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Sep 10
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7:35am - 8:30am

Registration and welcome coffee

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Showing of Streams
10:00am - 10:30am

Morning coffee and networking break

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Showing of Streams
1:00pm - 2:00pm

Lunch

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Showing of Streams
3:50pm - 4:30pm

Afternoon tea & networking break

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Showing of Streams
5:45pm - 6:45pm
Info

Networking drinks reception & champagne roundtable discussion groups

A chance for everyone to network and relax after the day’s presentations and discussions.

Champagne discussion groups offer delegates a chance to delve deeper into timely topics of the day and network with specific VIP speakers 


1. Alexey Polishchuk, Senior Analyst, Quantitative Financial Research Group, Bloomberg L.P. 

Volatility surface construction / modeling 

  • Round table host Alexey Polishchuk - Senior Quant Research Analyst, Bloomberg L.P
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6:45pm - 6:50pm
End of main conference day one

End of main conference day one

More
7:35am - 8:30am 55 mins
Registration and welcome coffee
8:30am - 8:50am 20 mins
Setting the scene: the geopolitical and economic backdrop
Chairman's opening remarks
8:50am - 9:20am 30 mins
Info
Setting the scene: the geopolitical and economic backdrop
Are we heading towards the next downturn?
  • Presenter Megan Greene - Managing Director and Chief Economist, Manulife Asset Management

Economic briefing

What will the catalyst be and how bad could it get?

9:20am - 10:00am 40 mins
Info
Setting the scene: the geopolitical and economic backdrop
Geopolitical briefing
  • Presenter Yascha Mounk - Keynote speaker, John Hopkins

The decline of democracy

10:00am - 10:30am 30 mins
Morning coffee and networking break
10:30am - 11:00am 30 mins
QuantMinds Americas
The past, present and future of FMIs
  • Presenter Alexander Lipton - CTO, Sila
10:30am - 11:00am 30 mins
RiskMinds Americas
Chief Risk Officer or Cyber Risk Officer?
11:00am - 11:40am 40 mins
Info
QuantMinds Americas
How can quants find value in volatile markets?
  • Panellist Chris Kelliher - Quantitative Analyst, Global Asset Allocation team, Fidelity Investments
  • Panellist Mark Hendricks - Head of Quantitative Research, Racon Capital Partners LLC

What needs to be done in terms of portfolio reallocation, de-risking and finding non-correlated source of return given the current market backdrop?

11:00am - 11:40am 40 mins
Info
RiskMinds Americas
What keeps the CROs awake at night?
  • Panellist Daniel Moore - Chief Risk Officer, Scotiabank
  • Panellist David Hernandez - Chief Risk Officer, BAC Florida Bank
  • Panellist Senthil Kumar - Chief Risk Officer ICG, Citigroup
  • Panellist Rodney Sunada-Wong - Chief Risk Officer U.S. Institutional Broker-Dealer and Derivatives Swap Dealers, Morgan Stanley
  • Panellist Lakshmi Shyam-Sunder - Vice President and Group Chief Risk Officer , World Bank Group

Audience polling panel

CROs respond to audience quick-fire polling on the top challenges facing risk management


11:40am - 12:20pm 40 mins
QuantMinds Americas
The 7 reasons most econometric investments fail (and how ML can fix them)
  • Presenter Marcos López de Prado - Principal, Head of Machine Learning, AQR Capital Management, formerly
11:40am - 12:20pm 40 mins
Info
RiskMinds Americas
Innovation in risk management: An effective approach to enterprise data quality management
  • Presenter Udayan Dekhtawala - Associate Managing Director, Risk & Regulatory Strategy, Verisk Financial


  • Industry pain points with quality of data used for risk analytics
  • Best practices to reduce time to debug data quality issues
  • MIS for identification, tracking and debugging data quality issues
  • Regulatory Impact – Civil Penalties from Regulators, Costs for compliance
  • Case Studies on improving governance of data
12:20pm - 1:00pm 40 mins
Info
RiskMinds Americas
Recession readiness
  • Panellist Dan Lee - Chief Credit and Risk Officer, Coastal Community Bank
  • Panellist Renata Radlinska - CRO, MetLife Poland and Ukraine
  • Panellist Dmitry Green - Chief Risk Officer, Mariner Investment Group
  • Panellist Manish Nagar - Principal and Global Head of Investment Risk, Vanguard

CRO panel

If the next downturn is about to hit, how does the risk function best prepare?


1:00pm - 2:00pm 60 mins
Lunch
2:00pm - 2:05pm 5 mins
Quant Innovation: Machine Learning, HFT, AI & Data
Chairman's opening remarks
2:00pm - 2:05pm 5 mins
Quantitative techniques in investment & trading
Chairman's opening remarks
2:00pm - 2:05pm 5 mins
Operational risk, cyber security & culture
Chairman's opening remarks
2:00pm - 2:05pm 5 mins
Modelling credit, market & counterparty risk
Chairman's opening remarks
2:05pm - 2:40pm 35 mins
Quant Innovation: Machine Learning, HFT, AI & Data
Panel discussion: What is the future of AI, alternative data and ML?
  • Presenter Lisa Huang - Head AI Investment Management, Fidelity
2:05pm - 2:40pm 35 mins
Info
Quantitative techniques in investment & trading
Portfolio management theory
  • Presenter Marat Molyboga - Chief Risk Officer, Director of Research, Efficient Capital Management

What’s new?

