Risk Live agenda - November

Risk Live agenda - November

Risk Live festival stages

All times in GMT

09:1509:25

Opening remarks and welcome to Risk Live 2020

10:00 - 10:10

Duncan Wood

Global editorial director

Risk.net

Duncan Wood is the London-based editor-in-chief of Risk.net. He was promoted to the role at the start of 2015, to lead the editorial reorganisation of the website and its print titles. Duncan had been editor of Risk magazine since July 2011. He rejoined Risk as European editor in October 2009, having originally worked for Risk and Asia Risk in London and Hong Kong as a writer and researcher between 1998 and 2000.
In the intervening years, Duncan was news editor for the Oliver Wyman-founded online start-up ERisk.com. He also worked freelance for six years while living in Germany, with his work appearing in Euromoney, Financial News, IFR, and The Wall Street Journal, as well as Risk magazine and its sister titles.
Duncan has written about derivatives and risk throughout his 17-year career in journalism. He is a Neal Awards finalist, and has also won Incisive Media's journalist and editor of the year awards.

10:3011:15

Regulatory keynote: Climate risk regulation
Fireside chat

10:30 - 11:30

  • Climate change & financial risks: how do we take action
  • Learning from covid-19 
  • The size and balance of future risks 
     
Sarah Breeden

Executive director, UK deposit takers supervision

Bank of England

Sarah is the Executive Director for UK Deposit Takers Supervision, responsible for the supervision of the UK’s banks, building societies and credit unions. She has oversight of the Bank of England’s (Bank) work enhancing the financial system’s resilience to climate change.
Sarah was previously the Executive Director for International Banks Supervision, where having joined the directorate in 2015, she was responsible for supervision of the UK operations of international banks.
Before moving into supervision, Sarah was a Director in the PRA’s Financial Stability Strategy and Risk Directorate, where she focused on developing the UK’s macroprudential policy making framework and supporting the Financial Policy Committee. Previously she was head of the division in the Financial Stability Directorate that assessed risks to financial stability from financial markets, the non-bank financial sector, and the real economy.
Sarah led the Bank’s work to support the transition of prudential regulation of banks and insurers from the Financial Services Authority to the Bank.
Prior to that she was head of the Bank’s Risk Management Division and head of Special Projects in the Markets Directorate, leading the design and risk management of financial market operations undertaken by the Bank including those launched during the financial crisis.

Tom Osborn

Editor

Risk.net

Tom Osborn is the desk editor of Risk.net's risk management coverage. Prior to joining Risk, he reported on the futures and foreign exchange industries for Dow Jones' Financial News and the Euromoney group of publications.

Tom holds a bachelor's degree in English literature from the University of Warwick, UK.

11:3012:00

Modelling the impact of climate risk

12:30 - 13:00

As catastrophe events become more frequent, more severe and start affecting new cities and regions, hear how the insurance industry is managing these challenges and explain how they are responding:

  • Regulatory drivers of climate change sensitivity testing
  • Integrating models and modelling the tail of catastrophe models
  • How to incorporate and quantify climate change risks 
Ioana Dima-West

Executive Director - Head of Model Research and Evaluation

Willis Re

Ioana has a PhD in Atmospheric Sciences from University of Washington and is heavily involved with the Willis Research Network and the application of scientific findings within our industry. She actively researches, works and presents within the climate change arena. 

12:3013:30

Climate change risk scenario analysis and stress testing
LUNCH BRIEFING

12:30 - 13:15

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This session will dive into one of the most discussed areas of climate change risk management - the climate risk scenario analysis and stress testing - and discuss the recent relevant developments and trends in the industry:

  • Relevant Lessons learned from the Pandemic crisis
  • Scenario analysis & Stress Testing in the context of climate change risk
  • The differences between ‘normal’ stress testing and climate change risk stress testing
  • Model Risk and Climate Change Risk Management
  • Climate Change Scenario analysis methodology examples
  • How can the right technology help?

This is a pre-registered session, should you wish to attend please contact [email protected] or register here.

Peter Plochan

EMEA principal risk specialist

SAS

Peter Plochan is the EMEA Principal Risk Management Advisor at SAS who helps financial institutions to deal with their challenges around finance and risk regulations, enterprise risk management, risk governance, forward looking risk analysis, stress testing, model risk management, risk modelling and climate change risk management. 

Peter has a finance background (Master’s degree in Banking) and is certified Financial Risk Manager (FRM) with 14 years of experience in risk management in financial sector. He has assisted various banking and insurance institutions with large-scale risk management implementations while working both internally and also externally as a risk management advisor (PwC). Since joining SAS in 2014, Peter serves as a global acting domain expert - leveraging the latest trends in risk analytics & technology with his deep risk management & finance expertise. 

Peter also acts as the Risk Management trainer for PRMIA (Professional Risk Management International Association) where he developed and delivers training on Model Risk Management and ERM & Stress Testing for the global risk community. Peter regularly speaks & presents at risk events/webinar and publishes risk management thought leadership materials. 

Adityadeb Mukherjee

Head climate risk management

Standard Chartered

Naeem Siddiqi

Senior advisor, risk management

SAS

Naeem Siddiqi is the author of Credit Risk Scorecards : Developing and Implementing Intelligent Credit Scoring, (Wiley and Sons, New York, 2005), Intelligent Credit Scoring : Building and Implementing Better Credit Risk Scorecards (Wiley and Sons, 2017), and various papers on credit risk topics.

Naeem meets with senior executives and decision makers from between 40-50 lenders globally each year, and provides strategic advice to them on areas such as the development and validation of credit scoring models, climate change risk, infrastructure planning for analytics, and retail credit risk strategy. He has also trained hundreds of bankers in over 25 countries on the art and science of credit scorecard development, and helps credit risk analysts develop better scorecards.


Naeem has an Honours Bachelor of Engineering from Imperial College of Science, Technology and Medicine at the University of London, and an MBA from the Schulich School of Business at York University in Toronto.

Rutang Thanawalla

Director, risk advisory

Deloitte

Rutang is currently a Director in Deloitte UK’s Risk Advisory practice. He leads on stress testing and climate risk management engagements with banks, insurers, exchanges and other financial service firms.

Prior to Deloitte, he has held numerous roles that span enterprise risk management in the financial services over nearly two decades. These include nearly a decade at two large global universal banks, a top 3 rating agency as well as insurance consulting. Rutang has a PhD in a quantitative discipline. A former Henry Grunfeld Research fellow, he is also a visiting scholar at the London Institute of Banking & Finance.

13:3014:30

Click and connect networking break

13:30 - 14:30

It’s as simple as that! Using the match-making technology, the Risk Live platform will identify people with similar interests to you. Arrange video meetings with your peers and sponsors to pick up where the panel discussion left off. 

