Fall Agenda 2022
Fall Agenda 2022
Breakfast Briefing
Breakfast briefing
08:30 – 09:10
What if – how advanced data analytics can prepare your firm for the unexpected under changing market conditions
Sponsored by:
Allen Whipple is Managing Director and one of the founders of ActiveViam. In his current role, he oversees commercial operations and is focused on expanding ActiveViam’s channel partners, including OEMs, Value Added Resellers (VARs) and integrated software vendors (ISVs). By joining forces with partners, Allen ensures that ActiveViam expands its offering within an ecosystem of integrated solutions to better address customer needs. Previously Allen was a co-founder of Summit Systems and at various times managed development, financial engineering, and the Americas.
Amit is Senior Vice President and head of market risk reporting strategy in The Bank of New York Mellon. Amit is responsible for defining and executing the strategy for reporting and analytics automation as well as implementation of regulatory changes related to market risk. Amit is key risk technology integrator, directing data, process, and measurement efficiencies to ensure error free and timely risk reporting and analytics. Currently, Amit is heading the implementation of FRTB for the bank. Before joining BNY Mellon, Amit worked at Goldman Sachs for close to 6 years in different roles across market risk and capital planning and led several initiatives related to capital optimization and streamlining of tech infrastructure to improve risk/capital analytics. Amit’s areas of expertise include regulatory capital calculation, capital planning, market risk management, risk analytics, system integration and automation strategy.
Amit holds MBA in finance and systems from Indian Institute of Management, Lucknow and bachelor’s degree in electronics and communication engineering from VIT University, India. Amit also holds FRM designation - Certified by the GARP.
Breakfast briefing
08:30 – 09:10
Mitigating risk: identifying the best strategies for building an efficient asset allocation program for 2023 and beyond
BREAKFAST BRIEFING
As the global marketplace faces unprecedented inflation rates and ongoing political unrest, investors and asset owners will need to draw on a new set of skills and techniques in order to future proof their funds over the coming 18 months as teams anticipate a possible recession and identify where the opportunities are, if any, for growth
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Outlining the key three strategic moves for asset managers and owners to prepare portfolios for the threat of a recession in 2023
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Why the Fed’s rate hikes do not spell disaster for bond markets and how asset owners can still ensure returns
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Examining risk versus reward for higher interest bonds and equity driven portfolios
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Why diversification is key, and growth stocks should be managed conservatively
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Key market indicators and tipping points for asset managers to move to fixed income solutions
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US mortgage loans and unlegalized entities: overcoming the lack of transparency on leveraging the system
Max is responsible for defining the next generation of multi-asset investment processes for Franklin Templeton Investment Solutions. Previously, he was president and chief investment officer of the start-up asset manager AlphaTrAI, where he harnessed artificial intelligence to build alternative strategies for traditional and digital assets. Before that, he was head of asset allocation at the asset management arm of Pacific Life Insurance for seven years. Prior to Pacific Life, Max was a portfolio manager with Mellon Capital’s multi-asset group and a founding member of Coefficient Global, a quantitative macro hedge fund. Outside of work he’s an amateur racecar driver.
Chris Callies has partnered with senior officers of major financial institutions to address growing complexity in the nature of financial risk and its propagation across geographic, asset class, market structure, and operational boundaries. After initially working with institutional asset managers, commercial and investment banks, and multi-family offices through the financial crisis that began in 2007–08, her professional domain later expanded to alternatives managers, insurance firms, non-bank lenders and regulators. Callies has advanced through a series of senior roles at Credit Suisse, Merrill Lynch and Bessemer Trust, including chief investment strategist, chief strategist, head of market risk strategy, and acting chief investment officer, with oversight of more than $40 billion in traditional and alternative assets. She is a dedicated advocate for fully integrated, flexible, proactive risk analytics as a vital tool for effective capital planning, product development and sustainable returns. Callies holds a bachelors degree from Northwestern University in Evanston, Illinois, with a sub-specialty in advanced applied mathematics.
Tanmoy is the Chief Risk Officer for Waterfall Asset Management a $12BN Hedge Fund specializing in Structured Credit in both Public and Private Markets. Prior to joining Waterfall, Tanmoy was the Head of Risk, North America and Senior Data Scientist at CQS, a $20BN Multi Strategy Credit Hedge Fund based out of US and Europe, where he managed Risk for the Credit Businesses and led Data Science projects for the Investment and Marketing Teams. Before CQS, Tanmoy worked at Axonic Capital, a $5BN Credit Hedge Fund where he was the Chief Risk Officer and the Head of Quantitative Research. Tanmoy has prior work experience at Sorin Capital and at Capital One. Tanmoy received a Master’s in Financial Engineering from Cornell University, an MBA from University of Delhi and a Bachelors in Chemical Engineering from Indian Institute of Technology.
Rahul Ajmera is a Senior Risk leader at Liberty Mutual Investments and spearheads risk management for global fixed income portfolios at LMI, overseeing all aspects of portfolio oversight, risk management, modeling and analytics processes, relative value analysis, and stress testing techniques used for asset allocation, portfolio management and reporting purposes.
Rahul is a seasoned Investment professional with over 15 years of experience on both buy and sell side, He specializes in Risk management across public and private markets, his expertise spans Portfolio construction and Asset allocation, Hedging strategies, Research and Modeling, and cross-asset exposure (Fixed Income, Equities, Derivatives, Private Equity/Debt, and Hard Assets).
Racim Allouani is head of portfolio construction and risk management across KKR's public credit, private credit and special situations businesses. Prior to begining his current role, he had a similar responsibility in the hedge funds business. Prior to joining KKR, Allouani spent five years at Lombard Odier as a senior quantitative portfolio analyst and risk manager, covering equities and credit strategies. Prior to that, he worked at Arden Asset Management in the portfolio optimisation and risk management group. Allouani has held previous positions at Deutsche Bank in equity research and WestLB in fixed income research. He earned masters degrees in international economics from Sciences Po, Paris, in financial engineering from Cornell University, and a bachelors degree in applied mathematics and computer science from Ecole Nationale des Ponts Et Chaussees.
Breakfast briefing
08:30 – 09:10
Translation – from science to investment risk strategy
Sponsored by:
- Breaking down the climate – what are the current environmental changes impacting us now?
- Urgency – understanding the true risks and the speed at which they are coming
- Leadership – making the case for adding board members with climate experience
- Liability risk – how can lack of climate knowledge lead to damage payouts?
Zachery Halem is the Director of Lazard’s Climate Center. In this capacity, he researches and advises clients on climate transition related matters, including climate risk quantification and mitigation, carbon abatement measures, structuring green or ESG-linked securities, and carbon offset markets. He previously served as a researcher in MIT’s Laboratory for Financial Engineering, where he employed securitization models to finance emerging sustainable and energy-efficient technologies, such as nuclear fusion. He has also started companies in the payment processing and drone space. He holds a B.S.E. (with high honors) in operations research and financial engineering from Princeton University, and a S.M. in operations research from MIT.
Heather Boushey is a member of President Biden’s Council of Economic Advisers. Heather is co-founder of the Washington Center for Equitable Growth, where she was President and CEO from 2013 – 2020. She previously served as chief economist for Secretary Clinton’s 2016 transition team and as an economist for the Center for American Progress, the Joint Economic Committee of the U.S. Congress, the Center for Economic and Policy Research, and the Economic Policy Institute.
Umar Ashfaq is an ESG research analyst at MSCI, where he co-leads the Americas ESG and climate research team. His sector focus is the air transport value chain, including aerospace & defense, airlines and air freight. His prior experience includes equity research and investment due diligence in emerging markets in the Middle East and Pakistan. He holds a master in environmental policy from Columbia University, and a B.Sc in math from Lahore University of Management Sciences (Pakistan).
Breakfast briefing
08:30 – 09:10
Registration opens
08:30 – 09:10
Registration opens
09:20 – 09:45
Fireside Chat: A CRO conversation
Kris Devasabai is the New York-based editor-in-chief of Risk.net. Previously, he was bureau chief and US editor of Risk magazine. He manages the editorial team. Prior to joining Risk, Kris covered hedge funds, asset management, cross-border investing and law for several publications.
Kris holds a bachelor’s degree in law and government from the University of Manchester, and he completed his legal training at the Inns of Court School of Law in London. He was called to the bar of England and Wales in 2003.
Jodi Richard is vice chair and chief risk officer of U.S. Bancorp, a well-respected financial services holding company with businesses across the United States, Canada and Europe. U.S. Bancorp is headquartered in Minneapolis and is the parent company of U.S. Bank, which is the fifth-largest commercial bank in the United States. U.S. Bancorp is also the parent company of Elavon, a leader in the payment processing industry. Jodi oversees all aspects of the company’s risk management activities, including operational risk, credit risk, market risk, model risk, compliance, AML/BSA, independent risk review and regulatory services. She became vice chair and chief risk officer in 2018 and is a member of the company’s Managing Committee, the highest-ranking executives within the organization.
Jodi’s financial career spans nearly 30 years. She joined U.S. Bancorp in 2014 as executive vice president and chief operational risk officer, managing the company’s operational risk management activities.
Before joining U.S. Bancorp, Jodi was executive vice president and head of operational risk and internal control for HSBC North America. She was there for 11 years, serving in enterprise risk roles including head of risk governance and administration and director of regulatory compliance.
Jodi also spent 12 years at the Office of the Comptroller of the Currency (OCC), where she served as national bank examiner, specializing in retail credit and credit card bank supervision. Between two periods with the OCC, she was chief compliance officer for Sears National Bank.
At U.S. Bancorp, Jodi is executive sponsor of Business Resource Group Board. She also is the executive sponsor of U.S. Bank Spectrum LGBTQ BRG and Women of Risk chapter of the U.S. Bank Women BRG.
Jodi serves on the boards of Fairview Health Services and Catholic Charities of St. Paul and Minneapolis. She is active in the financial service industry, serving as chair of the board of directors of the Risk Management Association. She also is on the Advisory Committee for Minnesota Center for Financial and Actuarial Mathematics. She is a frequent speaker at risk industry events.
Jodi is a graduate of the Leading Women’s Executive program and was part of American Banker’s Most Powerful Women in Banking Top Team Award in 2013, 2015, 2019 and 2020. She was named Best Technology Executive in 2017 by Waters Technology. In 2017, U.S. Bank was named Operational Risk Bank of the Year by Risk.net.
Jodi holds a bachelor of arts degree in finance from the University of Northern Iowa.
09:50 – 10:00
Opening remarks: FX Markets
Joe Parsons is deputy editor on the global markets desk. He was formerly deputy editor at Global Custodian, and prior to that he was at The Trade.
10:00 – 10:50
Panel: The state of macro – big picture impacts on overall markets
- Trading in the world of volatility
- Are central bank moves helping to level inflation?
- The role of geo-political tensions on supply chains
- Ukraine impact on wheat supply
- China’s stop and start reopening plans
- Gas supply for Europe
Shahab Jalinoos is a Managing Director of Credit Suisse in the Investment Banking division, based in New York. He is Head of Macro Trading Strategy, covering FX, Rates and Emerging Markets.
Shahab joined Credit Suisse in September 2014 from UBS where he was Head of FX Strategy, Americas, responsible for G10 FX Strategy, with an emphasis on hedge funds and real money clients. Prior to that, Shahab worked in Singapore for six years, initially as an Asian strategist and proprietary trader at ABN AMRO and later as a portfolio manager at the volatility hedge fund Artradis. Shahab has also worked in London and Frankfurt since joining the market in 1994.
Shahab holds M.Sc. and B.Sc. degrees in Economics from the London School of Economics.
George Catrambone is Managing Director and Head of Trading for U.S., Canada and Latin America at DWS. The centralized trading team at DWS spans multiple asset classes (e.g., Equity, Credit, FX) and sits at the center of the investment process, sourcing liquidity solutions to meet Portfolio Managers investment goals. Most recently George also served as COO of Trading, Product and Fund Administration. He has held many roles since joining the firm in 2006 including: Alternatives, Compliance & COO, eventually joining BlackRock in 2012. Upon his return to DWS in 2013 George was a Senior member of the Equity Trading and Global Capital Markets team.
