Wednesday 04 November 2009

8.30 Registration and coffee

8.50 Chairman's opening remarks

Valery A. Kholodnyi, Principle Quantitative Analyst, Risk Management, VERBUND AUSTRIAN POWER TRADING AG

9.00 KEYNOTE ADDRESS: Functional Ito calculus and volatility hedging
- Ito calculus for functionals of price paths
- Gamma/Theta trade-off for path-dependent options
- Variational calculus of the volatility surface
- Robust hedge of exotic options with vanillas

Bruno Dupire, Senior Researcher, BLOOMBERG

9.40 KEYNOTE ADDRESS: Bilateral Counterparty risk valuation with hybrid models across classes: impacts of volatilities and correlations
- Unilateral and bilateral counterparty risk and the crisis
- Strange features of the bilateral case in some real banking reports
- Need of a model for accurate valuation
- Model dependence of wrong way risk
- Cases from Credit (CDS), Commodities (Swaps) and Rates (Swaps)
- Impact of netting
- Hybrid models
- Full fledged dynamic approach vs Rough multipliers

Damiano Brigo, Visiting Professor, IMPERIAL COLLEGE

STREAM THREE: MARKET RISK MODELLING

10.35 Chairman’s opening remarks

Alberto Elices, Senior Quantitative Analyst, Model Validation Group, GRUPO SANTANDER

10.40 Counterparty Risk Evaluation for Interest Rate Derivatives
- Risk-neutral evaluation of counterparty risk
- Bilateral counterparty risk
- Interest-rate and credit-spread modelling assumptions
- Managing correlations
- Pricing examples and discussion
- Conclusions

Andrea Pallavicini, Head of Financial Engineering, BANCA LEONARDO

11.20 Capturing credit correlation between counterparty and underlying: practical approach for risk modelling in a bank wide system
- Hybrids, small portfolio
- Analytical
- Full structured approach
- Analytic approximations for firm wide system
- Industry vs. regulator priorities
- Implication for risk management practices

Sascha Wilkens, Quantitative Analyst, Market and Counterparty Risk Analytics, BNP PARIBAS

Vladimir Chorniy, Head of Market and Counterparty Risk Analytics, Group Risk Management/ Risk Capital Markets, BNP PARIBAS

12.00 Credit blowups: Using credit/equity models to trade and risk-manage single-name credits
- How do you attach realistic
probabilities to events such as credit blowups that have never happened before?
- For such events, historical data
is of little use, but could structural models have done better?
- The use of Levy-based structural models to model credit and equity in a consistent framework
- Model-implied VaR and its management
- Case studies from 2007-8

Richard Martin, Head of Quantitative Credit Strategies,
AHL/ MAN INVESTMENTS

12.40 Lunch and an opportunity to network

13.40 Testing and calibrating risk models
- What makes a risk model “good”?
- Understanding sources of risk can be as important as the accuracy of the risk forecast
- How to test risk models
- Calibrating the model for the forecast horizon
- Risk measures and portfolio construction

David Jessop, Global Head of Quant research, UBS

14.20 Modelling new incremental risk charges
- Regulatory background
- Structural aspects: building blocks of incremental risk models
- Liquidity horizons and the assumption of constant level of risk
- Acceleration techniques for Monte Carlo simulation
- Decomposition of structured credit derivatives
- Calibration of parameters and quantification of estimation uncertainty

Christian Meyer, Quantitative Analyst Portfolio Modelling, Controlling, DZ BANK AG

15.00 Afternoon break and an opportunity to network

15.20 Model risk in default correlation
- How the static copula gives wrong results in computing liquidity risk, dynamic Var, CDS counterparty risk.
- How flat default correlation misses the link between correlation skew and systemic risk.
- How standard correlation mapping misses the difference between idiosyncratic and portfolio events

Massimo Morini, Head of Credit Models and Coordinator of Financial Modelling Research, Financial Engineering, BANCA IMI

16.00 INTERACTIVE ROUNDTABLE SESSIONS:

Roundtable 1: Regulation
Vladimir Chorniy, Head of Market and Counterparty Risk Analytics, Group Risk Management/ Risk Capital Markets, BNP PARIBAS
Peter Quell, Team Head of Portfolio Modelling, Controlling, DZ BANK AG
Malcolm Kemp, Risk and Quantitative Finance Specialist, formerly THREADNEEDLE