14:3015:30

ESG investing during and post-pandemic

14:30 - 15:30

Recent research shows that ESG funds outperformed during the COVID-19 crisis, but experts predict that with increased investor expectations of issuers on ESG commitments, this is more than just a passing trend. The challenge becomes, how to improve the data sets and biases. 
 

  • The acceleration of ESG initiatives and outperformance of ESG funds
  • What is the long-term impact of COVID-19 on investor behavior? 
  • Investor trends and ESG integration vs Sustainable vs Impact
  • The role of data, analytics and new technology initiatives to create accurate and reliable ESG scoring 
  • The latest approaches to developing ESG filters
     
Jeroen Bos

Head of specialist equity & responsible investing

NN Investment Partners

Jeroen Bos, CFA, CAIA is Head of Specialised Equity & Responsible Investing at NN Investment Partners (NN IP) and part of its Management Team Investments. His portfolio of responsibilities includes a variety of Global and Regional Sustainable & Impact Equity Funds, as well as a range of Global & European Equity funds.

Jeroen is also a member of NN IP's ESG Board and has been instrumental in the development of ESG integration at NNIP in the last decade. In recent years, the focus on combining ESG data with new technologies (NLP, ML) to create new and improved insights has gained momentum at NNIP. His previous roles at NN IP included Head of Global Equity Research as well as Senior Portfolio Manager on several Global Equity & Thematic Funds.

Before joining NN IP, Jeroen was a Director at UBS in New York in the Technology Equity Research Team. Prior to UBS, he was a Vice President at JP Morgan in London and a Senior Equity Analyst at MeesPierson/Fortis in Amsterdam. Jeroen is also a Board Member of CFA Society VBA Netherlands as well as a Board Member of the Work with Nature Foundation, a non-profit organization protecting Costa Rica’s rainforest.

Louise Dudley

CFA, portfolio manager

Federated Hermes, International

Louise joined the international business of Federated Hermes in March 2009 and leads the ESG and responsible investment research strategy within the Global Equities team. Building on her experience developing factor testing platforms and enhancing the factor modelling capabilities of the team’s systems, Louise has applied this comprehensive analysis to ESG applications. Having delivered research supporting the returns from ESG integration, this has led to the creation of innovative customised product solutions and tools fulfilling client needs. Louise originally joined the company as a member of the stewardship advisory business, EOS. Prior to this, she worked for Coca Cola in a financial accounting role having graduated with a Master’s degree in Engineering from the University of Durham. Louise holds the IMC and is a CFA charterholder.  She is a board member of the UK Sustainable Investment & Finance Association and in 2017 was named one of Financial News' Rising Stars of Asset Management.

Brunno Maradei

Global head of responsible investment

Aegon Asset Management

Brunno Maradei is the Global Head of Responsible Investment at Aegon Asset Management. Prior to this role he was a Senior Investment Officer at the European Investment Bank, working mostly on structured finance for infrastructure projects in Africa.  

Brunno has worked in the finance industry for over 20 years, starting in Morgan Stanley’s risk management practice  in London and subsequently moving to JPMorgan.  Brunno spent over three years in the leadership team at EIRIS, a leading ESG research house in London, and over eight years in the World Bank Group in Washington, where he developed sustainable investment products for emerging markets and structured blended finance for renewable energy projects in Africa.

Brunno also spent two years advising the European Commission on blended finance for development impact.  Brunno is a CFA charterholder, holds an MBA from London Business School and a BSc (Econ) from the London School of Economics.

Melissa R. Brown

Managing director, applied research

Qontigo

As the Head of Applied Research, Melissa Brown generates unique insights into risk trends by consolidating and analyzing the vast amount of data on market and portfolio risk maintained by Axioma (now part of Qontigo).
Melissa’s perspectives help both clients and prospects to better understand and adapt to the constantly changing risk environment. As an author of Qontigo Insight: Quarterly Risk Review, Melissa reports on the state of risk in publicly traded equity markets around the globe. In addition, she produces periodic special reports on a broad range of topics of interest to investors and asset owners, is a frequent speaker on the subject of market risk and is often quoted by the financial media.
Prior to joining Axioma (now part of Qontigo) in 2011, Melissa was Managing Director and head of the institutional business at Wintrust Capital Management. Before that she spent 10 years at Goldman Sachs Asset Management, most recently as a Partner in the Quantitative Investment Strategies (QIS) Group. At Goldman Sachs Asset Management, she worked closely with clients as the senior portfolio manager for GSAM’s US Equity Strategy, before becoming co-head of Client Portfolio Management in the QIS Group. She was previously Director of Quantitative Research at Prudential Securities, where among other things she popularized the idea of the “cockroach theory” of earnings surprise and appeared on Institutional Investor’s “All-Star” list for 10 straight years.
Melissa is a Chartered Financial Analyst. She holds a BS in economics from The Wharton School of the University of Pennsylvania and an MBA in finance from New York University.

Christina McGuire

CEO

Elephant Asset Management

Christina is the founder and portfolio manager of Elephant Asset Management – an investment firm focused on publicly listed small-/mid-cap companies in emerging Asia and Africa. Before that, she was a founding partner and the Chief Investment Officer of Aperios Partners Investment Management, which had a similar investment strategy. Prior to founding Aperios, Christina was a Portfolio Manager at Goldman Sachs Asset Management (“GSAM”) specialising on international small-/mid-cap companies and China A-shares. Christina began her financial career in 2001, joining GSAM initially as a research analyst before taking on portfolio management responsibilities. She has been a CFA charterholder since 2004 and received her MBA from Harvard Business School in 2001.

Christina started her career in the medical profession, received her Doctor of Medicine from the Technical University in Munich in 1997 and practiced in various emerging countries across Asia and Africa. Christina also obtained a Doctorate in Psychiatry from the Ludwig-Maximilians-University, Munich.

Eva-Maria Segur-Cabanac

Baker McKenzie

partner

15:3016:30

Risk and return in capital markets
Think Tank

15:30 - 16:30

  • The impact of climate risk on investment risk, especially for the last 6 months
  • Mobilizing investors toward the objective of decarbonization

This is a pre-registered session, should you wish to attend please contact [email protected] or register here.

Milica Fomicov

Research Associate

Imperial College London (Centre for Climate Finance and Investment)

Milica Fomicov is Research Associate at the Centre for Climate Finance and Investment at Imperial College Business School. Previously, she was a  Director and Portfolio Manager in the Multi-Asset Strategies team at BlackRock. She joined  BlackRock from JPMorgan, where she was a Portfolio Manager and a member of J.P. Morgan's CIO team based in London. Before joining J.P. Morgan, she ran US and Japan equity funds for Barclays. Ms Fomicov started her career at AllianceBernstein in the US.  

