At Global derivatives we are very aware that the industry is changing and that many quants, in banks and buy side firms, no longer spend their days pricing derivatives but are instead working in risk management, regulation or algorithmic trading. To reflect this, while we will continue to have sessions on derivatives pricing, stochastic volatility and traditional quantitative modelling topics, the agenda for the 2015 event will include a much broader range of topics and will cover four key areas:
- Derivatives Pricing
- Regulation, Risk Management & Capital Optimisation
- Quantitative Investment Strategies & Portfolio Optimisation
- Algorithmic Trading
The 2015 Agenda Will Include More Focus On:
- Regulation: including the Fundamental Review, Prudential Valuation, leverage ratio, AQR, clearing and collateral
- Clearing & Collateral: developing an industry-standard bilateral initial margin model, collateral optimisation and the market impact of new clearing and collateral requirements
- Non-Traditional Areas Of Quant Work: including quantitative approaches to capital optimisation, balance sheet management and liquidity
- Risk Management: including stress testing, scenario analysis, econometric modelling and hedging
- Correlation: including dependence modelling, risk management, stochastic correlation and correlation skew
NEW Speakers Include:
- Ed Fishwick, Managing Director & Global Co-Head Of Risk & Quantitative Analysis, BLACKROCK
- Che Hang Yiu, Head Of Smart Beta, AHL
- Chris McHugh, Managing Director, Global Head Of Counterparty Exposure Management, HSBC
- Gerben de Zwart, Head Of Quantitative Equity Research, APG
- Domenico Mignacca, Head Of Risk Management, EURIZON CAPITAL
- Svetlana Borovkova, Associate Professor, FREE UNIVERSITY OF AMSTERDAM
- Macros Carreira, Head Of Traded Risk, HSBC BRAZIL
- Steven Englander, Managing Director & Global Head Of G10 FX Strategy, CITI
- Manlio Trovato, Head Of Rates Quantitative Research, LLOYDS BANKING GROUP
- Marc Jeannin, Head Of Optimum Capital Risk Analytics, NOMURA
NEW Guest Speakers Offering Invaluable Insights:
- Hersh Shefrin, Mario L. Belotti Professor Of Finance, SANTA CLARA UNIVERSITY
Hersh Shefrin is one of the pioneers in the behavioral approach to economics and finance. CFO magazine described him as one of the academic stars of finance. An article in the American Economic Review listed him as one of the top fifteen economic theorists to have influenced empirical work. J.P. Morgan Chase recognized his behavioral finance book Beyond Greed and Fear as one of the top ten books published since 2000.
Prof. Shefrin will be discussing Investors’ Judgments, Sentiment & Derivatives.
- Willem Buiter, Global Chief Economist, CITIGROUP
One of the world’s most distinguished macro economists, Willem Buiter was previously Professor of Political Economy at the London School of Economics and is a widely published author on economic affairs. Between 2005 and 2010, he was an advisor to Goldman Sachs. Prior to this, Willem was Chief Economist for the European Bank for Reconstruction & Development and a founder external member of the Monetary Policy Committee of the Bank of England. He was awarded the CBE in 2000 for services to economics.
Prof. Buiter will be discussing Rates, Recovery & The Global Economic Outlook.
- Bronwen Maddox, Editor & Chief Executive, PROSPECT MAGAZINE
Formerly an investment banker, Bronwen Maddox is Editor and Chief Executive of Prospect magazine, a leading current affairs and culture title based in the UK. Previously, she was Chief Foreign Commentator of The Times and was also the paper’s Foreign Editor between 1999 and 2003, during which time she supervised the paper’s coverage of the Kosovo war, the Sierra Leone war, the second Palestinian intifada, and September 11. From 1996 to 1999, she was The Times’ US Editor and Washington Bureau Chief. Before becoming a journalist, Bronwen was a Director at Kleinwort Benson Securities for five years.
Bronwen will be discussing Assessing Geopolitical Risk Hotspots Around The World: The Big Trends Shaping The World In The Coming Years.