Lee Bartholomew was appointed Global Head of Derivatives Product R&D Fixed Income in December 2016. He is responsible for developing the existing portfolio of products and the evaluation as well as implementation of new products and services within FIC. He is responsible for leading the next phase of product innovation by building and managing Eurex product FIC research and development business.
Prior to joining Deutsche Börse, Lee was responsible for building out the flow structured rates (volatility and macro) trading business at Royal Bank of Canada. Before RBC, he was at Lloyds Banking Group where he held several senior trading positions within its Global Derivatives Trading business, responsible for market making GBP, EUR and USD vanilla and exotic interest rate derivatives to its clients. Lee Bartholomew holds degrees from Lancaster and Oxford university.
Throughout his career on Wall Street, Chandler has advised private businesses, hedge funds and asset managers on navigating the foreign exchange market, and most recently joined Bannockburn Global Forex as Managing Director and Chief Market Strategist in their New York City office.
Keep up with Marc Chandler's ongoing analysis on his blog, www.marctomarket.com, or follow him on Twitter, @marcmakingsense.
10:50 – 11:40
Panel: UMR phase 6 – to clear or not to clear
- Clear trades – free up cash for other growth-related strategies
- Connectivity – trades going straight to the CCPs
- Impact of UMR 6 deadline on clearing
- Increase in NDF client clearing volume
Joe Parsons is deputy editor on the global markets desk. He was formerly deputy editor at Global Custodian, and prior to that he was at The Trade.
Michael O'Brien is Managing Director, Head of Global EMD Trading at Artisan Partners and former Vice President and Director of Global Trading of Eaton Vance Management , overseeing a team responsible for best execution of all trades for the Global Fixed Income department as well as other foreign exchange spot and hedging trades for other Eaton Vance investment teams.
In addition, he is responsible for trading-related research and broker-dealer relationships for the Global Fixed Income department.
Prior to joining Eaton Vance in 2005, Michael was affiliated with Wellington Management Company for two years and spent three years at Brown Brothers Harriman.
Michael earned a B.A. in economics and Spanish from the Colby College and an M.S. in finance from the Carroll School of Management at Boston College. He is a CFA charter holder and a member of the Boston Security Analysts Society.
Leah Mallas is the Global Head of FX Prime Brokerage and FX Clearing at J.P. Morgan. She has held this position since late 2017 and is responsible for the global product management and development of the business.
A 17 year veteran of the firm, Leah has held a variety of internal roles within the bank managing client service teams, in addition to an external trading management role at Millennium Partners.
Leah holds a Bachelor of Science from the Smeal College of Business at The Pennsylvania State University.
11:40 – 12:00
Morning networking break
12:00 – 12:50
Panel: Execution and transaction costs – a clearer look at real market conditions
- Fill Ratio – are orders being successfully filled?
- Price discovery – using real-time firm limit order liquidity market data
- Last look – why lower latency trading can eliminate the hidden risk of rejections
Christopher is co-head of Global G10 Spot and Americas Emerging Markets (EM) Foreign Exchange (FX) One Delta Trading. He is also responsible for the FX and Commodities Systematic Market Making business. He is a member of the Regional Securities Division Automated Trading Controls Committee (Americas). Previously, he worked in FX Strats, FX Spot Trading and FX Technology. Christopher joined Goldman Sachs in 2001 as an analyst and was named managing director in 2011. Christopher is chairman of the Board of LiquidityMatch LL, a bank-owned consortium for FX aggregation and execution services.
Christopher earned a BA in Computer Science from Cornell University in 2001 with a concentration in Math and Business.
John Stead is global head of pre-sales at smartTrade Technologies. He and his team are responsible for understanding client business requirements and showing how smartTrade can add long-term demonstrable value. Stead has over 15 years of experience in e-FX, working with sell-side clients, real money, brokers and hedge funds. As well as FX, he is particularly focused on the crypto market, the synergies between the asset classes and the benefits it can bring to the wider industry.
Phil is on the executive team, responsible for oneZero’s institutional business expansion. Before joining oneZero, he served as CEO of FXall, lead the FX Rates and Credit business for Thomson Reuters, and was Managing Director of Global FX Derivatives Trading at JP Morgan. He has expertise in start-up ideation, attracting strategic investors, capital raising from the private equity community, acquisitions, public offering, company sale, merger integration, and turnaround.
Joe Parsons is deputy editor on the global markets desk. He was formerly deputy editor at Global Custodian, and prior to that he was at The Trade.
12:50 – 13:50
Distilling the GenAI value proposition for FS risk leaders
Fireside chat
Sponsored by:
The GenAI landscape is marked by complexity and uncertainty, as well as opportunity and innovation. What are the practical applications of AI in the risk space? How can GenAI capabilities, and advanced decision-making revolutionise risk management. During this fireside chat we'll explore AI's impact on various risk domains, and its role in ensuring a secure future.
Sven Sandow is the Global Head of Credit and Operational Risk Analytics at Morgan Stanley. During his 20-year career in the financial industry, Sven has worked in various quantitative modeling, risk management, and capital management capacities. Prior to Morgan Stanley, he worked at Merrill Lynch and Standard & Poor’s. Before he joined the financial industry, Sven worked as a physicist at the Virginia Polytechnic Institute and the Weizmann Institute of Science. He has been an active researcher in physics, finance, and machine learning. His research has been published in academic journals, and he coauthored a book on learning from data. Sven holds a Ph.D. in physics from the Martin-Luther-University Halle-Wittenberg in Germany.
13:50 – 14:40
Panel: Trade automation – bringing FX into the modern world
- Cloud-based – how can off-site white label systems improve trader experience?
- Cost reduction – how all-in-one systems cut expenses of end-to-end workflows
- Centralised data – for better price discovery and risk management tools
Rich is SVP, Global Head of FX Solutions at KX focused on the strategy and delivery of its FX Trading, Analytics, Risk Management and Post Trade solutions. Prior to joining KX Rich was at UBS Asset Management where he was Managing Director and Head of Risk Advisory, Multi-Asset Solutions and oversaw the development of the groups proprietary risk systems. Before UBS Rich held several roles at Refinitiv/Thomson Reuters including Global Head of FX Post Trade Services, Head of Automated Dealing Technology, and President of Reuters Consulting. Rich arrived at Reuters via the acquisition of Tibco Software where he delivered some of the industry’s first public web delivered eFX trading platforms. Prior to Tibco, Rich held various roles focusing on Market Data & Analytics at JPMorgan, Salomon Brothers and Merrill Lynch.
Andriy is a Head of Algo Development for Equities and FX at Precision Algos, Cantor Fitzgerald where he primarily focuses on the software development effort for the Equities and FX products. He also contributes extensively to Precision’s cross-assets algorithmic offering.
Andriy joined the Precision team from FXall/Thomson Reuters where he ran the FX SOR and algorithmic trading engine development. Prior to FxAll/Thomson Reuters, Andriy held a position of VP, Equities/Derivatives DMA & Quantitative Technologies at Jefferies. He has extensive experience in building algorithmic systems for trading Equities and FX.
Andriy graduated with a B.S. in Physics from the State University of Ukraine, Chernivtsi in 1996.
14:40 – 15:30
Panel: The evolution of liquidity – leveraging technology for optimal trade management
- Trends - How is the market evolving to deliver more control over the execution process?
- Innovation - How is technology contributing/transforming how the buy side accesses EM liquidity / or achieves best execution in EM?
- Measurements - The role of data and analytics to optimize liquidity profiles.
- What issues are likely to influence the choice of trading partners over the next few years?
BIO: Clinton Norton joined Euronext FX in 2020 as the Head of Sales for the Americas. Norton has spent the majority of his career working at major investment banks as a trader and in senior sales positions. He previously spent 12 years as Director of FX Sales at Barclays for the institution’s cross-asset electronic trading platform, known as BARX. Prior to Barclays, Norton worked at HSBC as a vice president of e-FX sales, and more than seven years before that as director of relationship management of FXall at Thomson Reuters, now known as Refinitiv. He began his career as an FX trader at Credit Suisse where he sat on the FX forward trading desk, FX orders desk and FX spot trading desk.
Jonathan Karlin is the global head of emerging markets FX trading at Wells Fargo, joining in 2022. He has more than 15 years in emerging markets trading having previously worked at Bank of America, Macquarie, and most recently at RBS / NatWest Markets as the head of emerging markets FX Trading in the US. He additionally has spent time on the board of directors at EMTA (Emerging Market Traders Association). Jonathan holds a B.S. in economics from Duke University.
Oskar Rogg is Head of Treasury, Americas for Credit Agricole CIB. He joined the bank in 2006 after stints at Ernst & Young/Cap Gemini, a fin-tech boutique and 10 years running a startup consulting firm. Oskar began his career at First Boston (now Credit Suisse) where he developed software, worked in municipal finance and traded repo and municipal GICs. He has authored 15 books and articles, including chapters on repurchase agreements in the Handbook of Fixed Income Securities and the Handbook of Treasury Securities. He is a graduate of Cornell University and holds Series 7, 63, & 24 registrations and a PMP.
15:30 – 16:00
Afternoon networking break
16:00 – 16:50
Panel: FX Options – de-risking derivative strategies
- Set-up – understanding the necessary documentation and execution processes
- Vanilla vs. Exotic – how can these options be used as a hedge?
- Volume – are we seeing regular enough flows?
- Switching from voice – will options trading fully automate?
Gagan Sehgal is the head of FX Linear and Non-Linear trading in North America at BNP Paribas, where he is responsible for building out the FX platform in the region. As part of his management responsibilities he is a member of the Global Markets Trading Executive Committee and Global Macro Executive committee in the Americas.
Prior to this appointment, Gagan ran the FX Options trading desk in the Americas and was a member of the Global FX Options Flow Committee that steered risk in the options portfolios. During this time, he helped build out systems and analytics to improve options pricing and risk management systems and led our efforts to grow the options franchise in the Americas.
Gagan joined the bank in 2019 from Goldman Sachs where he was responsible for trading vanilla, exotics and long dated vol products in the Pacific Rim Portfolio. He started his career in 2007 as a Latam Options trader at Merrill Lynch and subsequently ran the EUR book which was the biggest revenue generator at BAML.
Gagan received his engineering degree in India from the Army Institute of Technology, where he received a gold medal for meritorious academic performance. He also has an MBA from Columbia Business School. At Columbia he was the co-chair of the India Business Conference, which showcased key note speakers and panels including some of the foremost business and government officials of the country.
Stephen joined Greenwich Associates to head up the Derivatives and FX practice within the Market Structure and Technology team. He brings over 25 years of experience in the financial services industry to the role.
Prior to joining Greenwich, Stephen was a Vice President and head of Derivatives Product Management at Brown Brothers Harriman. He was responsible for defining BBH’s derivatives strategy, which included product development and prioritization of capital and technology investments.
He joined BBH in 2011, prior to which he was a research director in TowerGroup’s Securities and Investment practice. He analyzed business strategy and technology trends in the securities industry, with a particular emphasis on derivatives. He has also worked at State Street and Citi in a variety of operations, project, and technology management roles.
Stephen has represented the organizations he worked for on a number of industry working groups such as the Asset Manager Forum’s Collateral Management Committee and the International Swaps and Derivatives Association (ISDA) Portfolio Reconciliation / Dispute Resolution Working Group. He has also spoken at a wide variety of industry conferences, and has been quoted in media such as Global Custodian, Securities Finance, and others.
Stephen has a bachelor’s degree from Trinity College.