Fadi Zaher

head of index solutions & investment specialists

LGIM

Fadi Zaher is responsible for LGIM’s Index Research & Development. His role includes defining and leading LGIM’s Index Solutions across ESG, factor based (smart beta) investing and customised investment strategies. Prior to that, he led the Fixed Income and Currency Strategy and Research at Barclays Wealth and Kleinwort Benson, and held other senior positions at various financial institutions in the past decade. In his earlier career, Fadi worked at the European Central Bank and was previously a researcher and senior lecturer of finance and econometrics in Sweden. Fadi graduated from Lund University and holds a PhD in financial economics. He is also the author of the book: “Index Fund Management: A Practical Guide to Smart Beta, Factor Investing, and Risk Premia”

16:3016:40

Closing remarks

16:30 - 16:40

Brunno Maradei

Global head of responsible investment

Aegon Asset Management

Brunno Maradei is the Global Head of Responsible Investment at Aegon Asset Management. Prior to this role he was a Senior Investment Officer at the European Investment Bank, working mostly on structured finance for infrastructure projects in Africa.  

Brunno has worked in the finance industry for over 20 years, starting in Morgan Stanley’s risk management practice  in London and subsequently moving to JPMorgan.  Brunno spent over three years in the leadership team at EIRIS, a leading ESG research house in London, and over eight years in the World Bank Group in Washington, where he developed sustainable investment products for emerging markets and structured blended finance for renewable energy projects in Africa.

Brunno also spent two years advising the European Commission on blended finance for development impact.  Brunno is a CFA charterholder, holds an MBA from London Business School and a BSc (Econ) from the London School of Economics.

All times in GMT

10:3011:15

Innovation think tank - Behavioral risk management
Think Tank

10:15 - 11:15

  • The Risk management toolkit revisited
  • The Risk Managers worldview revisited
  • Decision making on risk: the process counts

This is a pre-registered session, should you wish to attend please contact [email protected] or register here.

Rene Doff

Chief Risk Officer

UK P&I Club N.V.

René Doff is an enterprise risk management (ERM) expert. He is the Chief Risk Officer of UK P&I Club N.V. in the Netherlands which is a specialist marine insurer. Prior, he held positions at various banks and insurance companies across Europe, including the European Insurance Federation, and set up and chaired the first Solvency II working group in the Neth­erlands. In addition, René is a lecturer at Amsterdam University and Nyenrode Business University on the topic of risk management. He published various best-selling risk management books for the insurance industry, but also publishes regularly.

 

11:3012:15

Innovation think tank - How AI is shaping model risk governance
Think Tank

11:30 - 12:15

  • Model risk management and data governance 
  • Addressing AI concerns with trust and transparency
  • Using AI to ensure data quality

This is a pre-registered session, should you wish to attend please contact [email protected] or register here.

Fabien Choujaa

Global head of algorithmic trading model risk management

Morgan Stanley

Fabien Choujaa is a senior leader in Algorithmic Trading and Artificial Intelligence with over 15 years of experience in both areas around the world. Fabien joined the Institutional Equity Division of Morgan Stanley as a Desk Strategist in 2014 and currently heads Algorithmic Trading Model Risk Management for all asset classes globally. Prior to this, Fabien was a Desk Quantitative Analyst at UBS headquarters and held research positions in Artificial Intelligence at IBM and Imperial College London.

Fabien Choujaa has a PhD in Machine Learning from Imperial College London for which he received the EPSRC PhD+ Doctoral Prize.

12:3013:30

Click and connect networking break

15:00 - 16:00

It’s as simple as that! Using the match-making technology, the Risk Live platform will identify people with similar interests to you. Arrange video meetings with your peers and/or sponsors to pick up where the panel discussion left off.

13:3014:30

Credit modelling in the era of a global pandemic

13:30 - 14:30

  • The challenges of modelling loan losses  
  • How did AI and algos weather in the Covid-19 storm?
  • Building robust model management resilient to rapid change and new risks
     
Manan Rawal

Head of Americas model risk management

MUFG

Manan N. Rawal, EVP and Head of Model Risk Management of HNAH since September 2017.  He joined HSBC in 2008 and has held positions in client risk management, market risk, and stress testing.  Prior to joining HSBC in 2008, Mr. Rawal has held trading and asset management roles at DKR Capital, Advent Capital, Swiss Re and Deutsche Bank spanning a period from 1994 – 2007.

He has an international executive MBA (Trium – HEC Paris, NYU, and the London School of Economics), M.Sc. in Economics (London School of Economics) and a B.S. in Finance from the Wharton School (University of Pennsylvania). He is also an adjunct faculty member of the New York Institute of Finance (https://www.nyif.com/).

His interests include thinking about the impact of technology / data / analytics on society, wine, traveling, and focusing on the positive.

Tom Osborn

Editor

Risk.net

Tom Osborn is the desk editor of Risk.net's risk management coverage. Prior to joining Risk, he reported on the futures and foreign exchange industries for Dow Jones' Financial News and the Euromoney group of publications.

Tom holds a bachelor's degree in English literature from the University of Warwick, UK.

Slava Obraztsov

Managing Director, Global Head of Model Validation

NOMURA

<p>Slava Obraztsov has been Global Head of the Model Validation Group at Nomura since 2007. His previous roles include Global Head of Model Validation at Bear Stearns, Senior Quantitative Model Risk Analyst at Commerzbank and Head of Risk Analytics at ANZ. He was awarded a PhD in Mathematics from Moscow State University and has held a number of academic positions at Russian and Australian universities.</p>

David Croen

Head of credit risk products

Bloomberg L.P.

David is head of credit risk products for Bloomberg, L.P., working on the firm’s enterprise risk services business. Prior to joining Bloomberg, David led risk management and valuation for global banks and asset managers, with specialization in credit and securitization. He contributed to the President’s Working Group on Financial Markets Best Practices for Risk Management (2008), and has advised U.S. regulators and accounting firms on complex structured finance transactions. David earned a B.A. in Applied Mathematics and an MBA in Finance, both from the University of Rochester.

14:3015:30

Ethics and accuracy: can technology improve the next generation of credit risk modelling?

