Virtual week

Virtual week

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Presents

Risk Live virtual week | June 30 - July 3, 2020


ALL SESSIONS ARE AVAILABLE ON DEMAND TO WATCH

The COVID-19 pandemic has shocked global stock markets and created a period of extreme volatility for financial services having a colossal impact on health and safety, the delivery of public events and restricting travel. In light of this, we postponed Risk Live to November 9-13, 2020 and transformed a selection of key sessions into a series of live and exclusive digital presentations, panels and interviews that took place on June 30 – July 3

While the future risk for financial services may be uncertain, one thing remains clear. The impact of coming together to share experience best practice is incomparable - whether it’s online or off. All session are free to watch and are available on demand, scroll down to take a look at the sessions. 

A series of virtual events covering the most pressing issues facing risk managers today

Market-generator models

Hear quant experts Horvath, Kondratyev and Schwarz explain a special type of generative neural network and the application of the latest techniques.

ON DEMAND

Buck Rogers

Global head of resilience risk

HSBC

Professor Cameron, or Buck Rogers as he prefers to be known, is currently Global Head of Resilience Risk at HSBC, he joined in June 2019. Buck joined from the Bank of England (BoE) where he was Chief Information Security Officer and latterly Chief Security Officer, during this period Buck designed the CBEST program, was responsible for managing the second line risk functions covering cyber, physical, BCIM and supporting the PRA on subject expertise in the Cyber space. Before joining the BoE, Buck held a number of senior leadership roles at the Ministry of Defence, following a 15-year career in the Royal Navy. Buck holds a Professorship in Cyber Security at the University of Gloucestershire, and in recognition of his contributions to the Information Security industry, Buck was awarded a fellowship from the Council of Registered Ethical Security Testers (CREST).

Outside of work, Family, Moomins, Depeche Mode and Norwich City FC fill his time.

Craig Rice

Director of cyber resilience and chief information security officer (CISO)

Aviva

Rowland Johnson

Director responsible for international development

CREST

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Tom Osborn

Editor, risk management

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.

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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.

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Edward Fishwick

Managing director, global co-head, risk & quantitative analysis,

Blackrock

Edward Fishwick, Managing Director, is Global Co-Head of Risk & Quantitative Analysis at BlackRock. In addition, he is a member of the European Executive and Global Operating Committees of the firm, and is a member of the Board of BlackRock Group Ltd.

Mr. Fishwick has worked in quantitative finance for over 30 years in London, New York and Boston. Previously he was Head of Risk Management and Investment Process Research at AXA Investment Managers, and Director of Research at Quantec.

Mr. Fishwick is a member of the Editorial Board of the Journal of Asset Management, and is the Chairman of the London Quant Group.

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Julien Turc

Head of the QIS lab, global markets

BNP Paribas

Julien Turc is a visiting researcher in economics at Ecole Polytechnique (Palaiseau) and head of the QIS Lab at BNP Paribas. He has 23 years of experience working on quantitative and systematic strategies in all asset classes. His research covers allocation processes, alternative risk premia and hedging. Julien used to be head of cross-asset quant strategy at Societe Generale. He teaches credit derivatives at Paris 6 University and graduated from Ecole Polytechnique in 1997.

Tony Morris

Global head quantitative strategies

Nomura

Tony is a Managing Director in Nomura’s Global Markets Research team, based in London. He heads the Quantitative Strategies (QS) team, which clients rank as one of the leading groups of its kind in the industry. QS focuses on objective measurement of fundamental economic and market dynamics around the world. Grounded in these measurements, QS makes recommendations that a number of internal and external clients track. Asset classes covered include interest rates, commodities, currencies, credit and equities. The team’s combined portfolio has outperformed relevant hedge fund benchmarks. Tony holds a PhD in financial economics from New York University and a BA from Dartmouth College, where he earned a place in the Phi Beta Kappa academic honour society

Danny White

Executive director, credit structuring

J.P. Morgan

Danny White is head of J.P. Morgan’s Credit Index Structuring team, responsible for creating quantitative investment strategies in the credit space that can be directly invested in by clients. Prior to moving to structuring in 2015, Danny worked in J.P. Morgan’s Credit Derivatives and Quantitative Credit Research team for five years, writing papers, trade ideas and thematic pieces on a wide number of topics in credit including credit default swaps, indices, options, tranches, systematic strategies and quantitative corporate bond investing. Danny holds a Bachelors and Masters degree in Mathematics from the University of Cambridge.