16:30 – 19:00
Closing remarks and networking drinks
Main Stage
Bringing the hottest topics to life across risk management, risk transfer and non-financial risk
09:15 - 12:15
09:15 – 09:20
Opening Remarks: Risk.net
09:20 – 09:45
Fireside Chat: A CRO conversation
Kris Devasabai is the New York-based editor-in-chief of Risk.net. Previously, he was bureau chief and US editor of Risk magazine. He manages the editorial team. Prior to joining Risk, Kris covered hedge funds, asset management, cross-border investing and law for several publications.
Kris holds a bachelor’s degree in law and government from the University of Manchester, and he completed his legal training at the Inns of Court School of Law in London. He was called to the bar of England and Wales in 2003.
Jodi Richard is vice chair and chief risk officer of U.S. Bancorp, a well-respected financial services holding company with businesses across the United States, Canada and Europe. U.S. Bancorp is headquartered in Minneapolis and is the parent company of U.S. Bank, which is the fifth-largest commercial bank in the United States. U.S. Bancorp is also the parent company of Elavon, a leader in the payment processing industry. Jodi oversees all aspects of the company’s risk management activities, including operational risk, credit risk, market risk, model risk, compliance, AML/BSA, independent risk review and regulatory services. She became vice chair and chief risk officer in 2018 and is a member of the company’s Managing Committee, the highest-ranking executives within the organization.
Jodi’s financial career spans nearly 30 years. She joined U.S. Bancorp in 2014 as executive vice president and chief operational risk officer, managing the company’s operational risk management activities.
Before joining U.S. Bancorp, Jodi was executive vice president and head of operational risk and internal control for HSBC North America. She was there for 11 years, serving in enterprise risk roles including head of risk governance and administration and director of regulatory compliance.
Jodi also spent 12 years at the Office of the Comptroller of the Currency (OCC), where she served as national bank examiner, specializing in retail credit and credit card bank supervision. Between two periods with the OCC, she was chief compliance officer for Sears National Bank.
At U.S. Bancorp, Jodi is executive sponsor of Business Resource Group Board. She also is the executive sponsor of U.S. Bank Spectrum LGBTQ BRG and Women of Risk chapter of the U.S. Bank Women BRG.
Jodi serves on the boards of Fairview Health Services and Catholic Charities of St. Paul and Minneapolis. She is active in the financial service industry, serving as chair of the board of directors of the Risk Management Association. She also is on the Advisory Committee for Minnesota Center for Financial and Actuarial Mathematics. She is a frequent speaker at risk industry events.
Jodi is a graduate of the Leading Women’s Executive program and was part of American Banker’s Most Powerful Women in Banking Top Team Award in 2013, 2015, 2019 and 2020. She was named Best Technology Executive in 2017 by Waters Technology. In 2017, U.S. Bank was named Operational Risk Bank of the Year by Risk.net.
Jodi holds a bachelor of arts degree in finance from the University of Northern Iowa.
09:45 – 10:30
Keynote Panel: Leveraging technology for better and faster decision making in the risk function
Sponsored by:
- Using real-time insights and analytics to identify changing consumer behaviors and respond to unexpected demands
- Making the most of AI, ML & Big Data for improved visualization, predictions, and risk planning
- Managing risk when introducing new technologies and transitioning from legacy systems
- Developing digital fluency and technology-conversant risk workforce
Melissa Sexton is the Chief Risk Officer for BNY Mellon Wealth Management and BNY Mellon N.A. Bank, responsible for independent risk oversight of risks inherent to business activities, including investment, fiduciary, operational, reputational, credit, market, liquidity, and strategic risks.
Melissa joined BNY Mellon in May 2021 from Morgan Stanley where she was Co-Head of Field Risk and Supervision, responsible for risk management oversight of Wealth Management Financial Advisors. At Morgan Stanley, she also served as Head of Investment Risk, responsible for risk management oversight of the fee-based Investment Advisory business. Prior to Morgan Stanley, she was Chief Risk Officer at hedge fund Concordia Advisors. Earlier, she held multiple senior risk management and trading roles at Bank of America and hedge funds Ore Hill Partners and Lotsoff Capital Management.
Melissa holds a B.A. in Mathematics and Economics from Boston University and is a CFA Charter holder.
Dennis Sadak is Senior Vice President of Product Management for Numerix and oversees risk product offerings, market risk, counterparty risk, xVA and capital. Prior to Numerix, he held several positions at MetLife, portfolio management and derivative trading units, where he implemented numerous derivatives overlay strategies for their General Account portfolio and built out pricing and risk analytics for active derivatives hedging of their variable annuity program. Mr. Sadak earned a dual degree in Mathematics and Finance from Rutgers University and is a CFA charter holder.
Dharrini Gadiyaram is the Global Head of Enterprise Risk Products for Bloomberg, responsible for developing the business strategy across risk solutions including market risk, credit & counterparty risk and collateral management that are used by the sell-side and buy-side. Ms Gadiyaram joined Bloomberg in 2014 and has held various roles including product management for front office risk solutions and FX/commodity derivatives across the terminal, enterprise data and risk solutions. Prior to joining Bloomberg, Ms Gadiyaram led oil refined products and exotic derivatives trading for Credit Suisse, and has held roles in commodities quantitative research and risk technology at Credit Suisse and Lehman Brothers. She graduated in Computer Science and Engineering from the Indian Institute of Technology Madras.
10:30 – 11:00
Morning networking break
11:00 – 11:45
Keynote Panel: Geo-political risks – pandemics, emerging markets, war and the global financial system
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Inflation – how do supply shocks impact expectations for monetary policy?
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Growth – how do you think of measuring risk with a series of altering historical events?
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Asset implications – how are shifts in globalization impacting exposure and allocation?
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Private vs. Public - a comparison of risk and returns
- Resilience – where can we strengthen weaker points in global markets?
Kristen has 25+ years of experience in risk management and analytics at large buy- and sell-side firms. Currently serving as CRO for The Canada Pension Plan Investment Board. Kristen also served as CRO of Natixis Investment Managers from 2020-2022.
Prior to Natixis, she was the Chief Operating Officer of BlackRock's Risk and Quantitative Analysis (RQA) Group from 2012-2020. Kristen reported to the firm's Chief Risk Officer (CRO) and is a member of RQA's EXCO. Her responsibilities included ensuring RQA effectively manages market, counterparty credit, liquidity and operational risk on behalf of BlackRock and fiduciary clients. She was also responsible for RQA’s strategic technology, analytics and reporting initiatives partnering with BlackRock’s financial modeling and application development teams. Kristen has been a member of the Commodities Futures Trading Commission’s (CFTC) Market Risk Advisory Committee since 2014 and worked closely with BlackRock’s Vice Chairman / Head of Government Relations on risk-related regulatory issues.
Kristen previously worked for BlackRock’s CRO when he was co-heading BlackRock Solutions and focused on developing analytics for fixed income bonds and derivatives as well as portfolio risk analytics, such as VaR and stress testing. She also worked with BlackRock’s Institutional Client Business and Sovereign Wealth clients on risk measurement for AUM managed by BlackRock.
Kristen has also held senior positions in risk management at Goldman Sachs, PIMCO and Barclays Capital. Many of her risk roles have also involved addressing regulatory issues pertaining to risk management, including managing the Federal Reserve's initial stress testing exercise for Goldman Sachs during 2009. She has also done significant work developing analytics for market, credit and liquidity risk across cash and derivatives markets.
Kristen started her career in Supervision and Regulation at the Federal Reserve Bank of Boston and holds a MBA from Babson College and an undergraduate degree in accounting from the University of Massachusetts at Amherst.
Ms. Garcia joined Apollo in 2021 as the Head of Market Risk. Prior to joining Apollo, Ms. Garcia was an Executive Vice President and Portfolio Risk Manager at PIMCO from 2007-2021. While at PIMCO she served on various management committees, oversaw investment and counterparty risk, and led firm planning for LIBOR transition. Prior to PIMCO, Ms. Garcia was employed by Barclays Capital within the CDO Structuring group. She graduated from University of California, Berkeley with a Masters of Financial Engineering and Columbia University with a BS in Applied Mathematics.
Joseph Simonian is Senior Investment Strategist at Scientific Beta. Over the last 17 years Joseph has held senior portfolio management and research positions in several asset management firms, including PIMCO, Fidelity, Natixis Investment Managers, and JP Morgan Asset Management. He is also the founder and CIO of Autonomous Investment Technologies LLC.
Joseph is a noted contributor to leading finance journals and is also a prominent speaker at investment events worldwide. He is currently the co-editor of the Journal of Financial Data Science, on the editorial board for The Journal of Portfolio Management, and advisory board member for the Financial Data Professional Institute. Joseph is the author of over 40 academic publications.
Joseph also has vast experience in teaching both in academia and industry.
He holds a Ph.D. from the University of California, Santa Barbara; an M.A. from Columbia University; as well as a B.A. from the University of California, Los Angeles.
Ronald Ratcliffe, PhD, is a Managing Director in BlackRock’s Applied Portfolio Analysis practice area within the Analytics & Quantitative Solutions (AQS) group. He focuses on multi-asset portfolio risk, scenario analysis, and portfolio construction.
Dr. Ratcliffe's service with BlackRock dates back to 2004, including his years with Barclays Global Investors (BGI), which merged with BlackRock in 2009. Prior to joining AQS, he led the Market-Driven Scenarios (MDS) initiative as Head of Cross-Platform Scenario Analysis in the Risk & Quantitative Analysis (RQA) group. Previously in RQA, he was Head of Multi-Asset Investment Risk for the Americas West region. In the Portfolio Management Group (PMG), he was a portfolio manager and developed systematic macro trading strategies. Prior to joining BGI, Dr. Ratcliffe was a senior manager at KPMG in corporate valuation and international transfer pricing. Previously, he was the chief economist for Latin America at SG Cowen Securities, a subsidiary of Societe Generale. Before that he was with Bankers Trust Company (now part of Deutsche Bank) where he carried out country risk analysis.
Dr. Ratcliffe earned BA degrees in economics and in political science, with distinction and with departmental honors in economics, from Stanford University. He received a PhD in economics from the University of Pennsylvania.
11:45 – 12:30
Risk Scenarios Simulation (US Elections)
- It’s the day after election day and the Republican party has gained back the House and Senate majority. What sort of impacts might this have on inflation, volatility, and potential market gains?
- It’s the day after election day and the Democratic party has held onto the majority in the House and Senate. What sort of impacts might this have on inflation, volatility, and potential market gains?
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.
Fabrice Fiol is a Managing Director and Deputy Head of the Enterprise Risk Management Americas division. In this capacity, he co-manages a team responsible for risk appetite statement and reporting, risk identification, enterprise wide stress testing and governance including regulatory oversight for the Americas.
He was previously in charge of the market risk cross-asset team overseeing regional limit framework, Market Risk Stress Testing and various regulatory market risk initiatives. His prior role was heading the Equity/Fixed Income/Commodity market risk teams for SG in the Americas, including NY, Canada and Brazil trading platforms.
Fabrice Fiol joined Societe Generale NY in 2009. Prior to SG, Mr. Fiol was a Senior Vice President at Natixis-NY in charge of Trading Risk Management on a U.S Agency MBS portfolio. Prior to Natixis, Mr. Fiol was a Vice President at the reinsurance company SwissRe-NY where he was initially in charge of front-office quantitative pricing and subsequently joined the U.S Rates Derivative Desk trading.
He graduated from ENSAE (National School of Statistics and Economics) in 1998 and holds a Degree (DEA) from Paris VII University.
Fabrice Fiol has participated as a speaker and panelist at various risk conferences (Bloomberg,Risk.Net,Cefpro) and has co-authored an article in the RMA Journal in 2017 “Risk Appetite: How Banks are responding to risk in a new regulatory environment”
Professional Affiliations
- Member, RMA Risk Management Association (2012– Present)
Mr. Ashton is a pioneer in the U.S. inflation derivatives market. Prior to founding Enduring Investments, Mr. Ashton worked in research, sales and trading for several large investment banks including Bankers Trust, Barclays Capital, and J.P. Morgan. Since 2003, when he traded the first interbank U.S. CPI swaps, and 2004 when he was the lead market maker for the CME’s CPI Futures contract, he has played an integral role in developing new instruments and methods for accessing and hedging various inflation exposures. In 2016, Mr. Ashton publishedWhat’s Wrong With Money? The Biggest Bubble of All. He is a graduate of Trinity University and lives in Morristown, New Jersey.