14:00 - 15:00

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  • Building on a foundation of quality of data 
  • Using big data, ML and AI to improve modelling speed and outcomes 
  • Non-traditional sources of consumer and SME credit risk information 
  • Training credit algorithms 
  • How to avoid treating certain cohorts unfairly 
Francesco Consolati

EMEA Risk Modelling and Decision Director

SAS

After graduating in Economics at University of Rome 3, he started his career at ENI SpA in the Administration, Finance and Control Department, managing the Consolidated Financial Statements. He worked at the Vatican City State in the HR Department and then in the Information Systems Department as project leader for the implementation of the ERP system for the administrative management. At SAS since 2002 as Business Developer for SAS Financial Intelligence solutions, afterwards become Business Development Manager for Performance Management. He is then appointed Advisory Business Solution Manager - Risk & Finance. His current position is EMEA Risk Modelling and Decisioning Director. Married with 3 children, he loves reading contemporary history and spends his free time with family and friends.

Fabien Choujaa

Global head of algorithmic trading model risk management

Morgan Stanley

Fabien Choujaa is a senior leader in Algorithmic Trading and Artificial Intelligence with over 15 years of experience in both areas around the world. Fabien joined the Institutional Equity Division of Morgan Stanley as a Desk Strategist in 2014 and currently heads Algorithmic Trading Model Risk Management for all asset classes globally. Prior to this, Fabien was a Desk Quantitative Analyst at UBS headquarters and held research positions in Artificial Intelligence at IBM and Imperial College London.

Fabien Choujaa has a PhD in Machine Learning from Imperial College London for which he received the EPSRC PhD+ Doctoral Prize.

Harsh Singhal

Head of decision science and artificial intelligence validation

Wells Fargo

Harsh Singhal is Head of Decision Science and Artificial Intelligence Validation within the Model Risk group. His team is responsible for validating and approving all retail Credit Decision, Commercial Credit Rating, Financial Crimes & Fair Lending including Fraud and BSA/AML, Operations Risk, Marketing, and other artificial intelligence/machine learning models.

Prior to his current position,  Harsh was responsible for new model development for Wholesale Risk in Bank of America. Harsh also led the Retail IRB model qualification at Bank of America and contributed towards the development of first generation of deposit balance models for Asset-Liability management.

Prior to joining the financial industry, he worked on quantitative modeling for pharmaceutical and telecom industries. He is passionate about developing quantitative talent and fostering a culture of responsibility and intellectual curiosity. His technical expertise includes machine-learning, multivariate analysis, commercial and consumer credit.

He has a Master’s degree in Electrical Engineering and a Ph.D. in Statistics.

Luke Clancy

Editor-at-large

RISK.NET

Luke ClancyLuke Clancy is the London-based editor-at-large for Risk.net.

Sudheer Chava

Professor of Finance

Scheller College of Business at Georgia Institute of Technology

Dr. Chava is the Alton M. Costley Chair, a Professor of Finance at Scheller College of Business at Georgia Institute of Technology, Atlanta and leads the Financial Services Innovation Lab. He also serves as Finance Area Coordinator at Scheller and as the director of the nationally top 10 ranked Masters in Quantitative and Computational Finance (QCF) program at Georgia Tech (a joint program of School of Mathematics, Industrial and Systems Engineering and Scheller College of Business).

Sudheer Chava received his Ph.D. from Cornell University in 2003. Prior to that he has an MBA degree from Indian Institute of Management – Bangalore, an undergraduate degree in Computer Science Engineering and worked as a fixed income analyst at a leading investment bank in India. He joined Georgia Tech in 2010.

Dr. Chava has taught a variety of courses at the undergraduate and master’s level including FinTech Ventures, Derivatives, Risk Analytics, Valuation, Cases in Financial Crisis, Management of Financial Institutions, Computational Finance and Credit Risk Analytics. He has also taught both theoretical and empirical finance courses at the doctoral level.

Dr. Chava’s research interests are in Credit Risk, Banking, FinTech, Household Finance, Empirical Asset Pricing and Corporate Finance. He has published extensively in the top journals in Finance including Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Management Science, Review of Finance, Journal of Monetary Economics and Journal of Financial and Quantitative Analysis. His research has won a Ross award for the best paper published in Finance Research Letters in 2008, was a finalist for Brattle Prize for the best paper published in Journal of Finance in 2008 and was nominated for the Goldman Sachs award for the best paper published in Review of Finance during 2004. Dr. Chava is the recipient of multiple external research grants such as FDIC-CFR Fellowship, Morgan Stanley Research grant, Blackrock Prize for the best paper at the Australasian Finance Conference, Financial Service Exchange Research grant, Q group research award (2010, 2012) and GARP research award. He has presented his work at numerous finance conferences such as AFA, WFA, EFA, FDIC and Federal Reserve Banks and at many universities in the U.S. and abroad.

15:3016:30

Click and connect networking break

15:00 - 16:00

It’s as simple as that! Using the match-making technology, the Risk Live platform will identify people with similar interests to you. Arrange video meetings with your peers and/or sponsors to pick up where the panel discussion left off.

16:3017:15

Keynote: AI in financial services

16:00 - 17:00

Manuela Veloso

Managing director, head of AI research

J.P. Morgan and School of Computer Science at Carnegie Mellon University

Manuela M. Veloso is the Head of J.P. Morgan AI Research, which pursues fundamental research in areas of core relevance to financial services, including data mining and cryptography, machine learning, explainability, and human-AI interaction. J.P. Morgan AI Research partners with applied data analytics teams across the firm as well as with leading academic institutions globally.

Professor Veloso is on leave from Carnegie Mellon University as the Herbert A. Simon UniversityProfessor in the School of Computer Science, and the past Head of the Machine Learning Department. With her students, she had led research in AI, with a focus on robotics and machine learning, having concretely researched and developed a variety of autonomous robots, including
teams of soccer robots, and mobile service robots. Her robot soccer teams have been RoboCup world champions several times, and the CoBot mobile robots have autonomously navigated for more than 1,000km in university buildings.

Professor Veloso is the Past President of AAAI, (the Association for the Advancement of Artificial Intelligence), and the co-founder, Trustee, and Past President of RoboCup. Professor Veloso has been recognized with a multiple honors, including being a Fellow of the ACM, IEEE, AAAS, and AAAI. She is the recipient of several best paper awards, the Einstein Chair of the Chinese Academy of Science, the ACM/SIGART Autonomous Agents Research Award, an NSF Career Award, and the Allen Newell Medal for Excellence in Research. 

Professor Veloso earned a Bachelor and Master of Science degrees in Electrical and Computer Engineering from Instituto Superior Tecnico in Lisbon, Portugal, a Master of Arts in Computer Science from Boston University, and Master of Science and PhD in Computer Science from Carnegie Mellon University. See www.cs.cmu.edu/~mmv/Veloso.html for her scientific publications.

