietnam he is a columnist and editorial adviser to The Manager Magazine, http://nhaquanly.vn/
- Applications to pricing
- Risk management
- Asset management
- Interpretability issues
- Natural language programming (NLP)
- Quantum computing
- Smart beta
- Factor investing
- LIBOR reform
- Autocallable products
- Quanto derivatives
- Model risk
- Volatility modelling
- Volatility products
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Quants ‘running into walls’ with AI interpretability
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This two-day workshop has been designed to delve into best practice approaches to building a model risk framework. Attendees will be equipped with a thorough understanding of model risk now and into the future, including the impact of machine learning.
Over three days this course will provide in-depth training on all aspects of the revised FISD/FIA examination syllabus, providing attendees with a comprehensive understanding of the technical and administrative aspects of the market data industry.