David is the founder and CEO of Sapiat, a modern technology platform for long-term scenario forecasting, helping investors and policymakers plan decisions that meet the desired financial, social and environmental objectives. His career spans 22 years across Europe (London based) and Asia (Tokyo based) in the development of next generation predictive analytics and financial technology. Having collaborated with prominent world academics and practitioners, he is a thought leader in decision-making for investment portfolios and a frequent speaker at quantitative finance events globally.
09:15 – 09:20
Opening Remarks: Risk.net
09:20 – 09:45
Fireside Chat: A CRO conversation
Kris Devasabai is the New York-based editor-in-chief of Risk.net. Previously, he was bureau chief and US editor of Risk magazine. He manages the editorial team. Prior to joining Risk, Kris covered hedge funds, asset management, cross-border investing and law for several publications.
Kris holds a bachelor’s degree in law and government from the University of Manchester, and he completed his legal training at the Inns of Court School of Law in London. He was called to the bar of England and Wales in 2003.
Jodi Richard is vice chair and chief risk officer of U.S. Bancorp, a well-respected financial services holding company with businesses across the United States, Canada and Europe. U.S. Bancorp is headquartered in Minneapolis and is the parent company of U.S. Bank, which is the fifth-largest commercial bank in the United States. U.S. Bancorp is also the parent company of Elavon, a leader in the payment processing industry. Jodi oversees all aspects of the company’s risk management activities, including operational risk, credit risk, market risk, model risk, compliance, AML/BSA, independent risk review and regulatory services. She became vice chair and chief risk officer in 2018 and is a member of the company’s Managing Committee, the highest-ranking executives within the organization.
Jodi’s financial career spans nearly 30 years. She joined U.S. Bancorp in 2014 as executive vice president and chief operational risk officer, managing the company’s operational risk management activities.
Before joining U.S. Bancorp, Jodi was executive vice president and head of operational risk and internal control for HSBC North America. She was there for 11 years, serving in enterprise risk roles including head of risk governance and administration and director of regulatory compliance.
Jodi also spent 12 years at the Office of the Comptroller of the Currency (OCC), where she served as national bank examiner, specializing in retail credit and credit card bank supervision. Between two periods with the OCC, she was chief compliance officer for Sears National Bank.
At U.S. Bancorp, Jodi is executive sponsor of Business Resource Group Board. She also is the executive sponsor of U.S. Bank Spectrum LGBTQ BRG and Women of Risk chapter of the U.S. Bank Women BRG.
Jodi serves on the boards of Fairview Health Services and Catholic Charities of St. Paul and Minneapolis. She is active in the financial service industry, serving as chair of the board of directors of the Risk Management Association. She also is on the Advisory Committee for Minnesota Center for Financial and Actuarial Mathematics. She is a frequent speaker at risk industry events.
Jodi is a graduate of the Leading Women’s Executive program and was part of American Banker’s Most Powerful Women in Banking Top Team Award in 2013, 2015, 2019 and 2020. She was named Best Technology Executive in 2017 by Waters Technology. In 2017, U.S. Bank was named Operational Risk Bank of the Year by Risk.net.
Jodi holds a bachelor of arts degree in finance from the University of Northern Iowa.
09:45 – 10:30
Keynote Panel: Leveraging technology for better and faster decision making in the risk function
Sponsored by:
- Using real-time insights and analytics to identify changing consumer behaviors and respond to unexpected demands
- Making the most of AI, ML & Big Data for improved visualization, predictions, and risk planning
- Managing risk when introducing new technologies and transitioning from legacy systems
- Developing digital fluency and technology-conversant risk workforce
Melissa Sexton is the Chief Risk Officer for BNY Mellon Wealth Management and BNY Mellon N.A. Bank, responsible for independent risk oversight of risks inherent to business activities, including investment, fiduciary, operational, reputational, credit, market, liquidity, and strategic risks.
Melissa joined BNY Mellon in May 2021 from Morgan Stanley where she was Co-Head of Field Risk and Supervision, responsible for risk management oversight of Wealth Management Financial Advisors. At Morgan Stanley, she also served as Head of Investment Risk, responsible for risk management oversight of the fee-based Investment Advisory business. Prior to Morgan Stanley, she was Chief Risk Officer at hedge fund Concordia Advisors. Earlier, she held multiple senior risk management and trading roles at Bank of America and hedge funds Ore Hill Partners and Lotsoff Capital Management.
Melissa holds a B.A. in Mathematics and Economics from Boston University and is a CFA Charter holder.
Dennis Sadak is Senior Vice President of Product Management for Numerix and oversees risk product offerings, market risk, counterparty risk, xVA and capital. Prior to Numerix, he held several positions at MetLife, portfolio management and derivative trading units, where he implemented numerous derivatives overlay strategies for their General Account portfolio and built out pricing and risk analytics for active derivatives hedging of their variable annuity program. Mr. Sadak earned a dual degree in Mathematics and Finance from Rutgers University and is a CFA charter holder.
Dharrini Gadiyaram is the Global Head of Enterprise Risk Products for Bloomberg, responsible for developing the business strategy across risk solutions including market risk, credit & counterparty risk and collateral management that are used by the sell-side and buy-side. Ms Gadiyaram joined Bloomberg in 2014 and has held various roles including product management for front office risk solutions and FX/commodity derivatives across the terminal, enterprise data and risk solutions. Prior to joining Bloomberg, Ms Gadiyaram led oil refined products and exotic derivatives trading for Credit Suisse, and has held roles in commodities quantitative research and risk technology at Credit Suisse and Lehman Brothers. She graduated in Computer Science and Engineering from the Indian Institute of Technology Madras.
10:30 – 11:00
Morning networking break
11:00 – 11:45
Multi-period management of assets using reinforcement learning
11:45 – 12:15
Navigating market uncertainties – understanding and managing portfolios in the current market rotation
George Bonne, PhD, PRM joined MSCI in 2016 as Executive Director of Equity Factor Research, where he and his team research and design the Barra equity factor risk models and conduct research on new and innovative factors and content to be used in MSCI’s analytics and index products. Recent projects have involved exploring alternative and unstructured data, leveraging machine learning and NLP in solving investment problems, investment crowding, and creating the next generation of equity factor models.
Prior to MSCI George was Director of Quantitative Research at Thomson Reuters StarMine where he worked for ten years to create novel alpha signals and other quantitative models for investment managers and received two US patents on quantitative models. Previous to StarMine George worked at Applied Materials and KLA-Tencor to create predictive models of the performance of semiconductor equipment.
George received his PhD in Physical Chemistry from Harvard University and a Bachelor’s degree in Chemistry from UC Irvine. George is also a certified Professional Risk Manager (PRM).
Lunch Briefings
12:30 – 13:30
Lunch briefing: Is examining the past still the best way to look into the future?
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Volatility and extreme outcomes – are they more likely today than 50 years ago?
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Global financial imbalances – how do you think about current and future implications?
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Reverse stress testing – readying your organization for the next recession
Karim Faraj is head of strategy and product development for Pricing and Risk Services at Bloomberg. He also represents the company in the Climate Financial Risk Forum (CFRF) and at the Glasgow Financial Alliance for Net Zero (GFANZ) as part of the work stream focused on providing recommendations and guidance to financial institutions on net-zero transition plans. Previously, Karim led front office derivative products and services and has served as both the regional head of financial engineering in EMEA as well as lead product manager for Bloomberg's Derivatives Library (DLIB).
Previously, Karim worked at Barclays Capital, where he launched the Quantitative Investment Strategies business, and supervised quantitative projects. He was also a member of Barclays' Equity Steering Committee across all trading desks. Karim also served as a quantitative analyst at BNP Paribas and strategist at Goldman Sachs, where he developed innovative cross-asset investment products, analytics and front office systems for market data, valuation, hedging, life cycle and risk management.
Karim holds a master’s degree from Mines Paris Tech in Quantitative Finance.
Christopher joined Prudential in 2011 and currently leads the Financial Markets Risk group which is responsible for Market Risk, Investment Risk, Counterparty Risk, Risk Appetite, and Enterprise Stress Testing. He previously held several roles in Investment risk, including Chief Investment Risk Officer Prior to joining Prudential, Christopher held several roles at The Bank of New York Mellon and Ambac. Christopher has a bachelor’s degree in Mathematics and Music from Bucknell University and an MBA from The University of Notre Dame. He is a CFA charterholder.
Julian Horky is the CEO of Berenberg Asset Management and the Head of Risk Controlling at Berenberg Capital Markets.
As the Head of Risk, he’s in charge of the broker-dealer's risk management program covering the firm’s equity capital market deals and trading business. His expertise spans areas of enterprise risk management, quantitative solutions, and technology. His background in finance and engineering provided him with the quantitative skills needed to clearly communicate the requirements of modern financial risk management solutions.
Before joining Berenberg, he advised leading financial institutions in Europe and the United States, where he developed a strong track record across buy and sell-side. Over the years, he became a trusted advisor to finance, risk and treasury departments on both sides of the Atlantic.
Besides teaching at Columbia University, he holds teaching positions at Boston and Fordham University.
Julian is a Certified Financial Risk Manager (FRM), and as a dual-hatted employee, he holds several investment advisory and broker-dealer FINRA licenses (e.g. SIE, Series 7, and Series 27).
12:30 – 13:30
Networking lunch
12:30 – 13:30
Stream
Net-Zero
Lunch Briefing: Achieving Net Zero and creating "no-carbon" credibility
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Planning: setting science-based targets with milestones along the way
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More than divestment: how investing in the net zero laggards can speed up the process
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Asset allocation: looking beyond equities at green derivatives and bonds
Mr. Ruskin joined PineBridge Investments in 2017 and is a Senior Research Analyst covering Global Cyclical stocks for the Global Focus Equity team, and is also the Head of Sustainable Investing for Equities, ensuring that the Equities team is at the forefront of integrating ESG into their investment strategies, including how they engage and assess companies. Mr. Ruskin is also a member of PineBridge’s ESG Investment Committee. He has 23 years of experience in equity investing and corporate strategy consulting, and has worked in a number of leading organizations in equity research and in portfolio management. Mr. Ruskin began his career at Stern Stewart (EVA), then was a manager in strategic planning at American Express before moving to Putnam Investments as a Vice President in Global Equities and then as a Partner and Co-Portfolio Manager with Temujin Fund Management. Before joining PineBridge, he was a PM/Senior Analyst at Acclivity Capital Management, an asset management venture which he co-founded. Mr. Ruskin received his BA from Princeton University and his MBA from Wharton. He is a member of the CFA Institute.
Andrew Ang, PhD, Managing Director, is Head of Factors, Sustainable and Solutions (FS-Squared). He also serves as Senior Advisor to BlackRock Retirement Solutions. As part of BlackRock Systematic, FS-squared is responsible for proprietary factor investing, delivering cutting-edge sustainable alpha, ESG outcomes and product innovation.
Dr. Ang is a well-known financial economist specializing in quantitative investing. Author of over 100 publications, Dr. Ang has published on sustainable investing, equities, fixed income, optimal asset allocation, and alternative assets. His seminal papers include research in the minimum volatility factor, incorporating macro factors into bond pricing models and factor allocation. His book, Asset Management: A Systematic Approach to Factor Investing, has been translated into Chinese Japanese, Korean and Spanish. His recent research focuses on generating alpha with ESG data and net zero multi-asset investing.
Dr. Ang has been granted patents, and he has won several industry prizes and grants, including the Harry Markowitz award, the Bernstein Fabozzi/Jacobs Levy award, and prizes and grants from the Q Group, INQUIRE, Netspar, and the National Science Foundation. According to RePEc/IDEAS, the largest bibliographic database in the field of economics, Dr. Ang is rated in the top 0.1% of world-wide economists by citations, downloads, and views.
