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QuantMinds International
November 2022
Location TBC
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This is the 2021 agenda. The 2022 agenda will be added soon. - CET (Central European Time, GMT+1)

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This is the 2021 agenda. The 2022 agenda will be added soon. - CET (Central European Time, GMT+1)

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08:30 - 08:5525 mins
Networking
Registration & coffee
    Morning sessions - titles and timings subject to change
    08:55 - 09:005 mins
    Interest Rate Modelling, Trading & IBOR
    Chair's introduction
      08:55 - 09:005 mins
      Risk Management: Model Risk & Liquidity
      Chair's introduction
        08:55 - 09:005 mins
        Quant Innovation: Algo Trading & ML
        See other session
          09:00 - 09:4040 mins
          Interest Rate Modelling, Trading & IBOR
          Ibor and model risk
          • Maurizio Garro - Senior Lead, IBOR Transition Programme, Lloyds Banking Group
          09:00 - 09:4040 mins
          Risk Management: Model Risk & Liquidity
          Current topics in Exposure Calculation and CCR Limit Management
          • Holger Plank - Partner, d-fine
          • Alexander Sokol - Head of Quant Research, CompatibL
          • Sascha Geier - Head of Counterparty Risk Simulation Engines, Commerzbank
          • Matthias Arnsdorf - Global Head of XVA & Counterparty Credit Risk Modelling, JP Morgan Chase
          09:00 - 09:4040 mins
          Quant Innovation: Algo Trading & ML
          Pricing in affine forward variance models
          • Jim Gatheral - Presidential Professor of Mathematics, Baruch College, CUNY
          09:40 - 10:2040 mins
          Interest Rate Modelling, Trading & IBOR
          Between Scylla and Charybdis: The Bermudan swaptions pricing odyssey
          • Dariusz Gatarek - Professor, Systems Research Institute, Polish Academy of Sciences
          09:40 - 10:2040 mins
          Risk Management: Model Risk & Liquidity
          Estimating Cross-Model Correlations for CCR & XVA
          • Andrew McClelland - Director, Quantitative Research, Numerix
          09:40 - 10:2040 mins
          Quant Innovation: Algo Trading & ML
          A New Look at Bergomi Models
          • Julien Guyon - Senior Quantitative Analyst, Bloomberg L.P.
          10:20 - 11:0040 mins
          Interest Rate Modelling, Trading & IBOR
          Predictor-Corrector to Short-Rates in Annuity measure
          • Emiliano Papa - Director - Head of Rates and FX, Deutsche Bank
          10:20 - 11:0040 mins
          Risk Management: Model Risk & Liquidity
          Estimation of natural demand and liquidity premium for Hungarian government bonds
          • András Bebes - Head of Department, Strategy and Research Department, Hungarian Debt Management Agency (AKK)
          • András Stark - Quantitative Analyst, Hungarian Debt Management Agency (AKK)
          10:20 - 11:0040 mins
          Quant Innovation: Algo Trading & ML
          Clustering Market Regimes using the Wasserstein Distance
          • Aitor Muguruza Gonzalez - Head of Quantitative Modelling and Data Analytics, Kaiju Capital Management
          11:00 - 11:3030 mins
          Networking
          Coffee & networking
            Mid-Morning sessions - titles and timings subject to change
            11:30 - 12:1040 mins
            Interest Rate Modelling, Trading & IBOR
            Fast and accurate calculation of CVA/DVA/RPA.
            • Viatcheslav Belyaev - Senior Quantitative Analyst, U.S. Bank
            11:30 - 12:1040 mins
            Risk Management: Model Risk & Liquidity
            Equity-Credit portfolios modelling: market dynamics, key drivers and modelling choices
            • Vladimir Chorniy - Senior Technical Lead, BNP Paribas
            • Sergii Arkhypov - Risk Specialist, .
