Risk Live agenda - November

Risk Live agenda - November

Risk Live festival stages

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

"Out of industry" perspective - 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. 

12:3013:15

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?
     
Peter Plochan

EMEA principal risk specialist

SAS

FRM certified Risk Management specialist with strong analytical mindset and finance background. By combining my 10+ years of Risk Management experience with SAS Analytical and Risk & Finance Solutions I am uniquely positioned to provide the leading financial institutions with valuable advice for addressing their Risk & Finance management challenges.

My main Finance & Risk Management competency areas include:
- Finance and Risk Management technology;
- Risk regulations ( Basels /CRDs, ICAAP, ILAAP, Solvency II, ORSA);
- Accounting standards: IFRS 9 ;
- Enterprise Risk Management;
- Model Risk Management;
- Financial Risk Management and Asset Liability Management;
- Risk data / analytics;
- Planning, Forecasting, Stress Testing, Scenario analysis and Capital management.
- Risk and Finance integration

I am passionate about helping companies to improve their existing risk and finance processes, providing advice, educating and driving business development in the areas above.

Adityadeb Mukherjee

Head climate risk management

Standard Chartered

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

portfolio manager

Hermes Investment

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.

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
     
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

13:3012:30

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.

14:3015:30

Next generation credit risk modelling – accuracy & ethics

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

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

Luke Clancy

Editor-at-large

RISK.NET

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

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.

16:3015:30

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.

10:3011:15

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.

11:3012:30

Life after Brexit for UK fund managers

12:30 - 13:30

12:3013:30

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

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.

16:0017:00

Liquidity risk management, post Woodford and 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

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.

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.

12:3013:30

Remote working risks in FICC markets
Think Tank

12:30 - 13:30

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? 
     

15:3016:15

Re-imagining the role of the dealer keynote

15:30 - 16:30

11:3012:30

Machine Learning for Distant Future: Market Generator Models

10:30 - 11:30

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

CEO and Head of Quant Research

CompatibL

Alexander Sokol is CEO and head of quant research of CompatibL, a risk technology vendorspecialising in XVA, Regulatory Capital and Adjoint Algorithmic Differentiation(AAD). Over the course of his 18-year career as a quant, he built valuation andrisk models used by over 350 financial institutions worldwide, including 4 outof 5 largest derivatives dealers. Alexander contributed to a number of recentadvances in risk management such as systemic wrong way risk (with MichaelPykhtin), the local price of risk (with John Hull and Alan White), a new modelfor the margin period of risk (with Leif Andersen and Michael Pykhtin), and thefirst commercial implementation of Vector AAD for enterprise XVA. He has a PhDin theoretical physics from the L.D. Landau Institute and is the leadmaintainer of ModVal.org, a free software library for model validation.

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.

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

15:3016:45

Stochastic basis modelling in commodities

15:30 - 16:15

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.