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Quant Risk Management

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Date: 17-Nov-15 to 18-Nov-15
Location: Etc Venues Dexter House / London / United Kingdom
Category: Banking, Finance & Investment Conferences & Trade Fairs

Quant Risk Management 2015 | http://www.cfp-events.com/quantrisk
London, November 17 - 18

CFP’s Quant Risk Management 2015 is a two-day Congress set to provide best practices and processes for quant professionals in the new regulatory financial order. The Quant Risk Management Congress will address key challenges being faced by quant risk managers in the middle and back office including Model Risk and Validation, CCPs and Counterparty Credit Risk, Value Adjustments and Fair Value Measurement, Fundamental Review of the Trading Book, Data Management and Risk Systems and much more.

At Quant Risk Management 2015 you will hear from RBS, Credit Agricole, HSBC, Lloyds Banking Group, Santander, Barclays, Deutsche Postbank, Citi, Deutsche Bundesbank, UBS, Standard Bank, Banca IMI, UniCredit, Mizuho and more. Key highlights include:

THE ROLE OF THE QUANT
Understand the changing role of quants and the impacts of new regulations on the profession

MODEL RISK & VALIDATION
Key insights on building an effective governance framework, the depth and scope of models to include and how to quantify model risk

CCPS & COUNTERPARTY CREDIT RISK
Best practices for modelling exposure of CCP default, the probability of systemic risk and clarification of the initiative and bi-lateral margin requirements

VALUE ADJUSTMENTS AND FAIR VALUE MEASUREMENT
Learn how to calculate and compute the MVA and KVA as well as how to account under IFRS 13 and utilise the adjustments for business decision making

FUNDAMENTAL REVIEW OF THE TRADING BOOK
Assess the pro’s and con’s of implementation or standardised approaches and understand how to model varying liquidity horizons

DATA MANAGEMENT AND SYSTEMS
Discuss the needs and requirements for integrated data and risk management systems

Key Presenters Include:

Dong Qu, Global Head of Quants, UniCredit
Felix Matschke, Global Head Model Coordination, UBS
Sylvain Martinez, Global Head of Market Risk and Analytics, ICBC Standard Bank
Bertrand Hassani, Group Head of AAA – Risk Methodology (Advanced and Alternative Analytics), Santander
Andrew Green, Head of CVA/FVA Quantitative Research, Lloyds Banking Group
Jan-Philipp Hoffman, Head of VaR and Price Models, Deutsche Postbank
Andrea Prampolini, Head, Counterparty Risk Management, Banca IMI
Richard Rossmanith, Head of Counterparty Credit Risk Analytics Change Delivery, RBS
Andrea Buzzigoli, Head of Global Wholesale Credit Risk Analytics, HSBC
Gilles Artaud, Deputy Head of Counterparty Credit Risk, Credit Agricole
Sean Hrabak, Director, Model Validation, Citi
Gael Robert, Director, Counterparty Credit Risk, Mizuho
Sebastian Irle, Senior Policy Expert & TBG Member, Deutsche Bundesbank

Please visit http://www.cfp-events.com/quantrisk for further information including the full agenda and the speaker line-up. You can also contact the Centre for Financial Professionals at info@cfp-events.com or +44 (0) 845 680 5172.

Visitors

Hear from more than 15 senior quant risk professionals on the key challenges being faced by middle and back office quants in the new regulatory landscape. Key topics include Model Risk and Validation, CCPs and Counterparty Credit Risk, Value Adjustments and Fair Value Measurement, Fundamental Review of the Trading Book and Data Management and Risk Systems.

Exhibitors

n/a

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