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Practitioners’ Seminar 2018

The seminar takes place in the Spring of 2018, Tuesdays and Thursdays 7:40pm — 8:55 pm.

Location: 312 Mathematics Building. For directions please see Directions to Campus and Morningside Campus Map

Organizer: Lars Tyge Nielsen

Click here for the Schedule of Presentations.

Click here for the Schedule of Past Presentations.

To subscribe to (or to unsubscribe from) the announcement email list, send an email to lrb@math.columbia.edu from the relevant email address with “Subscribe” or “Unsubscribe” in the subject line or the first line of the message..

Rules

  • The seminar is open to the public (no registration necessary).
  • The speaker often will not make copies of the presentation available — to protect intellectual property or comply with company rules.
  • No photos or video of the speaker or presentation allowed except with express permission.
  • Only to document the attendance of MAFN students, the audience may be photographed at the beginning of the seminar, and sign-up sheets may be circulated


 

Schedule of Presentations

Click here for the Schedule of Past Presentations.

Thursday April 19, 2018

Title: Outage insurance contracts for Power Markets

Speaker: Rajan Iyer, NextEra Energy Resources
Rajan Iyer is the Manager of Quantitative Analysis in the Asset Trading and Optimization group at NextEra Energy Resources. He is responsible for building quantitative models to price FTR instruments and hedge congestion risks in the wholesale electricity markets for the firm’s portfolio of assets in the ERCOT and PJM regions. He is also responsible for implementing opportunistic trading strategies in the wholesale electricity markets in the CAISO region for the firm’s renewable assets in California. Rajan has over 20 years of quantitative modeling experience in commodity and weather derivatives. Prior to joining NextEra, Rajan worked in Swiss Re building pricing and risk management platforms for weather derivatives and outage insurance products. He holds an MA in Mathematics of Finance from Columbia University, BS in Computer Science from the Indian Institute of Science and is a CFA charter holder.

Abstract
Unplanned or forced outage is major risk for power plants during summer heat wave or winter storms. If a generator under outage is unable to meet the demand, the asset owner is exposed to power prices in the spot market. Electricity prices can spike upward by thousands of dollars per MWh during these extreme weather conditions. Forced outage insurance is an effective risk transfer solution to hedge against price spikes in the spot market. This contract is typically purchased for merchant assets using fossil or nuclear fuel. The presentation will provide an overview of the pricing methodology for a typical outage insurance contract.
Tuesday April 24, 2018

Title:

Speaker: Rishi Dhingra, Barclays

Abstract
Thursday April 26, 2018

Title: Credit Risk Behavior of Homogeneous Portfolios: Some Interesting Results

Speaker: Arturo Cifuentes, Columbia Business School & CLAPES UC
Arturo holds a Ph.D. in applied mechanics and a M. S. in civil engineering from the California Institute of Technology; an MBA in finance from New York University; and a civil engineering degree from the University of Chile.
Currently, he is an Adjunct Professor at the Division of Finance & Economics of Columbia University in New York; and also, a Research Associate at CLAPES UC, in Santiago, Chile.
Previously, he was President of the Chilean Sovereign Fund investment committee (US$ 25 billion); and served four years as a member of the Advisory Board of the Division of Humanities and Social Sciences of the California Institute of Technology.
He has written two books, four book chapters, and numerous academic articles (refereed papers) on topics related to finance, portfolio management, applied mathematics, and engineering. Several of his opinion pieces have been published by the Financial Times. As a result of the subprime crisis, he was invited twice to testify, as expert witness, by the U.S. Senate.

Abstract
Homogeneous portfolios subject to credit risk are fairly common in the financial derivatives market. For example, the well-known CDX.NA.HY Index and the (in)famous Abacus transaction are typical examples. In this presentation we will show, based on some simple analytical expressions, that the behavior of such portfolios exhibits some surprising (and perhaps undesirable) features, e.g. limited diversification benefits. We will also show that some recent regulatory initiatives might be misguided, and we will discussed the suitability of the conventional risk metrics when applied to such portfolios, with the aid of several practical examples.