17:1517:20

Closing remarks

17:15 - 17:20

Duncan Wood

Global editorial director

Risk.net

Duncan Wood is the London-based editor-in-chief of Risk.net. He was promoted to the role at the start of 2015, to lead the editorial reorganisation of the website and its print titles. Duncan had been editor of Risk magazine since July 2011. He rejoined Risk as European editor in October 2009, having originally worked for Risk and Asia Risk in London and Hong Kong as a writer and researcher between 1998 and 2000.
In the intervening years, Duncan was news editor for the Oliver Wyman-founded online start-up ERisk.com. He also worked freelance for six years while living in Germany, with his work appearing in Euromoney, Financial News, IFR, and The Wall Street Journal, as well as Risk magazine and its sister titles.
Duncan has written about derivatives and risk throughout his 17-year career in journalism. He is a Neal Awards finalist, and has also won Incisive Media's journalist and editor of the year awards.

All times in GMT

11:2011:30

Chair's opening remarks

10:15 - 10:25

Julien Jarmoszko

change consultant

Julien Jarmoszko is an asset management consultant helping clients improve portfolio management processes and embrace digitalisation.  

He started his career as a fund manager for Société Générale Asset Management and Credit Suisse then moving to the front office, helping ABG Sundal Collier and Fisher Investments Europe expand on the French market. He subsequently led the EMEA product management unit for S&P Global Market Intelligence before embracing leading technology with Fintech Move Digital AG and as advisor for a Fintech accelerator.

Julien is a graduate from Edhec Business School in France and a CFA charter holder. He currently lives in Zurich with his wife and two children. In his private time, he is a writer and gives back to the community as a volunteer fireman.  

11:3012:15

Academic outlook: The impact of Covid-19 on the market's long-term risk perceptions

10:30 - 11:15

  • Long-dated derivatives prices react to Covid-related policy news and can be reverse-engineered to back out the market’s long-run risk perceptions.

  • We look at how the tail quantiles of long-term returns on market indices and individual stocks in various sectors react to monetary and macro-prudential Covid19 related policy announcements.

  • Which of these policies were viewed as mitigating future downsides and increasing future upsides?

  • Which policies were able to shift beliefs most and at what maturities did they have most bite?

  • Do let me know if this is what you had in mind, more than happy to amend.

Jean-Pierre Zigrand

co-director of the Systemic Risk Centre and associate professor of finance

London School of Economics

Jean-Pierre Zigrand is Co-director of the Systemic Risk Centre, Co-director of the Financial Markets Group and Associate Professor of Finance at the London School of Economics. His research interests are in the areas of systemic risk and asset pricing in which he has an extensive publication record. His teaching is principally in quantitative finance at MSc, PhD and executive levels. Dr Zigrand is the director of the LSE MSc Finance executive programme. He is a member of the Bank of England Bank’s Macroprudential Panel - Market Subgroup and has acted as a consultant to private sector financial institutions, to the Luxembourgish Central Bank as well as to regulatory bodies. He has been a Lead Expert to the UK Foresight Team on the Future of Computer Trading. Dr Zigrand has a BA and MA in Economics from the Catholic University of Louvain and a PhD in Economics from the University of Chicago.

13:3014:30

Click and connect networking break

13:30 - 14:30

It’s as simple as that! Using the match-making technology, the Risk Live platform will identify people with similar interests to you. Arrange video meetings with your peers and sponsors to pick up where the panel discussion left off. 

14:3015:15

Reconsidering risk management and stress testing for investors

14:30 - 15:30

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Covid-19 has changed the way investors think about stress testing. What are the lessons learnt and how can firms develop more creative stress tests 

  • Looking beyond historical data and traditional financial indicators 
  • Considering more non-financial risks such as climate change, geopolitics and technology 
  • Constructing future scenarios & new approaches to stress testing 
Boryana Racheva-Iotova

Senior VP, Global Head of Quantitative Analytics and Risk

FACTSET

Boryana Racheva-Iotova, co-founder of FinAnalytica and former Global Head of Risk at BISAM is now Senior Vice President in charge of Risk Research and Cognity Operations at FactSet. She has over 15 years of experience in building risk and quant portfolio management software solutions. Before founding FinAnalytica, Boryana has led the implementation of a Monte-Carlo based VaR calculation to meet the Basel II requirements at SGZ Bank, as well as the development of six patented methodologies for FinAnalytica. She holds a Master of Science in Probability and Statistics at Sofia University, and a Doctor of Science, magna cum laude from Ludwig Maximilian University of Munich.

Christopher Reeve

Director of Risk

Aspect Capital

Pascal Traccucci

Global head of risk

La Francaise Asset Management

Pascal Traccucci is group head of risk at La Francaise Asset Management since February 2015. He was previously responsible for enterprise risk management at Allianz Asset Management, holding company of PIMCO and Allianz Global Investors and Global Head of Investment Risk at Invesco in London. After starting his career at JPMorgan in the capital arkets research team he held various positions in portfolio and product management with Invesco in different European locations. He graduated in both business and mathematics from Lyon and Frankfurt universities.

Rob Mannix

Desk Editor, Asset Management

RISK.NET

Rob MannixRob Mannix is the desk editor for asset management and insurance, covering risk management, derivatives and regulatory issues as they affect the buy side. He was previously responsible for Risk.net's insurance coverage.

15:3015:50

Reconsidering risk management and stress testing: A deeper dive

15:30 - 15:50

Join Boryana Racheva-Iotova, FactSet, for this 20 minute deeper dive on the key topics discussed as part of the expert panel session, “Reconsidering Risk Management and Stress Testing for investors”. As Director or Risk and Quantitative Research at FactSet, and with over 15 years of experience building risk and quant portfolio management software solutions, Boryana will aim to review the key practical applications of new approaches to risk analysis and stress testing needed for a faster-moving investment environment:

  • Key shifts in risk management practices and modelling evoked during 2020
  • Global economy stress-testing and scenarios construction based on FactSet’s unique data-sets
  • Semi-objective quantitively-based assessment of the stress-tests probability
Boryana Racheva-Iotova

Senior VP, Global Head of Quantitative Analytics and Risk

FACTSET

Boryana Racheva-Iotova, co-founder of FinAnalytica and former Global Head of Risk at BISAM is now Senior Vice President in charge of Risk Research and Cognity Operations at FactSet. She has over 15 years of experience in building risk and quant portfolio management software solutions. Before founding FinAnalytica, Boryana has led the implementation of a Monte-Carlo based VaR calculation to meet the Basel II requirements at SGZ Bank, as well as the development of six patented methodologies for FinAnalytica. She holds a Master of Science in Probability and Statistics at Sofia University, and a Doctor of Science, magna cum laude from Ludwig Maximilian University of Munich.

