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2016 Practitioners’ Seminar

The seminar takes place in the Spring of 2016, Tuesdays and Thursdays 7:40pm — 8:55 pm.

Location: 312 Mathematics Building. For directions please see Directions to Campus and Location of the Mathematics Building

Organizer: Lars Tyge Nielsen


  • No photos or video allowed except with express permission from the speaker.
  • The speaker sometimes does not make copies of the presentation available — to protect intellectual property or comply with company rules.
  • The seminar is open to the public (no registration necessary).
  • For students who take the seminar for credit, course requirements (assignments) will be communicated separately – in the Courseworks system.

The following information is subject to change. Check back on this page for last-minute updates.

Schedule of Presentations

The Spring 2016 Practitioners’ Seminar is now closed. A big Thank You to all the speakers. We will return in the Spring of 2017.

Click here for the Schedule of Past Presentations.


Past Presentations

Tuesday January 19, 2016

Title: Introduction to Volatility Trading via Options

Speaker: Peter Carr, Morgan Stanley
Dr. Peter Carr is a Managing Director at Morgan Stanley with approximately 20 years of experience in the financial industry. He is currently the Global Head of Market Modeling, overseeing several quantitative teams spread over three continents. He also presently serves as the Executive Director of the Math Finance program at NYU’s Courant Institute, the co-Treasurer of the Bachelier Finance Society, and a trustee for the Museum of Mathematics in New York. Prior to joining the financial industry, Dr. Carr was a finance professor for 8 years at Cornell University, after obtaining his PhD from UCLA in 1989. He has over 75 publications in academic and industry-oriented journals and serves as an associate editor for 8 journals related to mathematical finance. He was selected as Quant of the Year by Risk Magazine in 2003 and Financial Engineer of the Year by IAFE/Sungard in 2010. From 2010-2014, Dr. Carr was included in Institutional Investor’s Tech 50, an annual listing of the 50 most influential people in financial technology.

We consider an options market where a market-maker quotes normal implied vol’s for an out-of-the-money put, an at-the-money straddle, and an equally out-of-the-money call. We suppose that as time moves forward, the market-maker updates the three vol quotes, but the maturity date remains fixed. We further suppose that the updates are the same for the
three quotes and that the common update is driftless and continuous over time. In this setting, we show how to arbitrage a market-maker who has too low an ATM implied vol, insufficient slope, or insufficient convexity.
Thursday January 21, 2016

Title: A Brief Survey of Stochastic Portfolio Theory

Speaker: Ioannis Karatzas, Columbia University
Ioannis Karatzas obtained his Apolyterion at the Ionideion Gymnaseion in Piraeus, his Diploma at the Technical University of Athens — and a Ph.D. degree in Mathematical Statistics at Columbia University. He is the Eugene Higgins Professor of Applied Probability in the Department of Mathematics at Columbia. He has had a long-standing association with the research group of the investment firm INTECH at Princeton, NJ.

He works and publishes in Probability, Stochastic Control, Sequential Analysis, Mathematical Economics and Finance. He has co-authored with Steven E. Shreve the book “Brownian Motion and Stochastic Calculus” and the monograph “Methods of Mathematical Finance”, both published by Springer-Verlag and both standard references in their respective fields. His 30 PhD students are on the faculties of Universities all over the world, or in various industrial positions. He started an very successful Master’s program on the Mathematics of Finance at Columbia, now in its nineteenth year.