ML, non-linear portfolio management, factor modelling, artificial neural networks

2:05pm - 2:40pm 35 mins
Info
Operational risk, cyber security & culture
Aligning non-financial risk assessments
  • Presenter Penny Cagan - Managing Director, Head of Operational Risk Governance, MUFG Union Bank
  • The benefits of developing a universal approach to risk assessments
  • Present Risk Assessment Challenges
  • Critical Success Factors to establishing adoption
  • Establishing universal foundational elements
  • Establishing a project plan
  • The industry perspective
2:05pm - 2:40pm 35 mins
Info
Modelling credit, market & counterparty risk
What's new in model risk management?
  • Presenter Jing Zou - Managing Director, Enterprise Model Risk Management, Royal Bank of Canada
  • Models vs. non-models – controls and requirements
  • Which models need benchmarking?
  • Validating models using machine learning
  • How do we actively quantify, report and manage model risk?
2:40pm - 3:15pm 35 mins
Quant Innovation: Machine Learning, HFT, AI & Data
Accessing and harnessing unstructured data: what's the potential for alpha?
  • Presenter Jonathan Berkow - Head of Alternative Data, AllianceBernstein
2:40pm - 3:15pm 35 mins
Quantitative techniques in investment & trading
Diversification of portfolio tail risk using the convexity of trend-following strategies
  • Presenter Artur Sepp - Head of Research, Quantica Capital AG
2:40pm - 3:15pm 35 mins
Info
Operational risk, cyber security & culture
What is the role of the risk officer in a cyber event?

How should we adjust our behavior if and when a cyber-attack happens?

2:40pm - 3:15pm 35 mins
Info
Modelling credit, market & counterparty risk
Model validation 101

10 mistakes that people make with their model validation process and how to avoid them

3:15pm - 3:50pm 35 mins
Info
Quant Innovation: Machine Learning, HFT, AI & Data
Achieving transformational outcomes: industry perspectives on data and analytics strategy
  • Presenter Emil Matsakh - Chief Analytics Officer, Commonwealth Bank of Australia

Real-world applications

3:15pm - 3:50pm 35 mins
Quantitative techniques in investment & trading
Factor investing in China
  • Presenter Rohit Shrivastava - Director - Equity Senior Researcher, PanAgora Asset Management
3:15pm - 3:50pm 35 mins
Operational risk, cyber security & culture
Diving with sharks - developing an active risk culture: a case study
  • Presenter John Grace - CRO, AgriBank
3:15pm - 3:50pm 35 mins
Modelling credit, market & counterparty risk
How to develop the ideal risk system
  • Presentation Murad Nayal - Global Head, Risk Informatics, Goldman Sachs
3:50pm - 4:30pm 40 mins
Afternoon tea & networking break
4:30pm - 5:05pm 35 mins
Quant Innovation: Machine Learning, HFT, AI & Data
Better data management to enable wise decisions
4:30pm - 5:05pm 35 mins
Quantitative techniques in investment & trading
Crowd sourcing and building an investment strategy
  • Presenter David Sargent - Managing Director, Portfolio Management and Research, Quantopian
4:30pm - 5:05pm 35 mins
Info
Operational risk, cyber security & culture
Outsourcing risk
  • Presenter Ashish Dev - Principal Economist Quantitative Risk Management Section, Federal Reserve Board

Examining how outsourcing impacts your firm’s cybersecurity & data protection protocols and frameworks

4:30pm - 5:05pm 35 mins
Info
Modelling credit, market & counterparty risk
Managing BCBS239 & GDPR

How best to handle and aggregate data and how can you be sure your BCBS239 data is GDPR compliant?

5:05pm - 5:40pm 35 mins
Quant Innovation: Machine Learning, HFT, AI & Data
Getting extreme VaR right: eliminating convexity and approximation biases from heavy-tailed, moderately-sized samples
  • Presenter J.D. Opdyke - Vice President, Enterprise Risk and Return Management, Allstate
5:05pm - 5:40pm 35 mins
Quantitative techniques in investment & trading
Data driven trading & investing
5:05pm - 5:40pm 35 mins
Operational risk, cyber security & culture
Going back to basics: focus on investors
  • Presenter Kristen Walters - Managing Director, Risk & Quantitative Analysis Group, BlackRock
5:05pm - 5:40pm 35 mins
Info
Modelling credit, market & counterparty risk
Successful modelling of Interest rate risk in the banking book

Modeling dynamic gaps, defining scenarios with variation of CPR & MtM valuation of the banking book

5:40pm - 5:45pm 5 mins
Quant Innovation: Machine Learning, HFT, AI & Data
Chairman's closing remarks
5:40pm - 5:45pm 5 mins
Quantitative techniques in investment & trading
Chairman's closing remarks
5:40pm - 5:45pm 5 mins
Operational risk, cyber security & culture
Chairman's closing remarks
5:40pm - 5:45pm 5 mins
Modelling credit, market & counterparty risk
Chairman's closing remarks
5:45pm - 6:45pm 60 mins
Info
Networking drinks reception & champagne roundtable discussion groups
  • Round table host Alexey Polishchuk - Senior Quant Research Analyst, Bloomberg L.P

A chance for everyone to network and relax after the day’s presentations and discussions.

Champagne discussion groups offer delegates a chance to delve deeper into timely topics of the day and network with specific VIP speakers 


1. Alexey Polishchuk, Senior Analyst, Quantitative Financial Research Group, Bloomberg L.P. 

Volatility surface construction / modeling 

6:45pm - 6:50pm 5 mins
End of main conference day one