16:0017:00

Liquidity risk management, post Covid-19

16:00 - 17:00

  • Recognizing liquidity imbalances and navigating the uncertainty of Covid-19 
  • Re-assessing liquidity risk
  • Incorporating investor behavior into stress testing models 
  • Stress testing before and after Covid 19 – how have the methods adapted?
  • The future of liquidity risk management 
     
Nasreen Kasenally

Global chief risk officer

UBS ASSET MANAGEMENT

Nasreen Kasenally is the Chief Risk Officer, UBS Asset Management, based in London. She is responsible for the implementation of principles and appropriate independent control frameworks for Credit, Market, Treasury, and Country risks within UBS Asset Management. She is a member of the Risk Executive Committee and the Asset Management Executive Committee. Nasreen also has oversight of the EMEA Risk (excl IB UK and Switzerland). Prior to her current role, Nasreen was Global Head of Traded Market Risk for UBS Group where she was responsible for independently controlling the Traded Market Risks across the various business groups, covering Equities, Fixed Income, Rates and FX. She joined UBS in 1999 as an Equity Market Risk Officer, before becoming Senior Market Risk Officer, UBS Wealth Management Americas in 2003, based in the US. She returned to the Investment Bank in 2004 where she held various regional roles (in London and the US), before she became Global Head of Equities Market Risk in 2008. Prior to joining UBS IB, Nasreen worked at Tokai Bank Europe.

Kris Devasabai

editor-in-chief

Risk.net

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.

Seb Smodis

Global head of Liquidity Risk Management

State Street Global Advisors

Seb is a Vice President and Global Head of State Street Global Advisors Liquidity Risk Management, and is responsible for ensuring a robust liquidity risk management framework and governance across the organisation. He also chairs the SSGA Liquidity Committee and is a member of the State Street Country Risk Committee.

Before that he was a Senior Investment Risk Manager responsible for risk oversight across Europe Middle East and Africa (EMEA) fixed income, liability driven investment (LDI) and multi-asset class portfolios.

Seb holds a post-experience Masters in Finance degree from London Business School and has earned the Chartered Financial Analyst (CFA) charter and Global Association of Risk Professionals (GARP) Financial Risk Manager (FRM) certificate.

Bradley Foster

Head of enterprise content

Bloomberg

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.

Daniel Leon

Global head of trading, treasury management and global solutions

HSBC Global Asset Management

17:1518:00

The transformation of asset management - innovations and challenges

17:17 - 18:00

  • Industry transformation 
  • The new cost of doing business – outsourcing vs insourcing for end users
  • Transformation and new dimensions to master
Brice Benaben

Head of rates MR quant research

JP Morgan

Julien Jarmoszko

change consultant

Julien Jarmoszko is an asset management consultant helping clients improve portfolio management processes and embrace digitalisation.  

He started his career as a fund manager for Société Générale Asset Management and Credit Suisse then moving to the front office, helping ABG Sundal Collier and Fisher Investments Europe expand on the French market. He subsequently led the EMEA product management unit for S&P Global Market Intelligence before embracing leading technology with Fintech Move Digital AG and as advisor for a Fintech accelerator.

Julien is a graduate from Edhec Business School in France and a CFA charter holder. He currently lives in Zurich with his wife and two children. In his private time, he is a writer and gives back to the community as a volunteer fireman.  

Yoram Lustig

head of multi-asset solutions, EMEA

T. Rowe Price

Suni Harford

President

UBS Asset Management

Suni Harford was named President of Asset Management in October 2019. UBS AM is one of the largest asset managers globally, with USD 980 billion in invested assets and a presence in 22 markets. The firm offers world-class investment capabilities and styles across all major traditional and alternative asset classes, as well as platform solutions and advisory support. It is recognized for its innovation and thought leadership in key areas, such as sustainable and impact investing, and is the #1 foreign manager in China.
Suni is Chair of UBS AM's Executive Committee, Risk Committee, and is a member of the UBS Group Executive Board. She is a board member for the UBS’s Optimus Foundation, and the executive sponsor of UBS’s Sustainable Finance Committee.
She joined the firm as Head of Investments in 2017 where she was responsible for the investment team for UBS AM's traditional asset classes, passive and active, and UBS O'Connor, UBS AM's multi strategy hedge fund.
Before joining UBS, Suni worked at Citigroup for almost 25 years, most recently as the Regional Head of Markets for North America, with responsibility for sales, trading, origination and research across all fixed income, currencies, commodities, equities and municipal businesses. Suni was also a member of Citi's Pension Plan Investment Committee and a Director on the Board of Citibank Canada.

During her earlier career, Suni was Citi's Global Head of Fixed Income Research (2004-2008), was the Co-Head of Debt Capital Markets, and served as CEO of The Yield Book Inc., an analytics company and wholly-owned subsidiary of Citigroup. She started her Wall Street career at Merrill Lynch & Co. in Investment Banking.
Suni is a co-chair of the World Economic Forum Global Future Council on Investing. Sheis a founding sponsor of Veterans on Wall Street, on the Advisory board of the Bob Woodruff Foundation and is involved in many organizations raising awareness and support for the US veteran community. She is actively involved in UBS's Diversity & Inclusion Committee and a senior sponsor of UBS's women's networking and mentorship organization, All Bar None. She has served on the Board of Directors of The Forte Foundation, a US non-profit organization dedicated to increasing the number of women leaders in business.
Suni has held seats on the Board of several industry associations including the Depository Trust and Clearing Corporation and Securities Industry Financial Management Association. She is a regular contributor to industry conferences and keynotes and has been named one of American Banker’s Top 25 Women in Finance nine times.
Suni lives in Connecticut with her husband Woody, their three children Devon, Jenna and Liam, and their dogs, Sully and Mike Wazowski.

Graham Robertson

Partner & head of client portfolio management

Man AHL

18:0018:10

Closing remarks

18:00 - 18:10

Julien Jarmoszko

change consultant

Julien Jarmoszko is an asset management consultant helping clients improve portfolio management processes and embrace digitalisation.  

He started his career as a fund manager for Société Générale Asset Management and Credit Suisse then moving to the front office, helping ABG Sundal Collier and Fisher Investments Europe expand on the French market. He subsequently led the EMEA product management unit for S&P Global Market Intelligence before embracing leading technology with Fintech Move Digital AG and as advisor for a Fintech accelerator.

Julien is a graduate from Edhec Business School in France and a CFA charter holder. He currently lives in Zurich with his wife and two children. In his private time, he is a writer and gives back to the community as a volunteer fireman.  