The presentation will provide an overview of Stochastic Portfolio Theory (SPT), a rich and flexible framework for analyzing portfolio behavior and equity market structure. SPT is descriptive as opposed to normative; it is consistent with observable characteristics of actual portfolios and markets; and provides a theoretical tool which is useful for practical applications. A thorough survey of this subject as of 2008/09 can be found here: Stochastic Portfolio Theory: An Overview
Tuesday January 26, 2016

Title: Cross-Dependent Volatility

Speaker: Julien Guyon, Bloomberg L.P. and Columbia University
Julien Guyon is a senior quantitative analyst in the Quantitative Research group at Bloomberg L.P., New York. He is also an adjunct professor at Columbia University and New York University. Before joining Bloomberg, Julien worked in the Global Markets Quantitative Research team at Societe Generale in Paris for six years (2006-2012). He co-authored the book Nonlinear Option Pricing (Chapman & Hall, CRC Financial Mathematics Series, 2014) with Pierre Henry-Labordere. Julien holds a Ph.D. in Probability Theory and Statistics from Ecole des ponts (Paris). He graduated from Ecole Polytechnique (Paris), Universite Paris 6, and Ecole des ponts. He was also an adjunct professor at Universite Paris 7 and Ecole des ponts. His main research interests include nonlinear option pricing, volatility and correlation modeling, and numerical probabilistic methods.

We propose a general framework for pricing and hedging derivatives in cross-dependent volatility (CDV) models. CDV models are multi-asset models in which the volatility of each asset is a function of not only its current or past levels, but also those of the other assets. For instance, CDV models can capture that stock volatilities are driven by an index level, or recent index returns. We explain how to build all the CDV models that are calibrated to all the asset smiles. In particular we solve the longstanding smiles calibration problem for the “cross-aware” multidimensional local volatility model. CDV models are rich enough to be simultaneously calibrated to other instruments, such as basket smiles, and we show that the model can fit a basket smile either by means of a correlation skew, like in the classical “cross-blind” multi-asset local volatility model, or using only the cross-dependency of volatilities itself, in a correlation-skew-free model, thus proving that steep basket skews are not necessarily a sign of correlation skew. We can even calibrate CDV models to basket smiles using correlation skews that are opposite to the ones generated by the classical cross-blind models, e.g., calibrate to large negative index skews while requiring that stocks are less correlated when the market is down. All the calibration procedures use the particle method; the calibration of the implied “local in basket” CDV uses a novel fixed-point particle method. Numerical results in the case of the FX smile triangle problem illustrate our results and the capabilities of CDV models.
Thursday January 28, 2016

Title: Dynamic Portfolio Management

Speaker: Mikhail Smirnov, Columbia University

The presentation will provide a review of different approaches to dynamic risk allocation in portfolio investment starting with classical portfolio insurance strategy of Black-Jones-Perold and its generalizations. We will introduce the notion of Dynamic Leverage that is a risk measure generalizing traditional value-at-risk type measures but taking into account investment time horizon.

Dynamic leverage depends on the level of asset volatility, time horizon and distance in terms of NAV to a pre-defined critical liquidation level for an asset. Thus dynamic leverage incorporates the minimal holding time of investment and the risk associated with it. We present a variety of models for Dynamic Leverage. For an investment fund with dynamically controlled risk and certain risk inertia we demonstrate the existence of a critical NAV level below which the efficacy of de-leveraging is compromised.

Tuesday February 2, 2016

Title: Derivatives Pricing in the New World: Features and Challenges

Speaker: Fabio Mercurio, Bloomberg LLP
Fabio is global head of Quantitative Analytics at Bloomberg LP, New York. His team is responsible for the research on and implementation of cross-asset analytics for derivatives pricing, XVA valuations and credit and risk management. Fabio is also adjunct professor at NYU. He has jointly authored the book ‘Interest rate models: theory and practice’ and published extensively in books and international journals, including 16 cutting-edge articles in Risk Magazine. Fabio holds a BSc in Applied Mathematics from the University of Padua, Italy, and a PhD in Mathematical Finance from the Erasmus University of Rotterdam, The Netherlands.

