This site is part of the Informa Connect Division of Informa PLC

This site is operated by a business or businesses owned by Informa PLC and all copyright resides with them. Informa PLC's registered office is 5 Howick Place, London SW1P 1WG. Registered in England and Wales. Number 3099067.

QuantMinds International
18 - 21 November 2024
InterContinental O2London

Vladimir Chorniy
Managing Director, Head of Risk Model Fundamentals and Research Lab, Senior Technical Lead at BNP Paribas
Speaker

Profile

Vladimir Chorniy started his career in finance as a founding member and later led Credit Risk Analytics team in Barclays Capital. Later he headed Risk Methodology and Analytics team in BNP Paribas responsible for methodologies covering counterparty risk (EE/PFE models), market risk (VAR, IRC, CRM), credit value adjustment, capital calculations and exotic derivative treatment. Since 2014 Vladimir has assumed a new role to determine long term strategy of risk modelling in BNP Paribas as Head of Risk Modelling Strategy and Senior Technical Lead. In 2022 whilst retaining his strategy lead role Vladimir also became the head of newly formed Risk Model Fundamentals and Research Lab. Vladimir holds a Ph.D. in Physics from Cambridge University.

Agenda Sessions

  • Libor, alternate reference rates and inflation. How jumps and diffusion depend on level: regimes known, new and hidden

    15:50