All times in GMT

11:3012:30

The future of e-trading and automation

11:30 - 12:30

  • How e-trading will spread to new instruments 
  • Algo trading  
  • A reflection on remote working - marketing monitoring, execution risks, governance, staff wellbeing & mental health; third part risk, cyber risks
  • The irrefutable role of technology during a crisis 
     
Ed Wicks

head of trading, EMEA

LGIM

Ed Wicks leads the Global Trading Team at LGIM. In this role Ed has overall responsibility for the trading function, as well as oversight of LGIM’s suite of Liquidity Funds. Ed joined LGIM in 2015 from BlackRock where he was responsible for designing and implementing trading strategies for the beta, LDI and transition groups. Prior to that he was a Delta 1 trader at J.P. Morgan, responsible for several index trading books and derivative market making activities. Ed graduated from Loughborough University and holds an MSc in Business Management as well as a BA (hons) in Economics and Politics.

Martin Pluves

Chief Executive Officer, Director

FICC Markets Standards Board

Chris Dickens

COO EMEA, Global Markets

HSBC

Rosie Murphy Williams

Chair of remote working risks & control group

FICC Markets Standards Board

Jonathan Finney

Global head of equity development, APAC

Citadel Securities

Jonathan Finney is Global Head of Equity Development at Citadel Securities. He is responsible for overseeing the firm’s electronic trading relationships with APAC banks, brokers, asset managers and exchanges, and for identifying new business opportunities across Asia.

Prior to joining Citadel Securities, Mr. Finney worked at Fidelity International for 11 years, most recently as Head of Systematic Trading.

Mr. Finney received a bachelor’s degree in History from the University of York before receiving a Graduate Diploma in Law from the College of Law, York.

Carlos Gomez Gascon

Head of macro algo execution

JP Morgan Chase

12:4513:30

Remote working risks in FICC markets
Think Tank

12:30 - 13:30

This is a pre-registered session, should you wish to attend please contact [email protected] or register here.

Martin Pluves

Chief Executive Officer, Director

FICC Markets Standards Board

13:3014:30

Click and connect networking break

13:30 - 14:30

It’s as simple as that! Using the match-making technology, the Risk Live platform will identify people with similar interests to you. Arrange video meetings with your peers and sponsors to pick up where the panel discussion left off. 

14:3015:30

Is the future bilateral?

13:30 - 14:30

As buy and sell-side firms become more sensitive to the problems of market impact and information leakage, Clobs and even RFqs may seem too noisy. 

  • Are bilateral streams the way forward? 
     
David Leigh

global head of FX spot and electronic trading

Deutsche Bank

Srichakri Adhikarapatti

Global head of eFX, rates and credit quant trading

UBS

Global Head of eFX, Rates and Credit Quant Trading – Responsible for the Principal Electronic FX Market Making business at UBS spanning spot FX, Precious Metals and NDFs(Non-Deliverable Forwards) as well as overseeing the Rates and Credit Quant trading teams.

Duncan Wood

Global editorial director

Risk.net

Duncan Wood is the London-based editor-in-chief of Risk.net. He was promoted to the role at the start of 2015, to lead the editorial reorganisation of the website and its print titles. Duncan had been editor of Risk magazine since July 2011. He rejoined Risk as European editor in October 2009, having originally worked for Risk and Asia Risk in London and Hong Kong as a writer and researcher between 1998 and 2000.
In the intervening years, Duncan was news editor for the Oliver Wyman-founded online start-up ERisk.com. He also worked freelance for six years while living in Germany, with his work appearing in Euromoney, Financial News, IFR, and The Wall Street Journal, as well as Risk magazine and its sister titles.
Duncan has written about derivatives and risk throughout his 17-year career in journalism. He is a Neal Awards finalist, and has also won Incisive Media's journalist and editor of the year awards.

15:3016:15

Hall of Horrors - Diversity or Die
Think Tank

15:30 - 16:30

The compelling case for ensuring we are diverse in our organisations, thinking and future. Join this insightful session to understand how diversity of thought is critical to the survival of many organisations. Diversity isn’t just about gender or race. There are intersectional lens that need to be applied to avoid the black holes. Find out more on what happens when you don’t address the diversity risks which can lead to catastrophic consequences.

  • Ethnically
  • Mental health
  • Intersectionality

This is a pre-registered session, should you wish to attend please contact [email protected] or register here.

Rini Laskar

Director, Investment banking technology

UBS

Rini was recently named as one of the most inspirational women in the City of London in 2019 by Brummell magazine, for her work in Investment banking technology and as a leader in the field of diversity. 

She studied at the University of Warwick then forged a career as a management consultant working in Oil and Gas in global locations such as Dubai, Singapore and the US. 

As a Director at UBS Rini has led some of the most high profile technology initiatives in the organisation including Cloud Transformation, Artificial Intelligence and Biometric Authentication.  

Rini gives back to her local community as a board member of BritBangla. She is Co-Chair member of the BAME diversity network at UBS representing over 1000 members which has board level sponsorship from Switzerland. Rini is also identified as one of the top 100 muslim women in the UK under Baroness Uddin’s ‘Change the script’ initiative. 

16:3017:15

Can volatility make you sick?
and what does this mean for risk managers in the future

16:30 - 17:15

The Covid-19 pandemic has been accompanied by a historic spike in market volatility and in non-Covid excess mortality. Is there any connection between high volatility and adverse health outcomes? A virus is the obvious connection today, although the virus may not account for all the increased non-Covid health problems. And besides, many of the same health outcomes occurred during the 2008-10 Financial Crisis, when there was no virus. Today neuroscience and physiology can help us understand the connection between volatility and health. 

John will present data from studies conducted on hedge fund and asset manager trading floors in which he sampled from traders’ endocrine and immune systems, as well monitoring their cardiovascular systems via wearable tech. The findings show that traders do not just process information coming across their screens; they react to it physically. This reaction can then affect their health, and crucially their risk preferences and P&L.

These findings raise a tricky question: if risk taking is powerfully driven by physiology what will risk management look like in the future?
 

John Coates

former derivatives trader and research fellow in neuroscience and finance at University of Cambridge

17:1517:20

Closing remarks

17:15 - 17:20

Duncan Wood

Global editorial director

Risk.net

Duncan Wood is the London-based editor-in-chief of Risk.net. He was promoted to the role at the start of 2015, to lead the editorial reorganisation of the website and its print titles. Duncan had been editor of Risk magazine since July 2011. He rejoined Risk as European editor in October 2009, having originally worked for Risk and Asia Risk in London and Hong Kong as a writer and researcher between 1998 and 2000.
In the intervening years, Duncan was news editor for the Oliver Wyman-founded online start-up ERisk.com. He also worked freelance for six years while living in Germany, with his work appearing in Euromoney, Financial News, IFR, and The Wall Street Journal, as well as Risk magazine and its sister titles.
Duncan has written about derivatives and risk throughout his 17-year career in journalism. He is a Neal Awards finalist, and has also won Incisive Media's journalist and editor of the year awards.