The derivatives world drastically changed after the 2008 financial crisis. In this talk, we will compare pricing and structuring standards of the old world with those of the new world. We will then review the new practice of calculating valuation adjustments, stressing the main challenges for consistent and effective implementations.
Thursday February 4, 2016

Title: Quantitative Analysis in Action: Anatomy of a Fixed Income Trade

Speaker: Costas Hamakiotes
Costas Hamakiotes is currently Managing Director of Emerging Markets Debt sales at Cantor Fitzgerald where he covers institutional accounts, hedge funds, mutual funds and insurance companies. Prior to that, he ran an emerging markets relative value and arbitrage hedge fund for eight years. He started his Wall Street career in 1990 at Salomon Brothers, and subsequently he worked at CSFB and Lehman Brothers. All along he spent time in quant fixed income research, strategy, prop trading and flow trading. His area of expertise has been emerging markets fixed income with the exception of one year he spent in trading mortgages. Prior to coming to Wall Street, Costas worked at Rocketdyne Division of Rockwell International on the main engines of the Space Shuttle. He is published in engineering and finance (including two chapters in Fabozzi’s “Investing in Emerging Fixed Income Markets” book), and has taught courses and lectured in seminars at graduate programs in Mathematics in Finance at Columbia University and NYU’s Courant Institute. Costas holds a B.Sc. in Chemical Engineering, a M.SC. and a Ph.D. in Mechanical Engineering from U.C. Berkeley.

In this short lecture we discuss the philosophy, genesis, identification, analysis, risk-reward and structuring of relative value and arbitrage trades in fixed income credit. Specifically, we examine a recent real life trade among bonds of the same issuer and how it worked out. We point out some of the factors in the analysis, and the meaning behind the different ways to structure the trade. The entire emphasis is from a fixed income quantitative perspective, as opposed to credit analysis.
Tuesday February 9, 2016

Title: Biases in Dupire’s Local Volatility Model

Speaker: David Fournie, Morgan Stanley
David-Antoine Fournie is an equity derivatives trader at Morgan Stanley where he is responsible for Single Names Exotics and Dispersion. Before this, he co-founded Deauville Capital Management LP, a hedge-fund manager specialized in relative value volatility trades using over-the-counter derivatives, after having been responsible for Index Exotics and Quantitative Algorithmic Strategies at Morgan Stanley. He graduated from Ecole Polytechnique in 2006, and obtained a Ph.D. in Mathematics from Columbia University in 2010 for his work extending Ito’s formula to functional spaces.

We will explain why a unique local volatility is implied by the volatility surface and how the model works. We will then examine the different biases that arise when pricing more complex products with the model: forward skew, gaps, equity/rates correlation.
Thursday February 11, 2016

Title: Introduction to Credit Default Swaps

Speaker: Thibault Charra, Barclays
Thibault is a credit trader at Barclays in New York. With the creation of Barclays Non Core group in 2014, Thibault assumed responsibility for the legacy portfolio of Credit Default Swaps, managing the risk on 600 illiquid referenced entities. His team is responsible for running down the exposure of all legacy assets while optimizing return on capital for the bank. Previously at Barclays, Thibault was a correlation trader on credit bespoke, synthetic CDO and other types of structured credit products. He holds a M.A. in Mathematics of Finance from Columbia University, and a M.S. in Computer Engineering from Supélec in Paris.

The financial crisis put an end to the boom of credit derivatives. In this talk, we will look at the evolution of the Credit Default Swap market, since its creation to the peak pre-crisis, until today. We will introduce the CDS contract and some of its unique trading features.The structured products are largely responsible for the spectacular growth of the CDS market. The presentation will give an idea of the complexity developed in credit market through credit index, credit default swaptions, first to default, and CDO. Finally, we will discuss the future of CDS trading.
Tuesday February 16, 2016

Title: Mortgage Servicing Rights Securities

Speaker: Ilya Zhokhov, Blackrock
Ilya Zhokhov, Vice President, is a member of Blackrock Relationship Management team. Mr. Zhokhov is responsible for managing relationships with banks and financial institutions. He and his team deliver risk management solutions and strategic advisory services to many of the nation’s largest banks and financial institutions.

