Main Conference Day 1 (Please note this is the 2023 agenda*) - GMT (Greenwich Mean Time, GMTZ)
Main Conference Day 1 (Please note this is the 2023 agenda*) - GMT (Greenwich Mean Time, GMTZ)
- The role of regulation and its link with risk modelling
- Repurposing and redistribution of risk modelling capabilities
- The future of model risk management
Chatham House Rules apply
- Shearin Cao - EMEA Regulatory Engagement Function Director - Regulatory Policy, Citi Bank
- Anton Merlushkin - Head of Quant Modelling & Analytics, Jain Global
- Kevin Walsh - Deputy Comptroller for Market Risk Policy, Office of the Comptroller of the Currency
- David Phillips - Head of Traded Risk Measurement, Bank of England
Not all CPU designs are the same. There are a wide range of CPU designs, each optimized for specific workload characteristics. This talk will explore some of the constraints and design tradeoffs that drive these different design choices, highlight some key design choices that benefit Quant workloads, and illustrate the resulting performance delta of different CPU designs.
- Jay Fleischman - Senior Fellow, AMD
How NLP broke the status quo in 2023. How it has been used in a financial capacity? Where are we heading? What is the value brought to the finance world? Will AI & ML replace quants?
- Theodora Lau - Founder, Unconventional Ventures
- Stefano Pasquali - Head of Investment AI Modelling & Research team, BlackRock
- Chandni Bhan - Global Chief Risk Officer, Wise
- Nicole Königstein - Chief Data Scientist and Head of AI & Quantitative Research, Wyden Capital
- Yehuda Dayan - Head of Thematic Data Science, Citigroup
Due to the highly specialized subject matter, the leading commercial (GPT-4) and open source (Llama 2, Code Llama) LLMs are unable to provide specialized comprehension and generation suitable for quant finance applications out of the box.
In this presentation, I will describe fine-tuning and prompt engineering techniques that convert stock LLMs into specialized tools that can assist with the following model governance functions, subject to final sign-off by human analysts:
1) Validation of trade capture using LLM comprehension of trade confirmations
2) Validation of model documentation using LLM comprehension of source code
3) LLM generation of model documentation and release note drafts
- Alexander Sokol - Executive Chairman, CompatibL
- Mahdi Anvari - Head of Equity Derivatives Quantitative Analysis, Millennium
- Jim Gatheral - Presidential Professor of Mathematics, Baruch College, CUNY
- Leif Andersen - Global Co-Head Of Quantitative Strategies Group, Bank of America
- Fabio Mercurio - Global Head of Quant Analytics, Bloomberg L.P.
- Alejandro Roigé - Quantitative Analyst and Portfolio Manager, Turing Capital Group
- Raman Uppal - Professor of Finance, EDHEC Business School
- Yehuda Dayan - Head of Thematic Data Science, Citigroup
- Andreas Theodoulou - Data Scientist, Citi Global Data Insights, CitiGroup
- Hamza Bahaji - Head of Financial Engineering and Investment Solutions, Amundi ETF, Indexing & Smart Beta,, Amundi
- Jon Hill - Professor of Model Risk Management, Dept. of Financial Risk Engineering, NYU-Tandon
- Sumit Sinha - Senior Director Quant Risk Management, CME Group
- Vladimir Chorniy - Managing Director, Head of Risk Model Fundamentals and Research Lab, Senior Technical Lead, BNP Paribas
- Sergii Arkhypov - Quantitative Analyst, BNP Paribas
- Fabrizio Anfuso - Senior Technical Specialist, Bank of England
- Marie Briere - Head of Investor Intelligence and Academic Partnerships, Amundi
- Eunice Zhu - Executive Director, Head of Derivatives XVA Trading EMEA, SMBC Nikko Capital Markets
- Heiko Bailer - ESG Investments & Research, LBBW Asset Management
- Wim Schoutens - Professor Of Financial Engineering, University of Leuven
- Mourad Berrahoui - Managing Director Global Head of Counterparty Pricing and Risk Analytics, Lloyds Banking Group
- Marie Briere - Head of Investor Intelligence and Academic Partnerships, Amundi
- Andrea Macrina - Professor of Mathematics, University College London
Please note Limited space for boardroom discussions: First-come first-served!