All times in GMT

10:2510:30

Opening remarks

10:00 - 10:10

Mauro Cesa

Quantitative finance editor

Risk.net

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

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

10:3011:30

Agent-based models in finance and scenario generation

10:30 - 11:15

Jean-Philippe Bouchaud

Chairman

CAPITAL FUND MANAGEMENT

<p><strong>Jean-Philippe Bouchaud, Chairman, CAPITAL FUND MANAGEMENT (Risk.net 2017 Quant of the Year &amp; Buy-Side Quant of the Year 2018)</strong></p>
<p>Jean-Philippe is Chairman and Chief Scientist. He supervises our research department with Marc and maintains strong links between our research team and the academic world. He is also a professor at Ecole Polytechnique where he teaches Statistical Mechanics and a course on "Complex Systems". He joined CFM in 1994.</p>
<p>Quant of the Year 2017 -&nbsp;h<a href="https://www.risk.net/risk-magazine/analysis/2479713/quant-of-the-year-j…;
<p>Buy-Side quant of the Year 2018 -&nbsp;<a href="https://www.risk.net/awards/5364591/buy-side-quant-of-the-year-jean-phi…;

12:3013:30

Machine Learning for Long Risk Horizons: Market Generator Models

10:30 - 11:30

  • Market generators are machine learning algorithms for generating realistic samples of market data when historical time series has insufficient length or gaps.
  • Most of the recent research on market generators focused on daily time horizons (e.g. for market risk), where the time series has hundreds or thousands of non-overlapping periods for risk horizon of one day.
  • The problem of generating market scenarios for long time horizons (1 year to 30 years) has multiple important applications in risk management including credit limits, insurance (economic scenario generation) and macro investing.
  • It is considerably more difficult because the historical time series includes only a small number of non-overlapping risk horizon periods.
  • We present a novel type of machine learning based market generators that can be used to solve this long standing problem in risk management, and demonstrate the accuracy of generated scenarios on a large cross-sectional sample of data for interest rates and FX.
Alexei Kondratyev

Managing director, global head of data analytics, CCIB

Standard Chartered Bank

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

He joined Standard Chartered Bank in 2010 from Barclays Capital where he managed a model development team within Credit Risk Analytics. Prior to joining Barclays Capital in 2004, he was a senior quantitative analyst at Dresdner Bank in Frankfurt.

Alexei holds MSc in Theoretical Nuclear Physics from the University of Kiev and PhD in Mathematical Physics from the Institute for Mathematics, National Academy of Sciences of Ukraine.

He was the recipient of the 2019 Quant of the Year award from Risk magazine.

Alexander Sokol

Executive Chairman and Head of Quant Research

CompatibL

Alexander Sokol is the founder, Executive Chairman, and Head of Quant Research at CompatibL, a trading and risk technology company. He is also the co-founder of Numerix, where he served as CTO from 1996 to 2003, and the co-founder of Duality Group, where he served as CTO from 2017 to 2020.

Alexander won the Quant of the Year Award in 2018 together with Leif Andersen and Michael Pykhtin, for their joint work revealing the true scale of the settlement gap risk that remains even in the presence of initial margin. Alexander’s other notable research contributions include systemic wrong-way risk (with Michael Pykhtin, Risk Magazine), joint measure models, and the local price of risk (with John Hull and Alan White, Risk Magazine), and mean reversion skew (Risk Books, 2014).

Alexander earned his BA from the Moscow Institute of Physics and Technology at the age of 18, and a PhD from the L. D. Landau Institute for Theoretical Physics at the age of 22. He was the winner of the USSR Academy of Sciences Medal for Best Student Research of the Year in 1988.

13:3014:30

Click and connect networking break

15:00 - 16:00

It’s as simple as that! Using the match-making technology, the Risk Live platform will identify people with similar interests to you. Arrange video meetings with your peers and/or sponsors to pick up where the panel discussion left off.

14:3015:15

Libor transition and the arc-sin law

14:30 - 15:30

  • Fallback Libor adjustment spread will be calculated as a median of a time series of Libor-RFR spreads as observed on the Libor cessation announcement date
  • Median is a non-linear function of future observations of Libor-RFR spread
  • Its expected value depends on volatilities of future spreads, as well as observed history so far
  • We propose a model and build a numerically efficient approximation to the expected value of a median based on Arc-Sine Law and study the impact of future dynamics of the Libor-RFR spreads on the expected value of the Libor adjustment spread
     
Vladimir Piterbarg

MD, head of quantitative analytics and quantitative development

NatWest Markets

Vladimir Piterbarg is the global head of Quantitative Analytics at NatWest Markets since 2018. He held similar positions at Rokos Capital Management LLP, Barclays Capital/Barclays investment bank, and Bank of America. Vladimir Piterbarg has a PhD in Mathematics (Stochastic Calculus) from the University of Southern California. He serves as an associate editor of the Journal of Computational Finance and the Journal of Investment Strategies. Together with Leif Andersen, Vladimir Piterbarg wrote the authoritative, three-volume set of books “Interest Rate Modelling”. He published multiple papers in various areas of quantitative finance, and won Risk Magazine’s Quant of the Year award twice.

15:3016:15

Modeling Energy Curves for XVA

15:30 - 16:15

  • Seasonality in volatilities & correlations for energy curves; oil, gas, power, etc.
  • XVA & the importance of correlations
  • The Andersen ('10) model, akin to Cheyette ('92) with seasonality in response functions
  • Practical calibration via method-of-moments on empirical covariance matrices
  • Maximum likelihood via filtering & extensions
Andrew McClelland

Director, Quantitative Research

NUMERIX

Andrew McClelland, Ph.D., Director, Quantitative Research, Numerix

Andrew McClelland's work at Numerix focuses on counterparty credit risk issues including valuation adjustments and counterparty exposure production for structured products. He also works on numerical methods for efficient production of risk profiles under real-world measures.

Andrew received his Ph.D. in finance at the Queensland University of Technology in financial econometrics. His research involved markets exhibiting crash feedback, option pricing, and parameter estimation using particle filtering methods. His work has been published in the Journal of Banking and Finance, the Journal of Econometrics, and the Journal of Business and Economic Statistics.

16:1516:20

Closing remarks and end of Risk Live 2020

16:30 - 16:40

Mauro Cesa

Quantitative Finance Editor

RISK.NET

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