The presentation covers the industry of mortgage banking and the role of mortgage servicing rights (MSR) and mortgage servicers in financial industry. We’ll discuss the basic structure of MSRs as well as market risks associated with holding MSRs. We’ll touch upon practical aspects and challenges in hedging MSRs.
Thursday February 18, 2016

Title: Regulatory Capital Modeling Framework in Trading Book and Model Risk Management (MRM) in Stress Testing: A Supervisory Perspective

Speaker: Wei Lu, Federal Reserve Bank of New York
Wei Lu is a risk analytics manager in the Supervision Group at the Federal Reserve Bank of New York. He leads a team of model risk examiners that critically evaluate trading, market and counterparty credit risk models, and relevant model risk control frameworks of large, complex financial institutions in the New York District. Before joining New York Fed in March 2011, he had 10 years of experience in the financial industry with a focus on quantitative risk analytics and management.

Wei holds a master’s degree in Mathematical Finance from Columbia University and a Bachelor’s degree in Engineering from Beijing University of Aeronautics & Astronautics.

The presentation will provide an overview of regulatory modeling framework in trading book, which includes historical evolution, advancements since 2008 crisis, key challenges in market risk capture, the latest developments in BCBS Trading Book Fundamental Review and model risk management in regulatory stress testing.
Tuesday February 23 through Thursday March 10, 2015

Lecture Series by Amal Moussa, Deutsche Bank

Amal Moussa is an Equity Exotic Derivatives trader at Deutsche Bank. Prior to that, Amal was a derivatives trader at JP Morgan also covering equity exotic options and structured notes, and before that she was a quantitative associate in the Global Emerging Markets group at JP Morgan. Amal holds a Ph.D. in Statistics from Columbia University (New York, 2011), a Masters in Probability and Finance from the Paris 6 University (Paris, 2006) and an Engineering degree in Computer Science from the Ecole Nationale Superieure des Telecommunications (Paris, 2006).

Concepts in Volatility Modeling and Trading


Exotic products are broadly defined as any derivative which economics are “more complicated” than calls and puts. Trading these products require more advanced understanding and modeling of the implied volatility surface than Black-Scholes, because hedging them will involve trading calls and puts at multiple strikes and maturities. We will therefore spend the first part of this mini-series on volatility dynamics and modeling, to prepare for the second part which will cover the most familiar Exotic derivatives in Equity markets. The third and final part will cover a very important difference between the Mathematical Finance standard literature, which references a “risk-free rate”, and real market economics of listed and collateralized trades, in which the abstract idea of “time value of money” actually arises from a very tangible “cost of carry” of the value of the positions.


  1. Volatility Modeling
    1. Estimation of Historical Volatility
    2. Implied Volatility and Smile Dynamics
    3. Local Volatility and Stochastic Volatility
    4. Volatility Swaps and Variance Swaps
  2. Equity Exotic Options: Pricing and Hedging
    1. Barrier Options and Digitals
    2. Autocallables
    3. Correlation Products: Worst-Of Puts, Outperformance Options, Quanto Options
  3. Funding and CSA Discounting
    1. The rate market post 2008: OIS-Libor basis, tenor basis, counterparty risk and collateral
    2. Projection and Discount Curves Construction
    3. Bond, FRA, Swap and Option Pricing using CSA Discounting
Tuesday February 23, 2016

