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Main Conference Day 1 (Please note this is the 2023 agenda*) - GMT (Greenwich Mean Time, GMTZ)
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Main Conference Day 1 (Please note this is the 2023 agenda*) - GMT (Greenwich Mean Time, GMTZ)
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Stream C: Model Risk & Liquidity
11:30 - 11:35
Chair's welcome remarks
- Jon Hill - Professor of Model Risk Management, Dept. of Financial Risk Engineering, NYU-Tandon
11:35 - 12:15
Margin modelling approaches for optimisation and capital efficiencies
- Sumit Sinha - Senior Director Quant Risk Management, CME Group
12:15 - 12:55
Correlation in direct and factor models: comparative performance and underlying explanatory theory.
- Vladimir Chorniy - Managing Director, Head of Risk Model Fundamentals and Research Lab, Senior Technical Lead, BNP Paribas
- Sergii Arkhypov - Quantitative Analyst, BNP Paribas
12:55 - 13:30
WWR, concentration and overcollateralised exposures
- Fabrizio Anfuso - Senior Technical Specialist, Bank of England
Showing 1 of 1 Streams
Stream C: Model Risk & Liquidity
14:30 - 15:05
Learning market data anomalies
- 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
15:05 - 15:40
Roughly Rough - A low-cost solution to generating rough diffusion like processes
- Gregory Pelts - Director, Scotiabank
15:40 - 16:10
Non-parametric approaches to estimating market risk
- Peter Quell - Head of the Portfolio Analytics Team for Market and Credit Risk, DZ Bank AG
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