Before joining BlackRock, Dr. Ang was the Ann F. Kaplan Professor of Business at Columbia Business School. He was previously Chair of the Finance and Economics Division and a Faculty Research Fellow of the National Bureau of Economic Research. As a professor, Dr. Ang worked with several large institutional managers as an advisor. His work with industry was recognized by aiCIO naming him one of the top 10 most influential academics in the institutional investing world.
Dr. Ang earned a BEc(Hons) from Macquarie University, and a PhD in finance and MS in statistics from Stanford University.
Michael Cappucci
Managing director – compliance and sustainable investing
Harvard Management Company
Michael Cappucci is a Managing Director for Compliance and Sustainable Investing at Harvard Management Company (HMC) where he oversees HMC’s legal review process and helps to manage the sustainable investment program. When not reviewing LPAs, he spends much of his time leading HMC’s efforts to integrate ESG factors in private fund investments and steer the endowment to net zero by 2050. He is a member of the SASB Standards Investor Advisory Group, ILPA ESG Advisory Council, and a past member of the ILPA Legal Advisory Council and Chair of the United Nations-sponsored Principles for Responsible Investment Private Equity Advisory Committee.
Stream
ESG Tech
Lunch Briefing: ESG Integration – a technological approach to sustainable investing
Sponsored by:
Not addressing ESG issues on behalf of clients is increasingly being looked at as and in some cases is a dereliction of duty. Therefore, rapid expansion of inflows to ESG products have taken the investing world by storm over the last few years. A challenge, however, remains. Data access, deriving meaning, and integration into investment strategies is a struggle on many fronts. Fortunately, there are technologies that can help effectively manage ESG programs and corporate strategy.
• Automated compliance
• Measuring your portfolio impact
• Improving ESG efficiency through technological advances
Brett is a Partner Sales Manager at Appian, responsible for the channel ecosystem across North America and GTM strategies focused on Partner solutions.
Jack is the General Manager of Appian Sales and Alliance lead for Xebia. Jack comes from an Appian background where he supported Enterprise customers and sales pursuits primarily centered around BFSI and Broad Markets. Jack now leads sales efforts in North America & LATAM; helping companies achieve their digital transformation goals through hyperautomation.
12:15 – 13:15
Distilling the GenAI value proposition for FS risk leaders
Fireside chat
Sponsored by:
The GenAI landscape is marked by complexity and uncertainty, as well as opportunity and innovation. What are the practical applications of AI in the risk space? How can GenAI capabilities, and advanced decision-making revolutionise risk management. During this fireside chat we'll explore AI's impact on various risk domains, and its role in ensuring a secure future.
Sven Sandow is the Global Head of Credit and Operational Risk Analytics at Morgan Stanley. During his 20-year career in the financial industry, Sven has worked in various quantitative modeling, risk management, and capital management capacities. Prior to Morgan Stanley, he worked at Merrill Lynch and Standard & Poor’s. Before he joined the financial industry, Sven worked as a physicist at the Virginia Polytechnic Institute and the Weizmann Institute of Science. He has been an active researcher in physics, finance, and machine learning. His research has been published in academic journals, and he coauthored a book on learning from data. Sven holds a Ph.D. in physics from the Martin-Luther-University Halle-Wittenberg in Germany.
Executive boardroom sessions
Interactive discussion sessions hosting impactful conversations and building meaningful connections in the industry
13:30 – 13:50
Competitive transformation – modernizing your trading/risk analytics platform
Sponsored by:
Dr. Higgins co-founded Beacon in 2014 after spending twenty years on trading floors as a quantitative developer, trader, and manager, developing industry-leading trading and risk management software.
Prior to co-founding Beacon, Dr. Higgins spent four years at JPMorgan Chase as a trader and quantitative developer. In addition to launching the Athena project with Singh from 2006 to 2010, Dr. Higgins was Co-head of Quantitative Research for the Investment Bank from 2010 to 2012 and head of the electronic currency options franchise and algorithmic FX index business from 2012 to 2014. From 1998 to 2006, Dr. Higgins
was the head of the FX and US interest rate strategist teams at Goldman Sachs, where he developed pricing and risk solutions in SecDB. Dr. Higgins began his career as a Lead Quantitative Developer at Contango Energy, where he designed and built the Contango System, a trading and risk management system for
electricity and natural gas derivatives.
Dr. Higgins received a B.S. in Engineering in 1992 and a Ph.D. in Theoretical Astrophysics in 1996 from Queen’s University, Kingston, Ontario..
13:50 – 14:40
Executive Boardroom: Trade risk management – technology that enhances real-time decision making and preventative controls across the trade lifecycle
Sponsored by:
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Real-time controls – making fast, unequivocal, “ready-to-trade” decisions
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Policy automation – harnessing relevant information across multiple internal systems to provide a clear “yes / no” decision and to trigger subsequent workflows
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Full auditability – bringing greater transparency to decision-making with increased operational efficiencies and a repeatable, defendable process
Kim Jaffee-Prado
CIO US Capital Markets & Head of Investment & Corporate Banking & Office of the COO Technology
BMO Capital Markets
Kim joined BMO in August 2021 from RBC where she was the Global Head of the Client, Banking & Digital Channels Technology group across Capital Markets. Kim developed and implemented a comprehensive client data strategy adopted by Capital Markets, sunset legacy applications and united the global salesforce under a single CRM instance. Collecting and connecting client touchpoints with external data sets allowed her team to proactively source opportunities and recommendations using advanced AI and machine learning to deepen client relationships and increase wallet share. Kim held multiple roles at RBC over 15 years supporting the business in various capacities from running Global Fixed Income Production Services to Head of Fixed Income Sales and Credit Trading technology.
Prior to joining RBC, Kim ran Front Office technology at Mizuho as well as the API Connectivity Development team at ICAP and was part of the initial launch of BrokerTec. She has also held multiple positions across the street with Kidder Peabody, Deutsche Bank and Chase Securities. Kim received a BA from Stockton University in accounting.
Blythe Barber is Droit’s Head of Business Development, Americas. Previously, Blythe spearheaded new business development as Commercial Partner at Catalyst. Prior to that, Blythe was a Managing Director of the RegTech company JWG, Director at Expand Research, Managing Principal at Capco which followed six years trading Fixed Income. Blythe holds a Bachelor’s Degree in Accounting and Finance from Kingston University.
14:40 – 15:30
Executive Boardroom: Evolution of model validation – how are we updating risk models to properly account for inflation?
- Stimulus impact – understanding the complexities of credit when a stimulus doesn’t come into play
- Rising rates – what role does interest play in inflation and on the market as a whole?
- Structural issues – fossil fuels and the transition to renewable energy
Steve Boras is the Head of Model Risk Management & Validation at Citizens Bank in Boston, focused on managing the model risk of the bank via validation of models, performance management and monitoring of outcomes, and serving as a sounding board for new and emerging modeling techniques and their respective appropriateness. Since joining Citizens in 2015, Steve has led several risk analytics functions, most recently heading the Risk Architecture Center of Excellence (covering loss forecasting model development for CCAR/DFAST and CECL, and PD, LGD, and EAD modeling for wholesale), as well as anti-money laundering modeling, macroeconomic scenario generation, and Data Science. Steve also holds leadership roles in enterprise risk, ESG and Inflation/Stagflation scenario analysis, and artificial intelligence and machine learning governance.
As Managing Director in Enterprise Model Risk Management (EMRM), Jing Zou is responsible for validating models in Securitized Products, Pre-Provision Net Revenue, Retail Credit models, and interest rate derivatives models. She also developed Comprehensive Capital Analysis and Review (CCAR) model fragility analysis, which identifies the impact of model uncertainty on capital ratios. She is an invited speaker for many industry model risk management training courses.
Jing joined RBC in 2014 as a Director in local model risk manager, where she was responsible of engaging the business about model risks. Later on, she was promoted to Senior Director and then Managing Director and has expanded the scope to cover the validation of 40% of CCAR models. Prior to joining RBC, Jing worked at Goldman Sachs, Wells Fargo, and Fannie Mae in various quantitative analytics roles covering front office quant, market risk, and model risk areas.
Jing has a Ph.D. in Applied and Computational Mathematics from Princeton University and a B.S. and M.S. in Computational Mathematics in Xi’an Jiaotong University.
Venky Venkatesh is the Head of Multi-Asset Investment Risk at the Vanguard Group. Venky has been with Vanguard since 2018 and is responsible for overseeing the risk governance for the flagship Target Retirement Fund suite (target date funds) at Vanguard. Additionally, Venky’s team is responsible for overseeing both liquidity and derivatives risk for Vanguard’s 40-Act funds.
Venky has more than 15 years’ experience in Investment Risk Management. Prior to joining Vanguard, Venky was Vice President at Oppenheimerfunds specializing in risk management of fixed income domestic, and municipal funds.
Venky has a master’s degree in computer science from University of Missouri and an MBA from NYU Stern. He is also a CFA Charterholder.
15:30 – 16:20
Executive Boardroom: New market development and frontiers to credit and counterparty credit risk
- How is regulation impacting the development of CECL, SA-CVA, SACCR?
- Finding ways to ease the growing pains with CECL implementation
- Recent industry focus on CCPs
- How has SIMM helped to contain counter-party risk in OTC space?
Naresh is considered a recognized market expert in the areas of market risk, counterparty credit risk, and model risk management. Currently, he is a supervisor/director at Sociate Generale focused on capital markets activities. Prior to joining Sociate Generale, Naresh served as US lead director of traded risk and capital at KPMG. Previously, Naresh worked at Diamond Notch Asset Management, a hedge fund, as a portfolio manager and head of European credit trading and strategies. In prior roles, he served as head of credit exotics at Commerzbank in London, and as a senior derivatives trader and market maker at UBS and Merrill Lynch in New York.
Naresh has a Ph.D. in Engineering from the University of Illinois at Urbana-Champaign, and a BS in Engineering from IIT-Kanpur (India). The academic preparation was followed by a research faculty position in Engineering & Applied Math at Caltech (Pasadena).
Ash Majid is Managing Director and Chief Risk Officer for SMBC Capital Markets, Inc. & SMBC Nikko Securities America, Inc. wholly owned subsidiaries of SMBC Americas Holdings, Inc. In his current role he oversees teams responsible for managing the risk from the two subsidiaries within the broader America’s Division risk management team. Prior to joining SMBC Capital Markets, Ash worked at Ernst and Young, LLP within their Quantitative Advisory Services and SunTrust Banks, Inc. with oversight of their derivatives trading desks' market risk. Ash holds a Doctorate degree in Electrical and Computer Engineering and a Master's degree in Quantitative and Computational Finance from Georgia Institute of Technology. Additionally, Ash holds FINRA Series 7 & 24 licenses.
Haibo Huang is a Managing Director and Head of Credit Stress and Portfolio Analytics at Morgan Stanley. His team is responsible for developing credit risk models, including credit stress testing models, credit allowance methodologies (CECL/IFRS 9), credit limit setting framework and other credit portfolio analytic solutions. Prior to joining Morgan Stanley in 2013, he was a Senior Director and Head of Dual Risk Rating Modeling team at Capital One, in charge of developing credit risk models for the bank’s wholesale portfolios. Prior to that, he was the Quant Team Head and Head of US Forecasting at CoStar Portfolio Strategy (formerly PPR), a commercial real estate advisory firm in Boston. Haibo is a CFA charter holder since 2008 and holds a PhD degree in Economics from University of Texas at Austin. Haibo lives in Connecticut with his wife and two daughters. During spare time, he enjoys playing soccer, and is the proud captain of a Morgan Stanley Coed Team that won the Kicker’s Cup in America SCORES Cup tournament in 2018, which is the largest charity soccer event in NYC to raise funds for under resourced communities.