 

Past Presentations

Tuesday January 16, 2018

Title: Probabilistic Interpretation of an Implied Volatility Smile

Speaker: Peter Carr, NYU Tandon School of Engineering, Finance and Risk Engineering
Dr. Peter Carr is the Chair of the Finance and Risk Engineering Department at NYU Tandon School of Engineering. He has headed various quant groups in the financial industry for the last twenty years. He also presently serves as a trustee for the National Museum of Mathematics and WorldQuant University. Prior to joining the financial industry, Dr. Carr was a finance professor for 8 years at Cornell University, after obtaining his Ph.D. from UCLA in 1989. He has over 85 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 IAQF/Sungard in 2010. From 2011 to 2014, Dr. Carr was included in Institutional Investor’s Tech 50, an annual listing of the 50 most influential people in financial technology.

Abstract
When the variance rates implied from option prices differ across strike prices, at most one of them can be interpreted as the variance rate of the underlying security price. We develop an arbitrage-free option pricing model with four stochastic state variables, one of which is the underlying security price. We show how to successively explicitly determine the other three state variables from three given co-terminal arbitrage-free implied variance rates. The resulting calibrated implied variance rate smile is given a simple probabilistic representation. To our knowledge, this is the first non-flat implied variance rate smile enjoying any probabilistic interpretation
Thursday January 18, 2018

Title: Practical Big Data Applications to Portfolio Management — An Empirical Comparison of Analytic Techniques

Speaker: Irene Aldridge, ABLE Alpha Trading and AbleMarkets.com
Irene Aldridge is President and Managing Director, Research, of AbleMarkets, a Big Data for Capital Markets company. She was named to the Forbes’ Top 40-Over-40 Women’s List in 2017. Prior to AbleMarkets, Aldridge designed and ran high-frequency trading strategies in a $20-million cross-asset portfolio. Still previously, Aldridge was, in reverse order, a quant on a trading floor; in charge of risk quantification of commercial loans; Basel regulation team lead; technology equities researcher; lead systems architect on large integration projects, including web security and trading floor globalization. Aldridge started her career as software engineer in financial services. Aldridge is the author of multiple academic papers and several books. Most notable titles include “Real-Time Risk: What Investors Should Know About Fintech, High-Frequency Trading, Flash Crashes” (Wiley, 2017) and “High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems” (2nd edition, translated into Chinese, Wiley 2013).

Abstract
While a fair share of academic research to date has been devoted to spectral analysis as a tool in the portfolio management toolkit, most of the research has been highly theoretical in nature and the industry adoption of the methodology has been scarce. In this paper, we show a step-by-step approach, advantages and results of spectral decomposition in portfolio reallocation. Specifically, we show how spectral decomposition solves two most pressing large-scale portfolio reallocation problems: extreme weights and transaction costs. We further show the empirical results of portfolio reallocation under different common portfolio composition scenarios, and how spectral decomposition helps speed up and outperform traditional portfolio allocation techniques.
Tuesday January 23, 2018

Title: Risk Management in the real world

Speaker: Jonathan Schachter; Delta Vega, Inc.
Jon Schachter is founder of Delta Vega, Inc., an independent consultancy in mathematical finance. Currently, he is partnering with Renaissance Risk Management Labs to provide high-performance derivatives pricing tools (using GPUs and adjoint algorithmic differentiation) to banks, insurance companies, and family offices. Jon’s past experience includes valuation and risk roles at JP Morgan, Goldman Sachs, State Street, Lehman Brothers (post bankruptcy), and Morgan Stanley. He is a 2002 graduate of the MAFN program. Jon began his career as a postdoctoral researcher in astrophysics at Harvard, and was part of the team that launched the Chandra X-ray Observatory satellite telescope. He is a native New Yorker, but never imagined working here.