Roundtable 2: Volatility - Consistency of volatility surface dynamics with spot dynamics
Thomas Hyer, Head of Quantitative Analytics, UBS
Alberto Elices, Senior Quantitative Analyst, Model Validation Group, GRUPO SANTANDER

Roundtable 3: Liquidity Risk
Kanwardeep Ahluwahlia, CRO, SWISS RE

Roundtable 4: The role of quantitative finance models
Patrick Hagan, Head of Quantitative Analysis, JPMORGAN
Wim Schoutens, Research Professor, CATHOLIC UNIVERSITY OF LEUVEN
Valery A. Kholodnyi, Principle Quantitative Analyst, Risk Management, VERBUND AUSTRIAN POWER TRADING AG

STREAM FOUR: DERIVATIVES TRADING ACROSS ASSET CLASSES

10.35 Chairman’s opening remarks

Valery A. Kholodnyi, Principle Quantitative Analyst, Risk Management, VERBUND AUSTRIAN POWER TRADING AG

10.40 FX as an asset class
- What makes a valid asset class?
- Comparisons with FX and more traditional investments
- The FX carry trade - the longest history of FX alpha returns
- Breakdown of Uncovered Interest Rate Parity since 1970's
- Individual currency basket performance
- Carry in different market regimes
- Examples of other systematic FX trading models

Jessica James, Managing Director, Global Head of Quantitative Investor Solutions, FX, CITI

11.20 Inflation derivatives: trading & modelling challenges in the post-credit crunch world
- Recent global inflation-indexed bond market performance
- Deflation fears, par floors, and illiquidity
- Inflation swaps
- Hedging real swap flows without using inflation swaps
- Notation and market examples
- Focusing on the market post-Lehman

Dariush Mirfendereski, Managing Director, Head of Inflation-linked Trading, UBS

12.00 Global calibration for long dated and hybrid derivatives
• Global calibration
• Using fourth level BLAS extensions
• Scenario generation and dynamic copulas
• Equipment configurations for calibration and pricing case studies

Claudio Albanese, Visiting Professor, KING'S COLLEGE LONDON

12.40 Lunch and an opportunity to network

13.40 Multiple curves, one price
- Bootstrapping the illiquidity: multiple yield curves construction for market coherent forward rates estimation
- Post credit crunch pricing and hedging interest rate derivatives
- Where is no arbitrage?
- One currency, two curves: Quanto adjustment?

Marco Bianchetti. Senior Quant, Risk Management/ Market Risk, INTESA SAN PAOLO BANK

14.20 CALL FOR PAPERS WINNER: Analytical formulas for pricing CMS products in the Libor Market Model with the stochastic volatility

Alexandre V. Antonov, NUMERIX
Matthieu Arneguy, NUMERIX

15.00 Afternoon break and an opportunity to network

15.20 Extensible Modelling for Hybrid Products
- Sources of bottlenecks and hard-wired limitations
- Coding practices for extensible tools
- Mediation between trade and model
- Trade description languages
- Handling past and future events
- Building hybrid models from components

Thomas Hyer, Head of Quantitative Analytics, UBS

16.00 INTERACTIVE ROUNDTABLE SESSIONS:

Roundtable 1: Regulation
Vladimir Chorniy, Head of Market and Counterparty Risk Analytics, Group Risk Management/ Risk Capital Markets, BNP PARIBAS
Peter Quell, Team Head of Portfolio Modelling, Controlling, DZ BANK AG
Malcolm Kemp, Risk and Quantitative Finance Specialist, formerly THREADNEEDLE

Roundtable 2: Volatility - Consistency of volatility surface dynamics with spot dynamics
Thomas Hyer, Head of Quantitative Analytics, UBS
Alberto Elices, Senior Quantitative Analyst, Model Validation Group, GRUPO SANTANDER

Roundtable 3: Liquidity Risk
Kanwardeep Ahluwahlia, CRO, SWISS RE
Christian Libor, Senior Vice President, Back Office Data & Analytics, DEUTSCHE BOERSE

Roundtable 4: The role of quantitative finance models
Patrick Hagan, Head of Quantitative Analysis of the Chief Investment Office, JPMORGAN
Wim Schoutens, Research Professor, CATHOLIC UNIVERSITY OF LEUVEN
Valery A. Kholodnyi, Principle Quantitative Analyst, Risk Management, VERBUND AUSTRIAN POWER TRADING AG

17.30 Chairman’s closing remarks

17.40 End of Quant Congress Europe