16:20 – 16:50
Afternoon networking break
13:30 – 13:50
Quantum Models in Trading and Risk Management
- Microstructure of price measurement
- Quantum models of price dynamics
- Price impact and liquidity
- Risk valuation of illiquid securities
- Quantum AI and decision-making
Jack Sarkissian is an asset manager currently overseeing quantitative trading as the Managing Partner of Algostox Trading. Prior to Algostox, Jack worked as the Chief Investment Officer of EG Capital Partners managing $3 billion in assets of pension funds, HNWIs, and corporate accounts. Prior to EGCP Jack ran a risk management department and held senior quantitative analytic positions in investment banks.
Physicist by background, Jack Sarkissian is known for demonstrating the quantum nature of price formation on microstructural level and developing the Quantum Pricing Theory, a microstructural framework for modeling liquidity, bid-ask spread, trade execution, and trade negotiation.
Jack's expertise includes portfolio management, high-frequency trading, risk management, and quantum decision-making algorithms.
13:50 – 14:40
Technology and data: implementing a best-in-class risk management framework
EXECUTIVE BOARD ROOM
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Data modelling: evaluating the available data and its processing to prevent unintentional bias
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Digital strategy: integrating your data and analytics to ensure the best use case for your AI solutions
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Optimising your IT landscape: best practices in building a cyber-security framework
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The use of sentiment indicators and language processing as a predictive variable
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Using data science and decision support tools to optimise performance
Murad Nayal is head of risk architecture and informatics at Millennium. Before joining Millennium, he was global head of the risk informatics group at Goldman Sachs and global head of market risk analytics and reporting, and market risk core technology, responsible for calculating and reporting firm-wide market risk and capital metrics. In previous roles at Goldman Sachs, Nayal managed the market risk modelling team in the Americas, driving the development of market risk, the Comprehensive Capital Analysis and Review, and capital models. He also managed the corporate treasury modelling team developing models of liquidity risk. Having joined Goldman Sachs in 2005 as an associate in market risk technology, Nayal was named managing director in 2017.
Previously, he has worked as a research scientist in computational biology at Howard Hughes Medical Institute and Columbia University in New York, where he used physical and statistical models, and machine learning techniques to predict the function of proteins and the manner in which they interact with drugs.
Murad holds a doctor of medicine degree from Damascus University, a PhD in biophysics from Washington University in St. Louis and a masters degree in mathematical finance from the Courant Institute, NYU.
Sudipto is the head of investment risk for Principal Asset Management. Sudipto joined Principal in April 2022. Prior to this, he was the Deputy Head of Investment Risk at Lord, Abbett & Co. LLC, an independent, privately held investment management company, where he spent six years developing and executing the investment risk management program across all asset classes.
Before Lord Abbett, Sudipto spent seven years at Goldman Sachs as a fixed income quantitative strategist focusing on asset backed securities, commercial and residential mortgage-backed securities and real estate. Sudipto has a PhD degree in Mechanical Engineering from the University of Illinois at Urbana-Champaign, IL, USA and is also a CFA charter holder.
Theo provides strategic direction for global risk management programs in the investment management group (IMG) through design, governance of operational risk management strategies and is responsible for the leadership and oversight of the IMG operational risk function across multiple disciplines for Asia-Pacific.
Prior to joining Vanguard in November 2011, Theo's held the role of head of risk at ANZ Private Wealth. Theo has extensive experience within operational risk, regulatory compliance and credit risk across mortgage lending, insurance, asset finance, asset management, margin lending and stockbroking with the ANZ Banking Group.
Theo holds a Bachelor of Business (Banking and Finance) degree from Monash University.
Dianne O’Boyle | BD & Sales Executive
Dianne is currently Symbiont's Lead Business Development and Sales Executive and oversees the company’s strategic sales outreach and client relationships. Prior to joining Symbiont, she headed the Americas Sales team at CLS Bank International. She was responsible for the sales, relationship and strategic management of the region generating USD150mm in annual revenue.
Having spent over 20 years at JP Morgan prior to her role at CLS Bank International,, Dianne has an expertise in banking and asset management. At JPMorgan, she was responsible for sales and relationship management for US Large Corporate Diversified Industrial clients supporting USD120mm in annual revenue. She also held various product roles throughout her career..
She is currently a member of Boston Women in Finance, Canadian Women in Capital Markets, the Financial Women's Association, Women in Payments and NYC FinTech Women. Dianne also serves as a Co-Chair for The International Trade Communication (ISITC)
Kamyar Moud is a Director in Asset Liability Management and Investment Strategy function at New York Life Insurance. Mr. Moud focuses on Net Interest Income(NII) projection across whole life, universal life, long term care, retail and institutional annuities, and surplus management accounts for ~250B portfolios of investments.
Before joining New York Life, Mr. Moud served as Managing Director and global head of the Investment Risk Solutions (Investment Risk Analytics) at AIG. During his time at AIG, he focused on investment risk analytics (Credit, Market, Operational and Model Risks), construction of economic capital framework, portfolio optimization, portfolio replication strategies for ALM, aggregated ALM reporting across all lines of business (Life and Retirement, Property and Causality), and developing stress testing models for ~400B portfolios of investments. Prior to his role at AIG, Kamyar’s experience focused on data analytics, quantitative investment research and model development for over 25 Insurance and Financial Services institutions globally.
Mr. Moud is an adjunct faculty with Columbia University in New York City, where he teaches graduate-level courses in investment risk management, and sustainable and impact investing. Mr. Moud is a Climate Reality Leader™, in The Climate Reality Project (non-profit) founded by former Vice President Al Gore. Mr. Moud earned four university degrees in Electrical Engineering, Digital Signal Processing and Information Theory, Finance, and Organizational Social Psychology from four countries.
Zane Van Dusen is the Global Head of Risk & Investment Analytics Products at Bloomberg. Zane began this role in 2019 and under his leadership, the group has become one of the industry's top data analytics providers, supplying innovative risk metrics, such as Bloomberg's award-winning Liquidity Assessment solution (LQA), based on Bloomberg's vast database of market data. Zane works with quants and engineers to build data-driven analytics that address a wide range of client needs from investment research to portfolio construction to regulatory reporting.
Prior to this role, Zane managed the implementation of risk management, stress testing and reporting systems for Credit Suisse's Treasury and Liquidity Risk Management groups for over a decade.
Zane holds a BS from Rensselaer Polytechnic Institute in Computer Science.
14:40 – 15:30
How will Global Politics affect US Markets over the next five years?
EXECUTIVE BOARD ROOM
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What’s next for the war in Ukraine: how will ongoing global conflicts continue to affect energy and commodities markets?
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Forecasts for 2023: how will the high inflation rate affect stock markets, economic growth, and jobs and what will this mean for S&P fundamentals?
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The lingering impacts of covid-19 on global markets and other potential health crises, how to leverage lessons learned and future-proof your fund against any aftershocks
Michael Paterakis is the data and benchmarking editor at Risk.net and its sister titles. Prior to joining Infopro Digital, he served as investment editor across Pageant Media’s asset management publications. Michael has a master’s degree from the Craig Newmark Graduate School of Journalism at CUNY. He is based in New York and can be reached at michael.paterakis@infopro-digital.com.
Max is responsible for defining the next generation of multi-asset investment processes for Franklin Templeton Investment Solutions. Previously, he was president and chief investment officer of the start-up asset manager AlphaTrAI, where he harnessed artificial intelligence to build alternative strategies for traditional and digital assets. Before that, he was head of asset allocation at the asset management arm of Pacific Life Insurance for seven years. Prior to Pacific Life, Max was a portfolio manager with Mellon Capital’s multi-asset group and a founding member of Coefficient Global, a quantitative macro hedge fund. Outside of work he’s an amateur racecar driver.
Richard Berner
Clinical professor of finance, co-director, the Volatility and Risk Institute
NYU Stern School of Business
Professor Berner served as the first director of the Office of Financial Research (OFR) from 2013 until 2017. The Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 established the OFR to support the Financial Stability Oversight Council, the Council’s member organizations and the public. The OFR’s mission is to promote financial stability by delivering high-quality financial data, standards and analysis.
He was counselor to the Secretary of the Treasury from April 2011 to 2013. His principal responsibilities included advising the Secretary on financial and regulatory issues and starting up the Office of Financial Research.
Professor Berner was a managing director, chief US economist at Morgan Stanley from 1999 to 2011 and co-head of Global Economics from 2008 to 2011.
He was executive vice president and chief economist at Mellon Bank, and a member of Mellon's Senior Management Committee (1992-99). Previously, he served as a principal and senior economist for Morgan Stanley, as a director and senior economist for Salomon Brothers (1985-91), as economist for Morgan Guaranty Trust Company (1982-85) and as director of the Washington, DC, office of Wharton Econometrics (1980-82).
Professor Berner served on the research staff of the Federal Reserve in Washington, where he co-directed the Fed’s model-based forecast and was a member of the team that developed the Fed’s first multi-country model used for international policy analysis (1972-80). He has been an adjunct professor of economics at Carnegie-Mellon University and at George Washington University.
He is an advisor to FinRegLab, an innovation center that tests new technologies and data to inform public policy and promote a responsible and inclusive financial marketplace. He is a member of the Milken Fintech initiative, led by former OCC head Tom Curry and former Treasury official Melissa Koide. He is a senior advisor to MacroPolicy Perspectives, an economic consulting firm. He is a member of the Board of Advisors of HData, which helps data companies involved in RegTech and Legal Tech solutions. He is a member of the IMF panel of experts for financial stability.
Professor Berner has been a member of the Economic Advisory Panel of the Federal Reserve Bank of New York, a member of the Panel of Economic Advisers of the Congressional Budget Office, a member of the Executive Committee of the Board of Directors of the National Bureau of Economic Research, a member of the Advisory Committee of the Bureau of Economic Analysis, Department of Commerce, a member of the Board of Directors of the Penn Institute for Economic Research and a member of the Board of Advisors of Macroeconomic Advisers, LLC. He served as an associate for the Counterparty Risk Management Policy Group II. He is a Past President and Fellow of the National Association for Business Economics and is the past chair of the Economic Advisory Panel of the Bond Market Association. He is the winner of forecasting awards from Market News and the National Association for Business Economics, the 2007 recipient of the William Butler Award for Excellence in Business Economics and has been a member of Time’s Board of Economists.
He received his bachelor’s degree magna cum laude in Economics from Harvard College in 1968, and his PhD in Economics from the University of Pennsylvania in 1976. He researched his dissertation under the supervision of Professor Lawrence Klein, and was funded by SSRC-Ford Foundation grants at both the University of Louvain, Belgium, and at the University of Bologna, Italy, from 1971-72.
Racim Allouani is head of portfolio construction and risk management across KKR's public credit, private credit and special situations businesses. Prior to begining his current role, he had a similar responsibility in the hedge funds business. Prior to joining KKR, Allouani spent five years at Lombard Odier as a senior quantitative portfolio analyst and risk manager, covering equities and credit strategies. Prior to that, he worked at Arden Asset Management in the portfolio optimisation and risk management group. Allouani has held previous positions at Deutsche Bank in equity research and WestLB in fixed income research. He earned masters degrees in international economics from Sciences Po, Paris, in financial engineering from Cornell University, and a bachelors degree in applied mathematics and computer science from Ecole Nationale des Ponts Et Chaussees.
Yuri Berkovich is director of risk at J. Goldman & Co, a long/short equity hedge fund. Prior to this, he worked on risk teams at Millennium and at AQR Capital Management. Berkovich holds a bachelors degree in mathematics, a masters degree in engineering in computer science from Cornell University, and an executive master of business administration from Columbia Business School.
Mark Patrick is Head of the Macro & Country Risk Team (M&CR) within TIAA Financial Risk and Capital Management. He also manages the firm’s Emerging Risks process.
Mark’s international career spans three decades of public and private service. Prior to joining TIAA in 2016, he was Head of Asia Pacific Country Risk at JP Morgan in Hong Kong from 2014-2016. From 2011 to 2014, Mark was Head of Developed Markets and Latin America Country Risk at JP Morgan in New York. Mark designed the firm’s country stress methodology, enforced country limits, rated sovereign jurisdictions and performed sovereign rating advisory services for foreign government clients.