Abstract
Risk management in the post-crisis world provides regulators with job security, and its red meat provides financial employment opportunities for mathematical finance students. This talk gives examples of actual risk systems at 3 large U.S. banks. The material indicates the variations in risk methodology on The Street. The majority of the talk discusses statistical measures of loss. It also touches on the perspective of international regulators. Finally, it provides background on the speaker’s career prior to finance. Having an experiment fly on the Space Shuttle is the ultimate test of real-world risk management.
Thursday January 25, 2018

Title: Short-term Statistiical Properties of S&P 500 Index Futures

Speaker: Alexei Chekhlov, Systematic Alpha Management, LLC. and Columbia University

Abstract
Do the Research, Let the Data Speak to You. The only source of information for the results in this presentation is file, which contains 1,717,547 lines of the S&P 500 E-Mini futures minute price data, all recorded price history for the market. Theoretical Concepts Used. Non-axiomatic understanding a Random Walk process, understanding how its discrete version converges to a continuous version. Various basic statistical concepts developed in Statistical Hydrodynamics and Statistical Physics. Basic results from Real and Complex analysis. Phenomenological Approach. Hard science approach to finance (theoretical math, theoretical finance & economics) has been disproportionally over-focused on creation of theoretical models rather then on verification of any model against the actual experiment, i.e. financial data. Our approach is not to impose our model on the financial reality, but rather to listen to what the data is “telling” us. Careful Use of Simple Statistical Measurements. We would like to focus on the question of robust existence of a certain price behavior rather than on the existence (or non-existence) of a profitable trading strategy based on it under some transaction cost (and other) assumptions.
Tuesday January 30, 2018

Title: Unspanned Stochastic Volatility, Conformal Symmetries, and Stochastic Time

Speaker: Gregory Pelts, Wells Fargo

Abstract
We shall apply the stochastic clock technique and conformal symmetry to tackle various outstanding problems in quantitative finance:

  • Modeling jump diffusion and rough volatility
  • Building a unified consistent framework for the modeling of SPX and VIX options
  • Building tractable interest rate models with support of a sustained low rates regime
Thursday February 1, 2018

Title: Leveraged ETFs and Dynamic Portfolio Management

Speaker: Mikhail Smirnov, Columbia University

Abstract
Leveraged ETFs provide a convenient mechanism to dynamically change portfolio exposure. A classical portfolio insurance strategy of Black-Jones-Perold can be easily implemented with leveraged ETFs. We show more complex dynamic portfolio strategies that also can be implemented using leveraged ETFs. We will introduce the notion of Dynamic Leverage as a VAR extending risk measure taking into account investment time horizon. We introduce a modification of Black-Jones-Perold portfolio insurance. For an investment fund with dynamically controlled risk exposure and certain risk inertia we demonstrate the existence of a critical NAV level below which the efficacy of de-leveraging is compromised.
Tuesday February 6, 2018

Title: Trends in Quantitative Investment Strategies

Speaker: Susan Palmer, CIBC
Sue Palmer, Executive Director at CIBC, has over 16 years of Structuring, Sales, Asset Management and Risk management experience. She currently focuses on systematic strategies for real-money institutional clients (pensions, asset managers, endowments) through custom, bespoke and benchmark indices. In the past 10 years her primary focus has been in Commodities. Sue previously worked at Gresham Investment Management and at Société Générale. She holds an MA in Mathematical Finance from Columbia University and BS in Mathematics from Villanova University.

Abstract
Systematic investing in commodities and beyond. A discussion about investing in commodity futures and how the asset management industry is using systematic strategies for market exposure.
Thursday February 8, 2018

Title: Arbitrage Theory via Numeraires

Speaker: Ioannis Karatzas, Columbia University

Abstract
We develop a mathematical theory for finance based on the “viability” principle that it should not be possible to hedge, starting with arbitrarily small initial capital, a nonnegative European contingent claim which is strictly positive with positive probability. In the context of continuous asset prices modeled by semimartingales, we show that proscribing such egregious forms of arbitrage (but allowing for the possibility that one portfolio might outperform another) turns out to be equivalent to any one of the following conditions:

(i) a portfolio with the local martingale numeraire property exists,
(ii) a growth-optimal portfolio exists,
(iii) a portfolio with the log-optimality property exists,
(iv) a strictly positive local martingale deflator exists,
(v) the market has locally finite maximal growth.