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Blanka Horvath

Lecturer in financial mathematics

King's College London

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

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Alexei Kondratyev

Managing director, global head of data analytics, CCIB

Standard Chartered Bank

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

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

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

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

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Christian Schwarz

Executive director, data analytics group

Standard Chartered Bank

Christian leads the innovation efforts within the Data Science and Innovation team at Standard Chartered. He currently focuses on synthetic data generation, measurement of uncertainty and Reinforcement Learning as part of his development of algorithmic trading signals and engines. He also applies evolutionary algorithms to the non-linear optimisation of RWA relief via loan securitisation.

Previously, he spent 3 years as senior Credit Strategist and Head of Quant Research at Mizuho International leading the Machine Learning Algo market making project for corporate bonds.Christian also spent 10 years at Credit Suisse where he was most recently Senior Credit Strategist. Prior to that, he held positions within Interest Rate and FX Controlling at HVB Group.

Christian has a diploma in Financial Mathematics from Technische Universität München.There are 3 things about Machine Learning and AI that keep him up at night: The maths behind, the commercial opportunities and the impact on society.

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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.

Tom Wipf

Vice chairman of institutional securities.

Morgan Stanley

Tom is responsible for Morgan Stanley’s transition efforts to alternative reference rates to
replace LIBOR through the firm’s Global LIBOR Transition Steering Committee. This
group, spanning ISG, Wealth Management and Investment Management, will ensure that
all businesses and infrastructure organizations have a consistent set of Firm-level
guidelines, their own transition plans and accountability for transition readiness before
year-end 2021.
Tom most recently led the firm’s Global Business Continuity Management Organization,
which is responsible for strategic planning and risk management for potential cyber and
physical disruptions. He is a member of the firm’s Securities Operating Committee, Risk
Management Committee and Asset/ Liability Management Committee.
Prior to being named Vice Chairman, Tom was the Global Head of the Bank Resource
Management Division where he was responsible for the firm's secured funding, securities
lending, global hedging and collateral management activities.
Beginning his career in the industry in 1977, Tom joined Morgan Stanley in 1986 and has
been engaged in the Firm’s funding, collateral and hedging activities throughout his
career at the firm. Based in New York, Tom has also completed multi-year assignments
in Morgan Stanley’s London and Tokyo offices.
In April, 2019, Tom was named Chair of the Alternative Reference Rates Committee
(ARRC) by the Federal Reserve Board. The ARRC is a group of private-market
participants convened to help ensure a successful transition from USD LIBOR to a more
robust reference rate.
Tom was appointed Chair of the US Commodity Futures Trading Commission’s Market
Risk Advisory Committee (MRAC) Interest Rate Benchmark Reform Subcommittee in
October, 2018.
Tom served as Chair of the Treasury Market Practices Group (TMPG) until May 2019.
The TMPG is sponsored by the New York Federal Reserve and is an industry group
committed to supporting the integrity and efficiency of the U.S. Treasury and Agency
Mortgage Securities Markets.
Tom serves on the board of directors of International Swaps and Derivatives Association,
Inc. (ISDA). Tom was appointed to the Alternative Reference Rate Committee,
sponsored by the Board of Governors of the Federal Reserve in 2014. Tom previously
served on the Financial Research Advisory Committee to the US Treasury Office of
Financial Research from 2012 to 2017.

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Edwin Schooling Latter

Director of markets and wholesale policy

Financial Conduct Authority

Edwin Schooling Latter is Director of Markets and Wholesale Policy at the Financial Conduct Authority where his responsibilities encompass policy in relation to primary and secondary markets, trading venues, trading conduct, benchmarks, asset management and pensions.  From 2011-2014 Edwin was head of the Financial Market Infrastructure
Directorate at the Bank of England, responsible for supervision of CCPs, securities settlement systems, and systemically important payment systems, and for the Bank’s input to policy making on central clearing and OTC derivatives reforms. Prior to appointment as head of MID, Edwin worked in the Bank’s Financial Stability area for several years, including as secretary to the Bank’s Financial Stability Committee. Edwin was also previously Managing Director of UK payment system, LINK Interchange Network Ltd.

