Quant Congress Europe
Risk presents its annual Quant Congress Europe 2013, renowned as gathering for the world's most distinguished quants to showcase the latest in quantitative risk management research, derivatives pricing and portfolio management solutions.
The quant community has been repeatedly shaken over the past 5 years and only now we have the perception it has taken the right direction towards pricing frameworks that consider all the relevant factors. CVA, DVA, FVA, collateralization, netting agreements have been the focus of the discussion for a while, but how to incorporate them into derivatives pricing models is still hotly debated.
Meanwhile, research is going on in all the fields of quantitative finance as progress is needed to improve models' reliability and accuracy. In risk management, effective representation of risk figures is still an open issue and investigation on value-at-risk in order to overcome its flaws is proceeding unfailingly. Multi-curve environment implies funding and discounting techniques had to be re-written and the concept of liquidity revisited. Computational costs increase and quicker algorithms are necessary. With all the big changes occurred in the industry and the innovative solutions recently put in production, model risk gains even greater importance.
Quant Congress Europe 2013 covers all these aspects, which will be presented by senior quants from leading financial institutions and universities, including four Risk's Quant of the Year winners. Participating is a great opportunity to reach a deeper understanding of the foundations of the new quantitative finance world that have been laid in the past years and understand what the next steps in research will be.
Some of the speakers presenting at the Annual Quant Congress Europe 2013 will include:
KEYNOTE SPEAKER: Alex Lipton, Managing Director and Co-Head of the Global Quantitative Group, BANK OF AMERICA MERRILL LYNCH
kEYNOTE SPEAKER: Marco Avellaneda, Professor of Mathematics, NEW YORK UNIVERSITY and Risk Awards 2010: Quant of the Year
- Dilip Madan, Professor of Finance, ROBERT H. SMITH SCHOOL OF BUSINESS, UNIVERSITY OF MARYLAND
- Julian Phillips, Managing Director, Chief Model Risk Officer, Head of Model Risk Management, BANK OF AMERICA MERRILL LYNCH
- Pierre Henry-Labordere, Quantitative Finance, SOCIETE GENERALE
- Youssef Elouerkhaoui, Global Head of Credit Derivatives, Quantitative Research, CITIGROUP
- Attilio Meucci, Chief Risk Officer, KEPOS CAPITAL
- Marco Dion, Global Head of Equity Quant Strategy, J.P. MORGAN
- Igor Smirnov, Managing Director, Head of Fixed Income Quants Europe, BANCO SANTANDER