Title: Volatility Modeling I

Speaker: Amal Moussa, Deutsche Bank
Thursday February 25, 2016

Title: Volatility Modeling II

Speaker: Amal Moussa, Deutsche Bank
Tuesday March 1, 2016

Title: Equity Exotic Options: Pricing and Hedging II

Speaker: Amal Moussa, Deutsche Bank
Thursday March 3, 2016

Title: Equity Exotic Options: Pricing and Hedging II

Speaker: Amal Moussa, Deutsche Bank
Tuesday March 8, 2016

Title: Funding and CSA Discounting I

Speaker: Amal Moussa, Deutsche Bank
Thursday March 10, 2016

Title: Funding and CSA Discounting II

Speaker: Amal Moussa, Deutsche Bank
Tuesday March 15, 2016

Spring Recess — No Seminar
Thursday March 17, 2016

Spring Recess — No Seminar
Tuesday March 22, 2016

Title: Equity Risk Premia and Systematic Investment Strategies

Speaker: Boris Lerner, Morgan Stanley
Boris Lerner is Executive Director and Head of Quantitative and Derivative Strategies, Institutional Equities Division, at Morgan Stanley. He is an alumnus of Columbia University’s MAFN program.
Thursday March 24, 2016

Title: Equity Implied Vols for All, Part 2: Implied Volatility Curve Design and Fitting

Speaker: Timothy Klassen, Founder and CEO, Volar Technologies LLC
Volar Technologies provides Analytics, Data, Services and Consulting for equity options market participants. In particular, Volar provides state-of-the-art pricing and volatility fitting analytics not available anywhere else. Before founding Volar, Tim built the options market making analytics infrastructure and quant team at Getco. With careful attention to the modeling of dividends, borrows, vol time, and vol curves he designed algorithms that allow for very fast and robust calibration of any (reasonable) market: SPY and other ETFs with dividends or high borrows, single stocks like AAPL with W-shaped vol curves around earnings, and robust curves for illiquid names. Getco became one of very few successful new options market makers since the penny pilot began; it was competitive even in super-liquid names like SPY, AAPL, KOSPI. Tim received his Ph.D. in particle physics from the University of Chicago. As a postdoctoral research scientist at Cornell and Columbia University he played a leading role in the simulation of QCD using improved lattice schemes, leading to orders of magnitude speed-ups. He has authored over 28 articles with 1500+ citations in particle and statistical physics, as well as finance.

Implying robust borrow and volatility curves in real-time is a necessary requirement for a competitive listed options market maker. Furthermore, volatility surfaces that are free of arbitrage, even in the far wings, are a crucial input for the calibration of “SLVJ”-type models for the pricing of exotics. There is no concensus on how such vol curves/surfaces should be designed and fit. No curves have ever been described in the public domain that can accurately fit the vol skews of super-liquid ETFs like SPY, or the W-shaped vol curves of tech names like AAPL around earnings. After discussing the modeling of cash dividends and calibration of borrows in Part 1, we here describe the issues around volatility curve fitting.
Tuesday March 29, 2016

Title: What Quants Really Do On Wall Street

Speaker: Mark Higgins, Washington Square Technologies
Dr Mark Higgins is the COO and co-founder of Washington Square Technologies, a financial technology company that builds cross-asset trading and risk management systems. Dr Higgins spent eight years at JPMorgan where he launched the Athena project, a Python-based risk management system currently in use across many of JPMorgan’s trading desks; co-headed the Quantitative Research group for all the market making desks in the investment bank; and ran the franchise making electronic markets on currency options. He spent eight years at Goldman Sachs as a quant on the Foreign Exchange and NY Interest Rate derivatives market making desks. Dr Higgins has a PhD in theoretical astrophysics from Queen’s University in Canada.

What do quants spend their days really working on? What skills are in demand? Dr Higgins will draw on his twenty years experience as a working quant to discuss what businesses quants are involved in on the “buy side” and the “sell side”; what problems they work on; and what techniques they use to solve those problems.
Thursday March 31, 2016