From 2008 to 2011, Mark was a Lead Derivatives Negotiator for the LAMCO (Leham Brothers) bankruptcy estate and faced off against big bank, sovereign and muni derivatives creditors.
Mark joined Lehman Brothers in 2000 and founded the Sovereign Risk function. He built and managed country limits, country stress, reporting and sovereign ratings frameworks. He remained in that role until Lehman’s bankruptcy in 2008.
Mark joined the State Department in 1991 and served as a career US diplomat in Peru (1992-94), Singapore (1994-96) and Washington (1996-2000). He was awarded State’s Superior Honor Award for his management of the Asian Fianancial Crisis in 1997-98.
Mark lives in Chatham, New Jersey with his family. He enjoys cycling, painting and traveling, as well as weekends at the Jersey Shore.
15:30 – 16:20
Stress testing techniques and advancements: going beyond the traditional models
EXECUTIVE BOARD ROOM
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How is the Russian conflict impacting the modelling approach for climate risk, inflation, and geopolitical risk?
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What are the benefits and disadvantages of using a third-party model versus developing one in-house?
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How do you account for changing relationships among assets based on new stressors?
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Scenario analysis: finding the right solution for your organisation
Kris Devasabai is the New York-based editor-in-chief of Risk.net. Previously, he was bureau chief and US editor of Risk magazine. He manages the editorial team. Prior to joining Risk, Kris covered hedge funds, asset management, cross-border investing and law for several publications.
Kris holds a bachelor’s degree in law and government from the University of Manchester, and he completed his legal training at the Inns of Court School of Law in London. He was called to the bar of England and Wales in 2003.
Murad Nayal is head of risk architecture and informatics at Millennium. Before joining Millennium, he was global head of the risk informatics group at Goldman Sachs and global head of market risk analytics and reporting, and market risk core technology, responsible for calculating and reporting firm-wide market risk and capital metrics. In previous roles at Goldman Sachs, Nayal managed the market risk modelling team in the Americas, driving the development of market risk, the Comprehensive Capital Analysis and Review, and capital models. He also managed the corporate treasury modelling team developing models of liquidity risk. Having joined Goldman Sachs in 2005 as an associate in market risk technology, Nayal was named managing director in 2017.
Previously, he has worked as a research scientist in computational biology at Howard Hughes Medical Institute and Columbia University in New York, where he used physical and statistical models, and machine learning techniques to predict the function of proteins and the manner in which they interact with drugs.
Murad holds a doctor of medicine degree from Damascus University, a PhD in biophysics from Washington University in St. Louis and a masters degree in mathematical finance from the Courant Institute, NYU.
Tanmoy is the Chief Risk Officer for Waterfall Asset Management a $12BN Hedge Fund specializing in Structured Credit in both Public and Private Markets. Prior to joining Waterfall, Tanmoy was the Head of Risk, North America and Senior Data Scientist at CQS, a $20BN Multi Strategy Credit Hedge Fund based out of US and Europe, where he managed Risk for the Credit Businesses and led Data Science projects for the Investment and Marketing Teams. Before CQS, Tanmoy worked at Axonic Capital, a $5BN Credit Hedge Fund where he was the Chief Risk Officer and the Head of Quantitative Research. Tanmoy has prior work experience at Sorin Capital and at Capital One. Tanmoy received a Master’s in Financial Engineering from Cornell University, an MBA from University of Delhi and a Bachelors in Chemical Engineering from Indian Institute of Technology.
Rahul Ajmera is a Senior Risk leader at Liberty Mutual Investments and spearheads risk management for global fixed income portfolios at LMI, overseeing all aspects of portfolio oversight, risk management, modeling and analytics processes, relative value analysis, and stress testing techniques used for asset allocation, portfolio management and reporting purposes.
Rahul is a seasoned Investment professional with over 15 years of experience on both buy and sell side, He specializes in Risk management across public and private markets, his expertise spans Portfolio construction and Asset allocation, Hedging strategies, Research and Modeling, and cross-asset exposure (Fixed Income, Equities, Derivatives, Private Equity/Debt, and Hard Assets).
Max Yu is a Vice President of Group and Multi-Asset Solutions Strategist at T. Rowe Price. He works with global clients on strategic asset allocation design, custom strategy development and multi-asset portfolio management. In addition, he also serves as in-house investment risk specialist overseeing multi-asset risk and analytics projects, including stress testing and scenarios analysis modeling, ESG integration into portfolio construction, and quantitative data strategy development.
Frank Nielsen is managing director of quantitative research and risk management for Strategic Advisers. He oversees the quantitative research and risk management team and its partnership with SAI Portfolio Management to advance asset allocation solutions for both retail and institutional clients. Nielsen's team also contributes to thought leadership and research innovation initiatives. Prior to joining Fidelity, he was an executive director and co-head of applied research at MSCI Barra. Previously, Nielsen was vice-president and head of risk management solutions at Barra. He has been in the investments industry since 1993. Nielsen holds a masters of business administration degree from Hamburg University and is also a Chartered Financial Analyst Institute charterholder.
Ronald Ratcliffe, PhD, is a Managing Director in BlackRock’s Applied Portfolio Analysis practice area within the Analytics & Quantitative Solutions (AQS) group. He focuses on multi-asset portfolio risk, scenario analysis, and portfolio construction.
Dr. Ratcliffe's service with BlackRock dates back to 2004, including his years with Barclays Global Investors (BGI), which merged with BlackRock in 2009. Prior to joining AQS, he led the Market-Driven Scenarios (MDS) initiative as Head of Cross-Platform Scenario Analysis in the Risk & Quantitative Analysis (RQA) group. Previously in RQA, he was Head of Multi-Asset Investment Risk for the Americas West region. In the Portfolio Management Group (PMG), he was a portfolio manager and developed systematic macro trading strategies. Prior to joining BGI, Dr. Ratcliffe was a senior manager at KPMG in corporate valuation and international transfer pricing. Previously, he was the chief economist for Latin America at SG Cowen Securities, a subsidiary of Societe Generale. Before that he was with Bankers Trust Company (now part of Deutsche Bank) where he carried out country risk analysis.
Dr. Ratcliffe earned BA degrees in economics and in political science, with distinction and with departmental honors in economics, from Stanford University. He received a PhD in economics from the University of Pennsylvania.
16:20 – 16:50
Afternoon networking break
13:30 – 13:50
ESG Risk Data - collection, aggregation and reporting challenges in the light of current EU and SEC regulation
Sponsored by:
Mr. Bernhard Gruber is Partner in Financial Services Advisory and Risk Consulting. He has more than 20 years of experience in providing advisory and audit services to the financial services industry.
In his function as Partner in Financial Services Advisory he directs a team of highly qualified specialists focused on regulation, compliance, risk management, governance and financial instruments accounting (IFRS 9) Additionally he serves as national leader of KPMG Austria´s Risk Consulting practice.
He is specialized in Regulatory, Compliance, Financial Instruments Accounting and Risk Management.
13:50 – 14:40
Executive Boardroom: How will the industry meet the growing need for ESG data?
- Which are the most promising sources of alternative data showing companies’ impacts on the climate and their financial outlook?
- Looking beyond the scopes for other types of data scores:
- Implied temperature scores
- Water pricing
- Energy transition
Brad Foster joined Bloomberg in June 2017 and currently manages the Data Content group within Enterprise Data.
In his role, Brad has a global remit that includes Bloomberg Evaluated Pricing for all cash products (BVAL) including GSAC, Municipal Bonds & Securitized Products, Regulatory & Accounting Products, Liquidity Assessment (LQA) and all Reference Data.
Prior to joining Bloomberg Brad spent almost 20 years on the sell-side in multiple locations including London, Tokyo and New York. He worked at Deutsche Bank as a Managing Director in trading and was responsible for various front office desks across debt, FX and credit trading, front office risk management where he managed a team that built cross-product risk, margin and portfolio analytics and looked after regulatory initiatives including Basel III / CRD IV and Dodd-Frank Uncleared Margin. Prior to Deutsche Bank he was at Credit Suisse First Boston in the market risk management group.
Michael Andeberhan is an ESG Investment Strategist at State Street Global Advisors, where he works closely with clients in North America to support their environmental, social and governance (ESG) goals, provide thought leadership and develop investment solutions that align with their sustainability ambitions.
Prior to joining SSGA, Michael was an Executive Director at MSCI where he led investment consultant coverage for the firm’s suite of index and ESG products. Earlier in his career, Michael was an investment consultant at Callan and Verus Investments, where he advised institutional investors on strategic planning, asset allocation and investment manager selection.
Michael earned an MS from University of Utah, BA from Washington State University and holds the Chartered Financial Analyst and Chartered Alternative Investment Analyst designations. He sits on the Executive Committee at the Defined Contribution Institutional Investment Association and has served as an adjunct professor of finance at New York University.
Richard Freund is Senior Manager on CDP North America’s Capital Markets team, primarily covering municipal finance and sustainable infrastructure. In this role, he oversees engagement with a range of global investors, underwriters, credit rating agencies, and other capital markets participants on municipal sustainable infrastructure development and municipal climate risk disclosure. The objective of CDP’s work in the municipal space is to dramatically increase the level of investment in climate-friendly and water-secure urban infrastructure projects that both contribute to the reduction in global greenhouse gas emissions and strengthen communal resiliency and equity.
CDP is a global not-for-profit seeking a thriving economy that works for people and planet in the long term. CDP focuses the capital markets, corporations, and governments on the key actions necessary to build a truly sustainable economy by measuring and managing their environmental impact.
14:40 – 15:30
Executive Boardroom: ESG Analytics – incorporating disclosure and other climate related data into risk calculations
- Climate Stress Testing – can we future-proof weather-related company resilience?
- Climate VaR – adding climate risk assessments to company valuations
- Disruption – how might physical impacts halt economic activity?
Stacy Swann (Founder & CEO) the CEO and Founding Partner of Climate Finance Advisors, a benefit LLC based in Washington, DC with expertise in banking, development finance, and climate change. During her career, Ms. Swann has held senior positions with the International Finance Corporation (IFC), as well as with the US Department of Treasury, Enron Corporation, and other organizations. For more than twenty-five years she has worked with investors, financial institutions, and policymakers on mainstreaming climate considerations across both investment and policy and has expertise in blended finance, climate finance, climate-smart fiscal policies, and approaches to identify, assess, and manage climate risk.
In addition to leading Climate Finance Advisors, Ms. Swann is the Chair of the Export-Import Bank of the United States (EXIM) Council on Climate and sits on the Board for the Montgomery County Green Bank the United States’ first county-level green bank and is Chair of its Investment Committee. She is also a member of the Steering Committee/Board of the Global Water Partnership, a global action network of more than 3,000 Partner bodies in 179 countries focused on building sustainable water systems globally.
Prior to joining Schroders, Lazaro was an Associate Director at Sustainalytics from 2018-2021, where he was responsible for advising asset managers, pensions, endowments and hedge funds on research-driven ESG integration and sustainable investing efforts, including sector and company materiality analysis, impact measurement, ESG engagement, and climate transition-risk assessments across Equity, Fixed Income, and Thematic strategies.
Lazaro was also an Analyst at MSCI from 2014-2017 within the RiskMetrics and Barra Analytics businesses. He holds a BA in Economics from Villanova University.
Jonathan is a Principal and Consulting Actuary at Milliman and provides subject matter expertise to the mortgage industry. Jonathan leads a team of developers, actuaries, and data scientists to provide powerful information and tools to the industry. Jonathan leads the development of Milliman M-PIRe, a cloud-based software that provides a complete end-to-end solution for clients to evaluate credit risk transfer, private mortgage insurance, and insurance linked notes. The tool includes all the necessary data, models, and cash flow structures to evaluate individual transactions as well as quickly aggregate a portfolio of exposures.