            11:30 - 12:1040 mins
            Quant Innovation: Algo Trading & ML
            Conditional expectations: Model free, data driven, fast (with applications to pricing and hedging)
            • Jörg Kienitz - Adjunct Associate Professor and Associate Professor, University of Cape Town and University of Wuppertal
            12:10 - 12:5040 mins
            Interest Rate Modelling, Trading & IBOR
            Smiles without tears: Risk-Free-Rates Semi-Analytic Cap Pricing with Smile and Skew
            • Aurelio Romero-Bermudez - Quantitative Analyst, Deutsche Bank
            12:10 - 12:5040 mins
            Risk Management: Model Risk & Liquidity
            Challenging Economic Capital
            • Manola Santili - Market Risk Analyst, Intesa Sanpaolo
            • Marco Scaringi - Quantitative Analyst, Intesa Sanpaolo
            12:10 - 12:5040 mins
            Quant Innovation: Algo Trading & ML
            Applying Advanced Technologies to Equity Trading’
            • Michael Steliaros - Global Head of Quantitative Execution Services, Goldman Sachs
            • Andreas Petrides - Executive Director, Goldman Sachs International
            12:50 - 13:3040 mins
            Interest Rate Modelling, Trading & IBOR
            Completing the Generalized Forward Market Model: Genesis and Extensions
            • Fabio Mercurio - Head of Quant Analytics, Bloomberg L.P.
            12:50 - 13:3040 mins
            Risk Management: Model Risk & Liquidity
            The Herd Behavior Index and the Cross-Section of Expected Stock Returns
            • Daniel Linders - Assistant Professor in Actuarial Science & Mathematical Finance, University of Amsterdam
            12:50 - 13:3040 mins
            Quant Innovation: Algo Trading & ML
            Backtesting for High-Frequency Trading and Reinforcement Learning
            • Matteo Rolle - Head of Crossmarket Trading, Banca Sella Holding
            • Daniele Rossano - Trader, Banca Sella Holding
            13:30 - 14:3060 mins
            Networking
            Lunch & networking
              Afternoon sessions
              14:30 - 15:1040 mins
              Interest Rate Modelling, Trading & IBOR
              Variational Encoder-Generator-Decoder (VEGD) Models for the Interest Rates
              • Alexander Sokol - Head of Quant Research, CompatibL
              14:30 - 15:1040 mins
              Risk Management: Model Risk & Liquidity
              Looking Forward: Towards a New Generation of Self-Referencing Smart Models
              • Jon Hill - Professor of Model Risk Management, Dept. of Financial Risk Engineering, NYU-Tandon
              14:30 - 16:30120 mins
              Quant Innovation: Algo Trading & ML
              Differential Machine Learning Masterclass
              • Antoine Savine - Chief Quantitative Analyst, Danske Bank
              • Brian Huge - Chief Quantitative Analyst, Saxo Bank
              15:10 - 15:5040 mins
              Interest Rate Modelling, Trading & IBOR
              Repo and Dividend Curve Building: a Modern Derivatives Approach
              • Daniel Zimarev - Financial Engineer, UBS Investment Bank
              15:10 - 15:5040 mins
              Risk Management: Model Risk & Liquidity
              Model risk quantification based on relative entropy
              • Daniel Arrieta Rodriguez - Senior Model Validation Quant, Santander
              15:50 - 16:3040 mins
              Interest Rate Modelling, Trading & IBOR
              Pricing Forward Starting Swaptions
              • Sander Willems - Quantitative Analyst, RBC Capital Markets
              15:50 - 16:3040 mins
              Risk Management: Model Risk & Liquidity
              A quantitative approach to climate-related credit risk, using Shared Socioeconomic Pathways
              • Emmanuel Gobet - Professor, Ecole Polytechnique
              16:30 - 17:0030 mins
              Networking
              Afternoon tea & networking
                Late afternoon sessions
                17:00 - 17:4545 mins
                Interest Rate Modelling, Trading & IBOR
                XVA, the front office way
                • Andrey Chirikhin - Head of Structured Credit Quantitative Analytics, Barclays Investment Bank
                17:00 - 17:4545 mins
                Risk Management: Model Risk & Liquidity
                The Long and Curious History of Model Risk
                • Jon Hill - Professor of Model Risk Management, Dept. of Financial Risk Engineering, NYU-Tandon
                17:00 - 18:3090 mins
                RiskMinds Gran Saló Gaudi 2
                The Climate Change War Game: where we stand: combating global warming after Glasgow
                • John Hulsman - Geopolitical Expert & Life Member, U.S. Council On Foreign Relations
                17:45 - 19:1590 mins
                Interest Rate Modelling, Trading & IBOR
                Networking Drinks
                  17:45 - 19:1590 mins
                  Risk Management: Model Risk & Liquidity
                  Networking drinks
                    This is the 2021 agenda. The 2022 agenda will be added soon.
                    NextThis is the 2021 agenda. The 2022 agenda will be added soon.
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