We give precise meaning to all these terms, and show that the above five equivalent conditions are descriptive — in that they can be formulated entirely, in fact very simply, in terms of the local characteristics (the drifts and covariations) of the underlying asset prices.Full-fledged theories for hedging and for portfolio/consumption optimization can be developed in such a setting, as can the important notion of “market completeness”. The semimartingale property of asset prices is necessary for viability when investment is constrained to be “long-only” — i.e., to avoid negative (“short”) positions in stocks, and never to borrow from the money market.When a strictly positive martingale (as opposed to local martingale) deflator exists, so does an equivalent martingale measure on each time-horizon of fine length. We show that this notion is highly normative: two markets may have the exact same local characteristics, while one of them admits such an equivalent martingale measure and the other does not.

[Joint work — book of the same title—with Constantinos Kardaras.]

Tuesday February 13, 2018

Title: Market Risk Regulatory Modeling Framework

Speaker: Wei Lu, Risk Analytics Manager, Federal Reserve Bank of New York
Wei Lu is a capital market risk manager in the Supervision Group at the Federal Reserve Bank of New York. He leads a team of both market risk and model risk examiners that critically evaluate trading and market risk measurement and management frameworks of certain large, complex financial institutions regulated by federal reserve system. 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.

Abstract
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 certain implementation perspectives.
Thursday February 15, 2018

Title: Introduction to MBS

Speaker: Ilya Zhokhov
Ilya Zhokhov is currently Executive Director at Chief Investment Office in JP Morgan focusing on risk management of mortgage servicing rights portfolio. Prior to the current role Ilya spent a number of years at Blackrock and was responsible for managing relationships with banks and financial institutions. His team provided risk management and strategic advisory services to many of the nation’s largest banks and financial institutions.

Abstract
Tuesday February 20, 2018

Title: An overview of the renewable energy markets in the US and an introduction to the Financial Transition Rights (FTR) as a hedging instrument for congestion risk

Speaker: Rajan Iyer, NextEra Energy Resources
Rajan Iyer is the Manager of Quantitative Analysis in the Asset Trading and Optimization group at NextEra Energy Resources. He is responsible for building quantitative models to price FTR instruments and hedge congestion risks in the wholesale electricity markets for the firm’s portfolio of assets in the ERCOT and PJM regions. He is also responsible for implementing opportunistic trading strategies in the wholesale electricity markets in the CAISO region for the firm’s renewable assets in California. Rajan has over 20 years of quantitative modeling experience in commodity and weather derivatives. Prior to joining NextEra, Rajan worked in Swiss Re building pricing and risk management platforms for weather derivatives and outage insurance products. He holds an MA in Mathematics of Finance from Columbia University, BS in Computer Science from the Indian Institute of Science and is a CFA charter holder.

Abstract
The renewable energy markets in the US has grown substantially in the last five years aided in part by generous tax breaks. The intermittency of the renewable sources, especially wind and solar, creates unique challenges to assure the reliability of the power grids. The presentation will provide a broad overview of the wholesale electricity markets in the US, the growth of the renewable electricity sources and the challenges in hedging congestion risks in the power grids.
Thursday February 22, 2018

Title: Structured MBS and MBS derivatives

Speaker: Ilya Zhokhov
Ilya Zhokhov is currently Executive Director at Chief Investment Office in JP Morgan focusing on risk management of mortgage servicing rights portfolio. Prior to the current role Ilya spent a number of years at Blackrock and was responsible for managing relationships with banks and financial institutions. His team provided risk management and strategic advisory services to many of the nation’s largest banks and financial institutions.

Abstract
Tuesday February 27, 2018

Title: Emerging market strategy: Quant approach.

Speaker: Andres Jaime Martinez, Morgan Stanley
Andrés is an EM Strategist at Morgan Stanley. Based in New York, he is responsible for covering EM countries with specific focus on LatAm local rates and currencies.

Andres joined Morgan Stanley in 2017 from Barclays. Prior to that, Andrés worked for the Central Bank of Mexico, where he held several positions such as the Head of the Strategic and Tactical Asset Allocation teams as well as the Head of the FX and Commodities trading desk. In his latest position at the Central Bank, Andrés was responsible for the quantitative and qualitative research applied to investment and execution strategies of the international reserves portfolio of México worth 195 bn USD.