Title: From Financial Relativities to Conic Trading

Speaker: Dilip B. Madan, Morgan Stanley and University of Maryland
Dilip Madan is Professor of Mathematical Finance at the Robert H. Smith School of Business. Currently he serves as a consultant to Morgan Stanley, Norges Bank Investment Management and MarketToppers. He has also consulted with Citigroup, Bloomberg, the FDIC, Wachovia Securities, Caspian Capital and Meru Capital. He is a founding member and Past President of the Bachelier Finance Society. He received the 2006 von Humboldt award in applied mathematics, was the 2007 Risk Magazine Quant of the year, received the 2008 Medal for Science from the University of Bologna and held the 2010 Eurandom Chair. He was inducted into the Circle of Discovery of the College of Computer, Mathematical and Natural Sciences in 2014. He has published over 150 papers and serves on the Advisory Board of Mathematical Finance, is Co-editor of the Review of Derivatives Research, and an Associate Editor for Quantitative Finance among a number of other Journals.

No arbitrage for two price economies with no locally risk free asset implies that suitably deflated prices are nonlinear martingales in which both the deflating process and the measure change depend on the process being studied. Further assumptions allow the nonlinear martingales in discrete time to become expectations with respect to a nonadditive probability. We go on to value trading strategies using such non-linear conditional expectations in a Markovian steady state. Fixed points for value and policy functions are developed. It turns out to be critical that the valuation is conducted by an expectation with respect to a non-additive probability for with a classical conditional expectation operator both the value and policy iterations fail. Illustrations are provided for Markovian systems in one, two and five dimensions. Trading positions are seen to balance prediction rewards against the demands for hedging value functions.
Tuesday April 5, 2016

Title: Discounting for FX Derivatives and the Death of Covered Interest Rate Parity

Speaker: Louis Scott, Federal Reserve Bank of New York
Louis Scott is currently at the Federal Reserve Bank of New York, where he is an Officer in the Model Risk Department, Supervision. Prior to joining the Fed in 2014, he was in the investment banking industry for 17 years where he was a Managing Director with Morgan Stanley and UBS. He held a variety of positions with responsibilities in risk management and quantitative research. He was a university professor in Finance at the University of Illinois and the University of Georgia and published academic research, including papers on derivative pricing. He has also served as an adjunct professor at the Courant Institute, New York University, and the Graduate Business School at Fordham University. His undergraduate degree is in Electrical Engineering from Duke University, and he has an MBA in Finance from Tulane University and a Ph.D. in Economics from University of Virginia.

This lecture serves as an extension of OIS discounting into the realm of multi-currency derivatives. As banks have migrated from LIBOR discounting to OIS discounting, additional work has become necessary to account for unique features of FX derivatives, cross-currency swaps, and other multi-currency derivatives. With the breakdown of covered interest rate parity, banks must maintain numerous yield curves for discounting and forward LIBOR rates across the variety of currencies traded globally. OIS discounting requires banks to maintain two yield curves for each domestic currency for single currency derivatives: one discounting curve based on OIS and a forward LIBOR curve. For multi-currency derivatives, banks must maintain two additional curves for each currency pair: one modified OIS curve, calculated from FX forwards, for discounting foreign cashflows under the domestic pricing measure, and a foreign forward LIBOR curve for valuing foreign LIBOR floating rate payments under the domestic pricing measure. The foreign forward LIBOR curves must be calculated from cross-currency swaps. This lecture also re-examines the recent experience for covered interest rate parity and discusses the implications for pricing multi-currency derivatives.
Thursday April 7, 2016

Title: Quantitative Trading in the Eurodollar Futures Market

Speaker: Edith Mandel

As a principal at Greenwich Street Advisors, LLC, Edith advises both established participants in the Fixed Income market and those companies considering opportunities for expansion. As an expert in the Fixed Income market, Edith evaluates the opportunity cost, advises on trading infrastructure build-out, electronic and quantitative trading, alpha research and algorithmic execution.

Prior to starting her own advisory firm last year, Edith Mandel was the head of Fixed Income Mid-Frequency Trading at KCG (formerly GETCO). While there, she spearheaded a development of a new quantitative and systematic business within the Fixed Income group.

Edith started her career at Goldman Sachs in 1996, where she held a number of positions in the Fixed Income division. As a Managing Director, Edith ran a team of quantitative desk strategists responsible for US Rates trading.

