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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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Streams
Formats
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
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