Furthermore, he is a contributor for Reforma Newspaper in Mexico and has lectured undergraduate and graduate courses in Finance and Econometrics at ITAM.

Andres holds a M.A. in Mathematics of Finance from Columbia University in New York and a B.A. in Economics from ITAM University in Mexico City.


Abstract
As Emerging Markets have become an established asset class, the application of quant tools has become widespread. Longer time series are now available, while the quality of the data has increased along with better liquidity in EM. I will discuss valuation in FX markets, measuring idiosyncratic risk-premia in local assets, correlations of EM to systemic risk and interpretation of the volatility smile from a probabilistic perspective.
Thursday March 1, 2018

Title: Submodular Risk Allocation

Speaker: Samim Ghamami
Samim Ghamami is an acting associate director and senior economist at the U.S. Treasury, Office of Financial Research. He is also a senior researcher at the Center for Risk Management Research at the University of California, Berkeley, and an adjunct professor at New York University. Samim has been an economist at the Federal Reserve Board, an advisor to the Basel Committee on Banking Supervision and the Financial Stability Board. His work on banking and derivatives central clearing has been presented and discussed at central banks and supervisory agencies. He has also been a visiting scholar at UC Berkeley, Economics Department, a quantitative researcher at Barclays Capital, a senior quantitative researcher at MSCI, and a post-doctoral researcher at CREATE Homeland Security Center. His publications have appeared in journals including the Journal of Financial Intermediation, Journal of Applied Probability, Journal of Derivatives, and Mathematics of Operations Research. He has a doctorate in mathematical finance and operations research from the University of Southern California and a master’s in operations research from the University of Tehran.

Abstract
[Joint work with Paul Glasserman] We analyze the optimal allocation of trades to portfolios when the cost associated with an allocation is proportional to each portfolio’s risk. Our investigation is motivated by changes in the over-the-counter derivatives markets, under which some contracts may be traded bilaterally or through central counterparties, splitting a set of trades into two or more portfolios. A derivatives dealer faces risk-based collateral and capital costs for each portfolio, and it seeks to minimize total margin requirements through its allocation of trades to portfolios. When margin requirements are submodular, the problem becomes a submodular intersection problem. Its dual provides per-trade margin attributions, and assigning trades to portfolios based on the lowest attributed costs yields an optimal allocation. As part of this investigation, we derive conditions under which standard deviation and other risk measures are submodular functions of sets of trades. We compare systemwide optimality with individually optimal allocations in a market with multiple dealers.
Tuesday March 6, 2018

Title: Trading Illiquid Goods.

Speaker: Peter D. Cotton, JP Morgan
Peter Cotton is Executive Director at J.P. Morgan and creator of Roar Data, the bank’s data science crowd-sourcing platform. He is also a senior member of the Data Science team. Previously, Peter founded Benchmark Solutions, an enterprise data firm providing real-time bond pricing that was sold to Bloomberg. He received his Ph.D. in Mathematics from Stanford University, and began his career at Morgan Stanley where he was one of several independent inventors of closed form Copula pricing for synthetic CDOs.

Abstract
[Joint work with Andrew Papanicolaou, NYU Tandon] We provide analytic results for the optimal control problem faced by a market maker who can only obtain and dispose of inventory via a sequence of sealed-bid auctions. Under the assumption that the best competing response is exponentially distributed around a commonly discerned fair market price we examine properties of the market maker’s optimal behavior. We show that simple adjustments to skew and width accommodate customer arrival imbalance. We derive a straightforward relationship between the market marker’s fill probability and direct holding costs. A simple formula for optimal bidding in terms of (non-myopic) inventory cost is presented. We present the results as a perturbation of an improvement to a “linear skew, constant width” (CWLS) market making heuristic.
Thursday March 8, 2018

Title: A framework for contingent claim replication with funded assets

Speaker: David-Antoine Fournie, Deutsche Bank
David-Antoine Fournie heads the US Equity Exotics trading desk for Deustche Bank. Before this, he held senior exotics and dispersion trading positions at Morgan Stanley, and was a founding partner of the investment advisor Deauville Capital Management.

