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2022
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PLEASE NOTE THIS IS THE 2020 AGENDA. Main Conference Day 2

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PLEASE NOTE THIS IS THE 2020 AGENDA. Main Conference Day 2

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8:45am - 9:00am15 mins
Registration & coffee
    9:00am - 9:30am30 mins
    Understanding and predicting non-financial risks
    Rates modelling challenges in a post-ibor world
    • Fabio Mercurio - Global Head of Quantitative Analytics, Bloomberg
    • Andrei Lyashenko - Head of Market Risk and Pricing Models, Quantitative Risk Management (QRM), Inc.
    9:30am - 9:45am15 mins
    Understanding and predicting non-financial risks
    Short break
      9:45am - 10:15am30 mins
      Understanding and predicting non-financial risks
      Adding Optionality
      • Peter Carr - Department Chair, Finance and Risk Engineering, NYU Tandon School
      Break and networking
      10:15am - 11:00am45 mins
      In the boardroom with
      In the boardroom with…
        10:15am - 11:00am45 mins
        Ask the expert
        Ask the expert
        • Fabio Mercurio - Global Head of Quantitative Analytics, Bloomberg
        10:15am - 11:00am45 mins
        1-2-1 chats and catch ups
        1-2-1 chats and catch ups
          11:00am - 11:30am30 mins
          Stream A
          Full Probabilistic Control for Direct, Robust, Systematic and Targeted Stressing of the Correlation Matrix
          • J.D. Opdyke - Vice President, Enterprise Risk and Return Management, Financial Risk and Measurement, Allstate
          11:30am - 11:45am15 mins
          Stream A
          Short break
            11:45am - 12:15pm30 mins
            Stream A
            Semi-closed form prices of barrier options in the time-dependent CEV and CIR models
            • Andrey Itkin - Director, Senior Research Associate, Bank Of America Merrill Lynch
            12:15pm - 12:30pm15 mins
            Stream A
            Short break
              12:30pm - 1:00pm30 mins
              Stream A
              Some Things I Wish I Had Known Before Scaling Quant Machine Learning Solutions
              • Jesus Rodriguez - Chief Technology Officer, IntoTheBlock
              Coffee and conversations
              1:00pm - 2:00pm60 mins
              In the boardroom with
              Ask the expert
              • Peter Carr - Department Chair, Finance and Risk Engineering, NYU Tandon School
              1:00pm - 2:00pm60 mins
              Roundtable discussion
              Roundtable discussion
                1:00pm - 2:00pm60 mins
                1-2-1 chats and catch ups
                1-2-1 chats and catch ups
                  2:00pm - 2:30pm30 mins
                  Stream A
                  Using Machine Learning to Predict Realized Volatility
                  • Zhibai Zhang - Adjunct Professor, NYU Tandon
                  2:30pm - 2:45pm15 mins
                  Stream A
                  Short break
                    2:45pm - 3:15pm30 mins
                    Stream A
                    A Smarter Model Risk Management Discipline Will Follow From Building Smarter Models
                    • Jon Hill - Professor, NYU Tandon School
                    Coffee and conversations
                    3:15pm - 4:00pm45 mins
                    In the boardroom with
                    Market Structure - What are the special challenges for the Americas?
                    • Ulrich Nogel - Co-founder, big-xyt
                    3:15pm - 4:00pm45 mins
                    Roundtable discussion
                    Roundtable discussion
                      3:15pm - 4:00pm45 mins
                      1-2-1 chats and catch ups
                      1-2-1 chats and catch ups
                        4:00pm - 4:30pm30 mins
                        Stream A
                        Libor transition: challenges and solutions
                        • Erik Vynckier - Interim Chief Executive and Chair of Research and Thought Leadership, Foresters Friendly Society and Institute and Faculty of Actuaries
                        4:30pm - 4:45pm15 mins
                        Stream A
                        Short break
                          4:45pm - 5:30pm45 mins
                          Stream A
                          Differential Machine Learning: Effective Risk Management with AI
                          • Antoine Savine - Quantitative Research , Danske Bank
                          • Brian Huge - Chief Quantitative Analyst, Danske Bank
                          Cocktails and conversations
                          5:30pm - 6:40pm70 mins
                          1-2-1 chats and catch ups
                          1-2-1 chats and catch ups
                            6:40pm - 6:45pm5 mins
                            End of the conference
                              PLEASE NOTE THIS IS THE 2020 AGENDA. Main Conference Day 1
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