Prior to joining KCG in 2012, Edith Mandel worked at Citadel for 3 years as a Managing Director, Head of Fixed Income Quantitative Research. There she was instrumental to a significant revamp and expansion of the Fixed-Income Asset Management business.

Although the Fixed-Income market overall still lacks liquidity and overall transparency, the Eurodollar futures are a very liquid and accessible portion of it. Eurodollar market is defined by a set of key features: pro-rata matching, large tick size, overlapping and highly correlated set of contracts, hidden implied liquidity and sticky price quotes. We will describe methodologies suitable for dealing with the market’s complexity, making the case that high-frequency market-making, alpha trading & algorithmic execution need to be linked closely to achieve continued success.
Tuesday April 12, 2016

Title: The SABR Model: Theory and Practice

Speaker: Sarbojeet Saha, Deutsche Bank
Sarbo graduated from the Columbia MAFN programme in 2007. He currently works within Deutsche Bank’s Analytical Solutions & Technologies team. He is an experienced and skilled quantitative solutions analyst and change implementer.

The well-known presence of a volatility smile in most options markets has resulted in the need for a pricing model that both handles the smile and skew correctly. Such a model must also be intuitive, fast, and good at providing tradable risk. With these needs in mind, we explore the origins of the Stochastic Alpha Beta Rho (SABR) model, and examine its applications and limitations in pricing various fixed-income products.
Thursday April 14, 2016

Title: Subprime Mortgages and the Financial Crisis

Speaker: Kevin Atteson, Summer Road
Kevin Atteson is the Chief Quant of Summer Road, a family office. Kevin was previously a Managing Director in charge of Morgan Stanley’s mortgage modeling team and has also run mortgage modeling teams at UBS and Goldman Sachs. Prior to that, he founded and acted as President of the electronic commerce software development company, Double Prime. Kevin has a PhD from the University of Pennsylvania and post-doctoral experience at Yale and Berkeley.

We introduce the subprime mortgage market which ultimately triggered the financial crisis of 2008. We talk about each of the major participants in the market and how they each behaved in accordance with their short-term incentives. We review the major mathematical models of subprime mortgages and their derivatives and demonstrate a simple model which could have helped participants foresee the crisis better.
Tuesday April 19, 2016

Title: Valuation of derivative instruments: practical experience

Speaker: Janna Konovalova
Janna Konovalova is a financial industry professional with experience in financial consulting and investment banking.

As a manager at PwC’s FSR group, she specialized in the valuation of various types of derivatives: interest rate, currency, credit, convertible bonds, and other financial instruments. Her areas of responsibility included model reviews and assumption validations across pricing and risk management models. Her clients were investment banks, hedge funds, asset management firms, insurance companies and exchanges.

Prior to joining PricewaterhouseCoopers in New York, Janna was an investment banking associate at Morgen, Evan & Company, where she worked on origination and execution of cross-border M&A transactions.

Janna Konovalova has an MA in Mathematics of Finance from Columbia University (2006) as well as MA and BA degrees in Economics from Moscow State University.

There are many obstacles and approaches to independently value a derivative in practice. The purpose of the presentation is to give a practical overview by providing examples of valuation of derivatives and approaches to perform an independent valuation. Often times, given the time pressures and multiple projects, to provide an effective challenge of the value the expert has to use multiple sources of information, academic theory, market standard approaches, own judgement, appropriate tools and constant communication with other industry professionals in order to achieve reasonable conclusions. By looking at the three types of derivatives (credit, FX and equity) and exemplary tools (Bloomberg, Fincad), the practical approach to effective challenge will be demonstrated
Thursday April 21, 2016

Title: Dodd-Frank Act stress testing (DFAST) and the Comprehensive Capital Analysis and Review (CCAR)