He graduated from Ecole Polytechnique, and obtained a Ph.D. in Mathematics at Columbia University, for his work on functional Ito Calculus – which extended Ito calculus to spaces of functionals of the whole path of the stochastic processes.


Abstract
The paradigms of asset replication in quantitative finance – in which we either trade assets and lend or borrow at the “risk-free rate”, or trade forwards and numeraire counting P&L in the numeraire currency, fail to describe the reality of trading in today’ world. Reality is that assets are funded on secured financing market, costing or earning a certain rat which is specific to the asset, while most derivatives contract do not involve time value of money since they are fully collateralized or exchange-margined.

This paper aims to present a framework of replication of contingent claim in a model which represents this underlying reality – first in discrete time, then examining the limit of continuous time approximation. TH main result – a formula for replicable claims, is then applied to variance swap replication, providing a more complete picture than the standard theory – in particular, relaxing the assumption that rates and dividend yields are deterministic, and that the variance swap itself is carried as the same rate as the underlier.

Tuesday March 13, 2018

SPRING BREAK – No Seminar
Thursday March 15, 2018

SPRING BREAK – No Seminar
Tuesday March 20, 2018

Title: A Jump-on-Default Approach to Modeling Multiple Default-Contingent Payoffs

Speaker: Aleksandr Veygman, HSBC0
Alexander Veygman has been a leading fixed income desk quantitative analyst at HSBC for the past 12 years working on valuation of various kinds of vanilla and exotic interest rates and credit hybrids derivatives. His scope of interest includes researching numerical methods to simultaneously incorporate multiple market observables to develop practical models ready to be used by fixed income desks. He holds an MS degree from NYU in Statistics & Operations Research/Math in Finance.

Abstract
Copula models are usually used in order to capture multiple default-contingent payoffs. As such, this standard approach fails to capture credit-curve gamma and cross-gamma impacts arising from non-linear dependency on CDS spreads. Neglecting these impacts leads to unexplained P&L swings for the delta hedged portfolios, as it was demonstrated during the crisis. Our approach retains a systemic default feature while taking into account a joint dynamics of credit spreads.
Thursday March 22, 2018

NO SEMINAR – weather related
Tuesday March 27, 2018

Title: Factor Investing in Equity Markets

Speaker: Boris Lerner, Morgan Stanley
Boris Lerner is the head of the North American Quantitative and Derivative Strategies (QDS) team at Morgan Stanley, based in New York. Boris has joined Morgan Stanley in 2003, and has worked on a broad range of projects over the years, including technology development, analytics, derivative research, and quantitative modeling. For the last ten years Boris has focused on topics related to volatility trading, quantitative analysis, portfolio construction, risk management, and has been working on developing systematic hedging, and alternative risk premia capture strategies for use in diversified, multi-asset portfolios. Boris holds a Master’s degree in Financial Mathematics from the Columbia University, and a Bachelor’s degree in Finance and Information Technology from the New York University Stern School of Business.

Abstract
The presentation will be focused on the Equity Risk Premia investing:

  • Identifying equity factors with strong and persistent explanatory power of future stock returns
  • Constructing long-short portfolios to capture the factor premium
  • Testing and adjusting the long-short portfolio for un-intended risks
Thursday March 29, 2018

Title: Dispersion Trading

Speaker: Amal Moussa, Citi
Amal Moussa is in charge of Single Stocks Exotics and Dispersion trading at Citi. She holds a Ph.D. in Statistics from Columbia University (New York, 2011).

Tuesday April 3, 2018

Title: Corridor Variance Swap Spread

Speaker: Bryan Liang, Quant Research, Bloomberg L.P.
Bryan Liang is a senior quant researcher at Bloomberg LP. He joined the Bloomberg quant research team in 2011 and has been working extensively on various aspects of derivatives modelling, including pricing, hedging, structuring, market making, trading strategies and parallel computing. Prior to joining Bloomberg, He worked for derivatives analysis group at Goldman Sachs, covering interest rate derivatives modelling. Bryan received his Ph.D. in mathematics from University of Michigan. Currently He is also an adjunct faculty member at the Courant Institute NYU and Columbia University.