Vitali Kalesnik

Partner, director of research

Research Affiliates

Vitali Kalesnik is a partner and senior member of the investment team.
He leads research and business strategy in the European region.
Previously, Vitali led the Equity Research team and continues to
perform general equity-related research.
Articles he has co-authored with others have been recognized with two
Graham and Dodd Scroll Awards, a Financial Analysts Journal Readers’
Choice Award, a William F. Sharpe Indexing Achievement Award, and a
Bernstein Fabozzi/Jacobs Levy Award. His research strengthens and
expands Research Affiliates’ products—in particular, RAFI™
Fundamental Index™ strategies—and supports our global tactical asset
allocation products.
Vitali earned his PhD in economics from the University of California,
Los Angeles, where he was a winner of the UCLA Graduate Division
Fellowship for 2001–2005. He speaks fluent English, Russian, and
French.

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Luc Dumontier

Head of Factor Investing & Senior Portfolio Manager

LFIS

Luc Dumontier, Head of Factor Investing & Senior Portfolio Manager, LA FRANCAISE INVESTMENT SOLUTIONS

In 1998, Luc started his career as an equity portfolio manager. From 2004 to 2011, he was in charge of the Absolute Return management at Sinopia where he developed quantitative strategies such as Global Bond Market Neutral, Currency Overlay, Global Tactical Asset Allocation, and Multi Government Bonds. After that, Luc was Head of the Absolute Return management at HSBC AM. Luc also leads the « Portfolio Management » class at the SFAF (French Society of Financial Analysts) since 2002 and at the AFG (French Asset Management Association) since 2011.

Luc holds a Master's degree of Economy and also a Master's degree in Money, Bank and Finance from Pantheon-Sorbonne University.

 

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Rob Mannix

editor, quant investing

Risk.net

Rob Mannix is the desk editor for investment, covering systematic investment strategies from quant funds to factor investing. He was previously responsible for Risk.net’s insurance coverage.

Based in the London office, Rob is interested in developments in the use of new types of data, the application of machine learning in investment, and research into systematic sources of return in markets. 

Rob joined Infopro Digital (then Incisive Media) in 2008, having previously worked at Euromoney Institutional Investor, covering legal and regulatory issues affecting capital markets.

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.

 

Christian Lundblad

Richard Levin Distinguished Professor; Finance Department Chair

Kenan-Flagler Business School, University of North Carolina

Christian Lundblad is the Richard Levin Distinguished Professor of Finance, the Chair of the Finance Area, and the Associate Dean of the Ph.D. Program at the University of North Carolina’s Kenan-Flagler Business School.  He is also the Director of Research at the Kenan Institute of Private Enterprise and the Director of the Center for Excellence in Investment Management.  Finally, he holds a courtesy appointment as a Special-Term Professor at the People’s Bank of China School of Finance, Tsinghua University in Beijing, China.

His research spans asset pricing, investment management, and international finance, with a specialization in emerging market development. His research has been published in top academic journals such as the Journal of Finance, the Review of Financial Studies, and the Journal of Financial Economics.  He served as an Associate Editor for the Journal of Finance, and now serves at the Journal of Banking and Finance and Financial Management.

He also served as a financial economist at the Federal Reserve Board in Washington, D.C., where he advised the Board of Governors on international financial market developments.

He is the recipient of the MBA for Executives and OneMBA Teaching Excellence awards.

He received a PhD in financial economics and a master’s degree in economics from Duke University. He earned his BA in economics and English literature with highest honors from Washington University in St. Louis.

Nick Baltas

Managing director, head of R&D of the systematic trading strategies group

Goldman Sachs

Nick Baltas, Ph.D., is a managing director and head of R&D of the Systematic Trading Strategies (STS) Group at Goldman Sachs. He is responsible for providing thought leadership in the space of factor and risk premia investing, portfolio construction, and strategy design. Alongside, he maintains a visiting academic position at Imperial College Business School and has been appointed as the co-executive editor of the newly launched Journal of Systematic Investing.

Prior to joining Goldman Sachs in 2017, Nick was an executive director in the quantitative research unit of UBS. Previously, he was a Lecturer in Finance at Imperial College Business School, a visiting Lecturer at Queen Mary University of London, as well as a risk manager in a London-based hedge fund. He has received several teaching awards and his research has been awarded with numerous grants and prizes, has been published in academic finance journals and practitioner books, and has been quoted by the financial press. Most recently he was the recipient of the 2019 EQDerivatives Best Academic Research Paper Award in Alternative Risk Premia (joint with Bernd Scherer).