Arora 7
Please note Limited space for boardroom discussions: First- come first-served!
We will learn practical techniques for using and customizing today’s LLMs (GPT-4 Turbo and LLAMA2) to solve real-life problems in financial markets.
Prior knowledge of LLMs or Python programming is not required.
• Prompt engineering (natural language programming of LLMs)
o Principles of prompt engineering
o Prompt types
• Chains (multi-step workflows)
o Divide and conquer
• Retrieval augmentation (using external information)
o Asking questions over documents
• Logit processing
o Enforcing output format using grammar
o Enforcing logical constraints
• Fine-tuning
o Supervised and self-supervised generation and comprehension
• Overcoming limitations
o Large documents (e.g. model documentation)
o Large file repositories (e.g. source code libraries)
• Achieving Reliability
o Suppressing hallucinations
o Reproducing results
• Hands-on examples
o Comprehension of trade term sheets
o Comprehension of pricing model source code
- Alexander Sokol - Executive Chairman, CompatibL
- Elisa Alòs Alcalde - Associate Professor, Universitat Pompeu Fabra (UPF)
- Purba Das - Lecturer in Mathematical Finance, King's College London
- Luca Capriotti - Adjunct Professor, Columbia University
- Alexey Ermilov - Quantitative Researcher, Maniyar Capital
- Takaya Sekine - Deputy Head of Quant Portfolio Strategy, Amundi
- Rama Cont - Professor of Mathematics and Chair of Mathematical Finance, University of Oxford
- Marco Bianchetti - Head of IMA Market Risk, Market and Financial Risk Management, Intesa Sanpaolo
- Manola Santilli - Quant Senior Specialist in IMA Market Risk, Market and Financial Risk Management, Intesa Sanpaolo
- Marco Scaringi - Quant Specialist, Financial and Market Risk Management, Intesa Sanpaolo
- Gregory Pelts - Director, Scotiabank
- Peter Quell - Head of the Portfolio Analytics Team for Market and Credit Risk, DZ Bank AG
- Svetlana Borovkova - Associate Professor, Vrije Universiteit Amsterdam
- Chris Kenyon - Global Head of Quant Innovation, MUFG Securities
- Konstantina Armata - Global Head of Enterprise Stress Testing and Risk Analytics, Citi
- Aous Labbane - Managing Director, EMEA Equity, Nomura
- Brian Huge - Head of Quant, Saxo Bank
- Jonas Svallin - Senior Director, Quantitative Solutions, Factset
- Matteo Rolle - Deputy Head of Sella Financial Markets, Banca Sella Holding
- Luca Foresti - Quant Trader, Banca Sella Holding
- Saeed Amen - Visiting Lecturer, Queen Mary University London
How do we construct the curves for emerging markets currencies?
- Marcos Carreira - Former Chief Risk Officer, Upon Global Capital
- Jessica James - Managing Director, Senior Quantitative Researcher, Commerzbank AG
- Viatcheslav Belyaev - Senior Quantitative Analyst, U.S. Bank
- Julien Kockelkoren - Former Head of Trading Research, Undisclosed
- Peter Friz - Professor of Mathematics, TU Berlin, Weierstraß-Institut Berlin
- Yoshihiro Tawada - Director, MUFG Securities EMEA
- Wafaa Schiefler - Executive Director – Commodities Quantitative Researcher, JP Morgan Chase
- Carol Alexander - Professor, University of Sussex
- Fayçal Drissi - Post Doctoral Researcher, University of Oxford
- Artur Sepp - Head of Quantitative Strategies, Clearstar Labs AG
- Daniele Bernardi - Chief Executive Officer, Diaman Partners
- Francesco Canella - Director, Diaman Partners
Arora Foyer
- Elizabeth Holmes - Senior Vice President – Quantitative Analytics, Selby Jennings
- Aymeric Kalife - Associate Professor, Paris Dauphine PSL University
Arora Foyer
Arora Foyer
- Matthias Arnsdorf - Global Head of XVA & Counterparty Credit Risk Modelling, JP Morgan Chase