Speaker: Kaushal Agrawal, Quantitative Analytics, , Barclays Capital Inc.
Kaushal is a financial services risk management professional with over eight years of quantitatively-focused experience across banking and capital markets

The most recent financial crisis in 2008 and the subsequent bailouts of large financial intermediaries have brought policymakers’ concern with the soundness of the banking sector into sharp relief. While interest in evaluating the robustness of a banking system’s responses to macroeconomic shocks is quite old, practical implementation of banking stress tests has become a regulatory requirement only recently in the United States, with the passing of the Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act or DFA) of 2010, motivated by the widely perceived success of the Federal Reserve’s Supervisory Capital Assessment Program (SCAP) of 2009. Practical implementation of banks’ stress testing directly related to the act (Dodd-Frank Act stress testing or DFAST) began in early 2011 with the first release of the Comprehensive Capital Analysis and Review (CCAR) stress scenarios by the Federal Reserve. The regulatory requirements have been evolving ever since and are only becoming stringent by each passing year. This has resulted in an increasing demand for Quants across all financial institutions, and at the same time it has created a huge gap between the relevant job vacancies and the qualified job seekers.
Tuesday April 26, 2016

Title: Dominant Factor Analysis

Speaker: Raphael Douady, Datacore, SUNY at Stony Brook, and Labex ReFi
Wikipedia article: Raphael Douady

Nonlinear polymodels is a factor-based statistical analysis technique which can be applied in a broad range of fields. Inspired by pattern recognition methods used in DNA analysis or in hand writing recognition, it is particularly adapted to situations where space-dependent changes of regime modify the relation between dependent variables and their independent drivers, making ot difficult for a single multi-factor model to fit all the possible situations that may potentially occur. We shall present in the particular context of financial modeling.

Traditional multi-factor analysis is essentially used in finance in a linear setting. Asset returns are replicated by a linear combination of factor returns. Not only it provides answers to questions related to the statistical behaviour of assets with respect to the market, but it is intellectually comfortable, as a portfolio is naturally represented as a reduced “portfolio” of risk factors. However, this representation sadly lacks of any predictive value, especially when we need it the most, that is, when a crisis is coming. We shall show how nonlinear polymodels provide a reliable solution to the main questions factor analysis aims at addressing:

  1. finding the probability distribution of individual asset returns (risk measurement)
  2. assessing the impact of a given shift of risk factors (stress testing)
  3. estimating the joint probability distribution of family of assets (portfolio risk and optimization)

We shall show how the nonlinear polymodel-based “Dominant Factors™” methodology provides superior portfolio returns, simply thanks to a better control of the downside dynamics, without the procyclicality pitfalls of traditional Markowitz and Black-Litterman methods.

Thursday April 28, 2016

Title: Risk Premia Investing from Theory to Practice

Speaker: Marco Aiolfi, QMA
Marco Aiolfi, PhD, is a Portfolio Manager for QMA and a member of the Asset Allocation team. His responsibilities include research and portfolio management for Asset Allocation strategies, with a focus on Global Tactical Asset Allocation. Prior to joining QMA, Marco was a portfolio manager and researcher at Goldman Sachs Asset Management where he was a member of the Quantitative Investment Strategies team. His experience included serving as lead portfolio manager for GTAA implementation in select portfolios and co-head of volatility strategies for a multi-strategy fund. Previously, Marco was a Principal at Platinum Grove Asset Management, where he designed, implemented and co-managed a systematic G10 currency trading strategy. Marco was a Research Scholar at the University of California, San Diego, specializing in macro asset pricing and econometrics, and he was a Visiting Scholar for the Research Department at the International Monetary Fund. Marco has published papers in several academic journals including the Journal of Econometrics, the Journal of Forecasting, the Journal of Financial Econometrics, the Journal of Development Economics and the Oxford Handbook of Economic Forecasting. He earned a BA in Economics Summa Cum Laude and a PhD in Economics from Bocconi University, Milan, Italy.

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