Jonathan’s areas of expertise include modeling, structured finance, model validation, and loan-loss reserving. He has provided quantitative and strategic consulting services on topics including residential mortgage collateral, credit insurance, credit risk transfer, debt protection products, reverse mortgages, mortgage insurance, financial guaranty insurance, deposit insurance, commercial mortgage-backed securities, and financial institution credit risk.
Jonathan has been supporting the Federal Housing Administration since 2016 by providing an end-to-end risk management platform for FHA’s Mutual Mortgage Insurance Fund. The risk management platform provides monthly processes for ETL, portfolio trend reporting, and cash flow models to forecast cash flows for both their forward and HECM programs.
Prior to joining Milliman, Jonathan worked at a large multinational reinsurance company, where he focused on asset-liability management (ALM), surplus relief transfers, and enterprise risk management (ERM).
Kamil is a co-founder and CPO at Climate X, a financial services-focused and London-based data & analytics firm quantifying climate risk ratings and associated losses at an asset and company level scale.
Kamil is a statistician and econometrician with a passion for tinkering with all kinds of models that project the future. He has an extensive experience in risk management and treasury functions across tier 1 banks and consultancies globally, including Barclays, Lloyds Banking Group and Accenture.
Outside of Climate X, Kamil is a NED and a member of several climate-related initiatives. He’s also part of the ClimateTech Council.
15:30 – 16:20
Executive Boardroom: Just Transitions – shifting an economy for tomorrow without harming communities today
- Adaptability – what are firms doing to adjust to a shifting labor force?
- Policy – how could potential regulation impact transitioning to a less carbon-intensive economy?
- Stewardship – considering the community impact of investing in polluting companies and the minority groups disproportionally affected
Rob Allard is the Chief Investment Officer and Head of Rothesay Asset Management in North America. With over 20 years of experience in structured finance, Rob joined Rothesay Asset Management in 2018 to build and run the investment portfolio in North America. Prior to his current roles, Rob was the founding partner and CEO of Firebreak Capital, as well as Managing Director, Head of Structured Product Sales at Goldman Sachs and Deutsche Bank. He is currently studying part-time at Harvard to obtain his Masters in Sustainability and he currently holds a graduate Certificate from Harvard in Corporate Sustainability and Innovation and a Certificate from Harvard Business School in Sustainable Business Strategy.
John George is a Director and member of the Responsible Investing (RI) Team at Nuveen, the investment management arm of TIAA. John’s responsibilities include developing Nuveen’s strategic foresight on issues related to ESG integration, engagement, stewardship, and investment.
Prior to joining Nuveen in 2021, John worked at BlackRock as a Strategist within the Sustainable Products group. He joined BlackRock after spending four-and-a-half years at Lord Abbett, an asset management firm primarily focused on fixed income markets. At Lord Abbett, John was responsible for establishing the firm’s ESG strategy, authoring the RI policy, training investment professionals and client-facing teams on ESG issues, and developing and fundraising for new products such as the Climate Focused Bond Fund. In addition to this experience, John has worked in roles across equity research and investment banking, covering renewable energy companies, utilities, and independent power producers.
John is currently pursuing a Master’s of Science in Sustainability Management at Columbia University’s Climate School. He is also a Fellow at ClimateBase and holds a Bachelor’s in Finance from Rutgers University.
John Trapani is a Global Industry Leader at Appian Corporation, working with leaders in Financial Services to help drive growth and create opportunities for digital transformation using the Appian automation platform. In this role he works to ensure Appian delivers applications that help drive growth, manage risk, and increase the efficiency and effectiveness of their business processes.
Before joining Appian John had a thirty-plus year career in Software Engineering, spending the past two decades as a Managing Director for a leading credit rating agency, leading a global team responsible for all internal applications, platforms, and databases. John transformed how his team delivered value by investing in the Appian automation platform. Prior to that John was a software engineer and management consultant.
16:20 – 16:50
Afternoon networking break
13:15 – 13:45
Making Risk Parity Allocations dynamically time consistent
Silvana Pesenti is an Assistant Professor in Insurance Risk Management at the Department of Statistical Sciences at the University of Toronto. Silvana was named the 2022 Rising Star in Quant Finance by Risk.net for the paper Portfolio Optimisation within a Wasserstein Ball. She received the 2020 Peter Clark Best Paper Prize for her research paper “Reverse Sensitivity Testing: what does it take to break the model?” from the Institute and Faculty of Actuaries (IFoA). In 2019, Silvana was awarded the Dorothy Shoichet Women Faculty Science Award of Excellence.
Silvana Pesenti received her PhD in Actuarial Science and Insurance from Bayes Business School (formerly Cass Business Scohol) , London, UK. Her PhD thesis was awarded the Dimitris N. Chorafas Prize 2018 from the Weizmann Institute of Science. Further, Silvana holds a MSc and a BSc in Mathematics from ETH Zurich.
Dr. Sebastian Jaimungal is a full Professor of Mathematical Finance at the University of Toronto. He is the former Chair of SIAM’s activity group in Financial Mathematics and Engineering, a managing editor of Quantitative Finance, and an associate editor for the SIAM Journal on Financial Mathematics, and the Journal of Dynamics and Games, among others. Dr. Jaimungal is a Fellow of the Fields Institute for Mathematical Sciences and a member of the Oxford-Man Institute. His research interests include reinforcement learning, stochastic control and games, and algorithmic trading.
13:45 – 14:15
Applications of Semi Analytic Conditional Expectations
Jörg Kienitz is a partner at Quaternion, Acadia’s Quant Services division. He owns the finciraptor.de website - an educational platform for Quantitative Finance and Machine Learning. Jörg consults on the development, implementation, and validation of quantitative models. He is an Assistant Professor at the University of Wuppertal and an Adjunct Associate Professor in AIFMRM at the University of Cape Town. He regularly addresses major conferences, including Quant Minds, RISK or the WBS Quant Conference. Jörg has authored four books, Monte Carlo Frameworks (with Daniel J. Duffy), Financial Modelling (with Daniel Wetterau), and Interest Rate Derivatives Explained I and II (with Peter Caspers). He also co-authored research articles that appeared in leading journals like Quantitative Finance, RISK or Mathematics in Industry.
14:15 – 14:45
Networking break
14:45 – 15:15
Feynman’s Path Integrals and Option Pricing – fast semi-analytical pricing for term structure and credit models
Luca works in the Quantitative Analysis and Technology (QAT) department in New York where he is the Global Head of Quantitative Strategies Credit, and he is responsible for both front office (pricing models, and eTrading) and capital models (including Var/IRC/FRTB SA, IMA and DRC) covering a variety of businesses including Global Credit Products, Structured Credit and Financing, Structured Notes, Corporate Bank, Commodities, Life Finance, and Treasury. He is also responsible globally for Liquidity Modelling and IRRBB.
Previous to this role, he was the global head of Quantitative Strategies for Credit and Structured Notes; he was the EMEA head and the US head of Quantitative Strategies Global Credit Products; he worked in Commodities in New York and London, and he was part of the cross-asset modeling R&D group of QS in the London office.
Luca is also visiting professor at the Department of Mathematics at University College London, Adjunct Professor at NYU, Tandon School of Engineering, and Adjunct Professor at Columbia University, at the Department of Industrial Engineering and Operations Research. His current research interests are in Credit Models, Computational Finance, and Machine Learning, with a focus on efficient numerical techniques for Derivatives Pricing and Risk Management, and applications of Adjoint Algorithmic Differentiation (AAD), which he has helped introduce to Finance and Physics, and for which he holds a US Patent. Luca has published over 70 scientific papers, with the top 3 papers collecting to date over 950 citations (h factor 25, i10 factor 46).
Prior to working in Finance, Luca was a researcher at the Kavli Institute for Theoretical Physics, Santa Barbara, California, working in High-Temperature Superconductivity and Quantum Monte Carlo methods for Condensed Matter systems. He has been awarded the Director's fellowship at Los Alamos National Laboratory, and the Wigner Fellowship at Oak Ridge National Laboratory.
Luca holds an M.S. cum laude in Physics from the University of Florence, and an M.Phil. and a Ph.D. cum laude in Condensed Matter Theory, from the International School for Advanced Studies, Trieste.
Specialties: Quantitative Analysis, Risk Management, Risk Measurement, Pricing and Hedging of Structured Products, Counterparty Credit Risk Management, Bank's own Credit Risk Management, Numerical Algorithms for Financial Engineering, Monte Carlo and Adjoint Methods, Teaching, and Training.
15:15 – 15:45
Stocks vs. Funds
Andrew Ang, PhD, Managing Director, is Head of Factors, Sustainable and Solutions (FS-Squared). He also serves as Senior Advisor to BlackRock Retirement Solutions. As part of BlackRock Systematic, FS-squared is responsible for proprietary factor investing, delivering cutting-edge sustainable alpha, ESG outcomes and product innovation.
Dr. Ang is a well-known financial economist specializing in quantitative investing. Author of over 100 publications, Dr. Ang has published on sustainable investing, equities, fixed income, optimal asset allocation, and alternative assets. His seminal papers include research in the minimum volatility factor, incorporating macro factors into bond pricing models and factor allocation. His book, Asset Management: A Systematic Approach to Factor Investing, has been translated into Chinese Japanese, Korean and Spanish. His recent research focuses on generating alpha with ESG data and net zero multi-asset investing.
Dr. Ang has been granted patents, and he has won several industry prizes and grants, including the Harry Markowitz award, the Bernstein Fabozzi/Jacobs Levy award, and prizes and grants from the Q Group, INQUIRE, Netspar, and the National Science Foundation. According to RePEc/IDEAS, the largest bibliographic database in the field of economics, Dr. Ang is rated in the top 0.1% of world-wide economists by citations, downloads, and views.
Before joining BlackRock, Dr. Ang was the Ann F. Kaplan Professor of Business at Columbia Business School. He was previously Chair of the Finance and Economics Division and a Faculty Research Fellow of the National Bureau of Economic Research. As a professor, Dr. Ang worked with several large institutional managers as an advisor. His work with industry was recognized by aiCIO naming him one of the top 10 most influential academics in the institutional investing world.
Dr. Ang earned a BEc(Hons) from Macquarie University, and a PhD in finance and MS in statistics from Stanford University.
15:45 – 16:15
Leveraging NLP in Financial Document Analysis
Yuyu Fan is a senior data scientist in the data science team. She leverages statistical, machine learning, and deep learning models to distill insights from financial data. Yuyu leads projects using latest NLP techniques to generate investment signals from text data. She also works on projects aiming to improve engagements and sales process with clients. Prior to joining the firm in 2018, Yuyu worked at College Board as a psychometrician intern for two years, using machine learning models to monitor test validity, reliability, and security. Yuyu holds a BA in sociology from Zhejiang University (Hangzhou, China), MAs from sociology and psychology from Fordham University, as well as a Ph.D. in psychometrics and quantitative psychology from Fordham University.
16:15 – 16:30
Afternoon networking break
Closing Keynote
16:30 - 17:15
16:50 – 17:30
Closing keynote panel: Developing the next CRO – what are the skills necessary to succeed in tomorrow’s economy?
- Multi-vertical careers – how much of an advantage can rotational programs and cross-departmental experiences provide for future leaders of risk?
- Understanding the tools – as risk management becomes more technical, how vast of a knowledge must a CRO have of computing power for things like machine learning and quantum computing?
Giuseppe ("gappy") Paleologo is head of risk management at Hudson River Trading (HRT), one of the largest principal trading firm in the world, where he is responsible for all risk facets across the firm. Before HRT, he was Head of Enterprise Risk at Millennium, and Director of Quantitative Research at Citadel, and a director at Axioma (not Qontigo). He spent several blissfully short years in the Mathematical Sciences department at IBM Research, and a long but eventful summer at Enron. He has a PhD in Management Science and Engineering from Stanford, and MS in Statistics, Operations Research, and Physics, from Stanford and the University of Rome.
17:30 – 19:00