Nick holds a DEng in electrical and computer engineering from the National Technical University of Athens, an MSc in communications & signal processing from Imperial College London and a PhD in financial economics from Imperial College Business School.

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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.

Lisa Wang

Senior Vice President, director of investment risk

AllianceBernstein

Lisa Wang is Senior Vice President, Director of Investment Risk at Alliance Bernstein. She oversees investment risk management of a wide range of strategies with a specific focus on Multi-Asset Solutions and Equities.  Her responsibilities include advising senior management on enterprise risk exposures, advising investment teams on portfolio construction, and leading the development of enterprise risk infrastructure,

Lisa holds a B.A.Sc in electrical engineering from University of Toronto and a MBA from York University, and is a CFA charterholder.

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Racim Allouani

Head of portfolio construction and risk management

KKR

Racim Allouani (New York) joined KKR in 2015 and oversees the Risk Management and Portfolio Construction efforts across KKR's Public Credit, Private Credit and Special Situations businesses. Prior to his current role, Mr. Allouani had a similar responsibility in the Hedge Funds business. Prior to joining KKR, he spent five years at the hedge fund of Lombard Odier as a senior quantitative portfolio analyst and risk manager, covering equities and credit strategies. Prior to that, he was at fund of hedge funds Arden Asset Management in the portfolio optimization and risk management group. Mr. Allouani held previous positions at Deutsche Bank in equity research and Bank West LB in fixed income research. Mr. Allouani earned a M.A. in International Economics from Sciences Po Paris, in Financial Engineering from Cornell University, as well as a and Bachelor’s degree in Applied Mathematics and Computer Science from Ecole Nationale des Ponts Et Chaussees.

John Anderson

Contributing editor

Risk.net

Virtual week sponsors

Beacon Platform, Inc. is a global financial technology company that helps quantitative developer teams collaborate and scale. Beacon is the only vendor solution for a cloud-based, end-to-end development and production platform, which can meet the stringent security requirements of leading financial institutions. With Beacon’s open architecture, transparent source code, and automated infrastructure solutions, clients can build in-house functionality on a platform that has been proven at some of the largest financial institutions in the world. Beacon was founded in 2014 by the senior technologists who worked with SecDB at Goldman Sachs and created Athena at JP Morgan and Quartz at Bank of America Merrill Lynch. Beacon has over 70 employees with offices in the United States, UK, Germany, and Japan and serves clients across the spectrum of financial services - banks, insurance companies, asset managers and trading desks.  
www.beacon.io
[email protected] 

Baker McKenzie is an international law firm that helps clients overcome the challenges of competing in the global economy. We solve complex legal problems across borders and practice areas. Our unique culture, developed over 70 years, enables our 13,000 people to understand local markets and navigate multiple jurisdictions, working together as trusted colleagues and friends to instill confidence in our clients. As the original global law firm, we bring the right talent to every client issue, regardless of where the client is. We are global citizens, industry savvy, diverse and have a thirst for innovation.

As the move away from LIBOR continues, Bloomberg offers a comprehensive suite of data, analytics, and portfolio solutions to help market participants assess the impact of the transition to risk-free rates, providing transparency and support for all products across our platform.

FactSet (NYSE:FDS | NASDAQ:FDS) delivers superior content, analytics, and flexible technology to help more than 131,000 users see and seize opportunity sooner. We give investment professionals the edge to outperform anytime, anywhere with informed insights, workflow solutions across the portfolio lifecycle, and industry-leading support from dedicated specialists. We provide private equity and venture capital professionals with solutions that combine relevant market information with advanced analytics in a single platform to help them raise capital, find new investment opportunities, and track market, industry, and economic trends. For 40 years, through market changes and technological progress, our focus has always been to provide exceptional client service. From more than 60 offices in 24 countries, we’re all working together toward the goal of creating value for our clients.

 

Numerix is the leading provider of innovative capital markets technology applications and real-time intelligence capabilities for trading and risk management. Committed to out-of-the box thinking, the exploration and adoption of latest technologies, Numerix is dedicated to driving a more open, fintech oriented, digital financial services market. Built upon a 20+ year analytical foundation of deep practical knowledge, experience and IT understanding, Numerix is uniquely positioned in the financial services ecosystem to help its users reimagine operations, modernize business processes and capture profitability. For more information, please visit www.numerix.com