Abstract
Two-asset corridor variance swap spreads have become very popular in recent years. Dealers use them to hedge the vega exposure of their retail structured product flows (autocallable and Uridashi notes); For investors they provide attractive opportunities to capture the relative variance risk premium between different markets. However currently there is very limited literature available. In this talk we examine the use of two-asset corridor variance swap spreads from both sell-side and buy-side perspectives, and investigate different valuation approaches, especially the impact of stochastic volatility, correlations and quanto effect.
Thursday April 5, 2018

Title: Geopolitical hedging

Speaker: Karen Pham Van, Aurelius Capital Management
Karen Pham Van is the Risk Manager at Aurelius Capital, focusing on macro impact on the distressed credit book. Prior to that, she was the Head of Risk at Balestra Capital, a global macro hedge fund. She started her career at Societe Generale where she eventually led the Exotic Derivatives Risk Modeling team in the US. She graduated from EDHEC Business School in France and the Columbia MAFN.

Abstract
The past year has seen a rise in uncertainty across spheres, led mostly by the geopolitical realm.

Whether one is rejoicing in the recent changes or not, it is undeniable that those changes have brought upon a sense of unsettling, most notably for us on the economic and financial front.

Remarkably enough, volatility, implied and realized, has remained at extreme lows across asset classes, with VIX at a solid half of its long term average (aside from a few temporary spikes). This may be due to the fact that risk coming from geopolitical uncertainty is very difficult to estimate and hence price. Geopolitical events tend to be highly unpredictable and have a very binary outcome with extreme results.

We will explore how the recent environment has put geopolitically driven risk at the forefront of hedge fund managers minds and go over how they may go about hedging against such events through the use of concrete examples.

Tuesday April 10, 2018

Title: Factor-Based Investing

Speaker: Natalia Zvereva, J.P. Morgan Asset Management
Natalia Zvereva is a Vice President in the Investment Risk team at JP Morgan Asset Management. Natalia and her team focus on risk management and oversight of the Alternatives funds and Beta strategies. Natalia has been working in risk management since 2009, and held a number of roles in JP Morgan within market risk and credit risk space. Prior to her current position, she covered counterparty risk, credit and funding pricing of cross-asset derivatives portfolios across Rates, FX, Equities, Credit and Commodities. Before joining JP Morgan is 2011, Natalia was a market risk manager at MF Global. Natalia holds a Master’s Degree in Financial Mathematics from Columbia University (2014) and BBA in Finance & Investments from Baruch College (2009).

Abstract
The concept of factors, identified in the ‘60s by W. Sharpe, became increasingly popular in recent years as systematic approaches have been developed to capture factors with Exchange Traded Funds (ETFs) using rules-based transparent strategies. In this lecture, we will cover an introduction to factor-based investing including factors modeling, practical considerations and limitations, and how factor-based approach can be implemented with ETFs.
Thursday April 12, 2018

Title: An Introduction of Counterparty Credit Risk Modeling

Speaker: Hui Shao
Hui Shao is a Director in the Counterparty Credit Risk Analytics of Bank of America Merrill Lynch. The team is mainly responsible for the development of models utilized in counterparty risk management, regulatory capital calculation, stressed testings and fair value adjustments. Previously, Hui worked as a Senior Manager in the Quantitative Advisory Service in Ernst and Young and quantitative analyst in Moody’s Investors Service. Hui holds a Bachelor’s Degree in Physics from Peking University and a Ph.D. in Electrical Engineering from Columbia University.

Abstract
This lecture gives a brief introduction of Counterparty Credit Risk (CCR) models. It goes over the major components of CCR models including risk factor selection and simulation, trade pricing and portfolio aggregation. Each section covers the model consideration such as joint simulation of risk factors, analytical and American Monte Carlo pricers. Recent development in forward Initial Margin (IM) modeling was also covered.
Tuesday April 17, 2018

Title: Beyond OIS: CSA discounting and Cheapest-to-Deliver Funding Option

Speaker: Vladimir Sankovich and Qinghua Zhu, TD Securities

Abstract

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