Market-generator models

Market-generator models

Market-generator models “live demo”

Thursday July 2
10.30 - 11.30 AM (GMT) 


This session will hear from Blanka Horvath, finance lecturer at King’s College London and co-winner of Risk.net’s ‘Rising star in quant finance’ award, Alexei Kondratyev, head of the data analytics group at Standard Chartered Bank, and his colleague Christian Schwarz, executive director in the same team. They will introduce a technique to generate synthetic market data that preserves the statistical properties of the original data and look at the impact of Covid 19. 

  • The Market Generator - retraining the generative models on the time series that include recent market stress. 
  • Did we learn anything new? Did the models live up to the expectations?
  • Data Anonymisation – generating synthetic data from the models trained on the medical datasets (as in our recent paper). 
  • New use cases that gain importance following the COVID-19 crisis.


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The Risk Live virtual week is complimentary. You can register for one session or all sessions across the week. 

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Christian Schwarz

Executive director, data analytics group

Standard Chartered Bank

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Alexei Kondratyev

Managing director, global head of data analytics, CCIB

Standard Chartered Bank

In his role as Managing Director and Global Head of Data Analytics, Alexei is responsible for providing data analytics services to Corporate, Commercial and Institutional Banking division of Standard Chartered Bank.

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.

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Blanka Horvath

Lecturer in financial mathematics

King's College London

Dr Blanka Horvath is a Lecturer at the Department of Mathematics, King's College London. Blanka’s current research interests evolve around a new generation of option pricing models (Rough Stochastic Volatility models), and their asymptotic and numerical properties. Prior to her current appointment, she was at ETH Zurich, specialising in functional analytic and numerical properties of SABR-type stochastic models. Blanka holds a PhD in Mathematical Finance from ETH Zurich, a Diploma in Mathematics from the University of Bonn and an MSc in Economics from the University of Hong Kong.