The 4th Women in Quantitative Finance Conference, 14th - 18th June 2021

The 4th Women in Quantitative Finance Conference, 14th - 18th June 2021

Revisit The 4th Women in Quantitative Finance Conference, originally presented: Monday 14th – Friday 18th June 2021. 

DAY 1:

Deep Hedging under Rough Volatility
by Blanka Horvath - Lecturer, King’s College London and Researcher, The Alan Turing Institute

We investigate the performance of the Deep Hedging framework under training paths beyond the (finite dimensional) Markovian setup. In particular we analyse the hedging performance of the original architecture under rough volatility models with view to existing theoretical results for those. Furthermore, we suggest parsimonious but suitable network architectures capable of capturing the non-Markoviantity of time-series. Secondly, we analyse the hedging behaviour in these models in terms of P&L distributions and draw comparisons to jump diffusion models if the the rebalancing frequency is realistically small.

Using Neural Networks to speed up SABR consistent Cross-Smiles
by Katia Babbar - University of Oxford, Academic Visitor & “QuantBright” Consultant

  • Assuming EURUSD and USDJPY each follow a SABR process, under some mild assumption on correlations, a EURJPY consistent cross-smile can be inferred.
  • Such models require a 4-factor Monte Carlo simulation and are too slow for calibration
  • Here a NN is trained on a set of data in order to speed up Calibration of range of Cross-Smiles.

Climate Scenario Analysis and Stress Testing
by Rebecca Self - Director of Sustainable Finance, South Pole

  • Introduction to climate risk stress testing and scenario analysis
  • Incorporating climate change risk into stress testing, for example, the 2021 Bank of England stress test
  • Challenges of scenario analysis
  • Examples of climate change screening analysis and deep dives

DAY 2:

Measuring Central Bank Communication with Machine Learning
by Sophia Kazinnik - Senior Quantitative Analyst, Federal Reserve Bank of Richmond

We apply facial recognition methods to FOMC press conference videos, and quantify one of the most important aspects of nonverbal communication – facial expressions. Using minute-level data, we align our nonverbal communication measure with a set of financial assets to estimate the impact of the Federal Reserve Chairs’ facial expressions on investor expectations. We find that investors adversely react to negative expressions revealed during the press conference, even when controlling for the verbal component of the press conference and additional explanatory variables. The effect is heightened in meetings that draw more attention and when the Chair is discussing forward guidance.

Keynote: Key Considerations when Implementing a Modeling Program within a Global, Highly Regulatory Environment
by Caitlin Cani - Portfolio Manager, Consumer Risk & Finance CRO, Citi

PANEL: Talent Attraction & Retention


  • What are QR Financial Services currently doing and what should they be doing to attract more female talent?
  • What can Universities and Recruitment companies do to help?
  • What strategies are financial companies using at present if any?
  • What are QR Financial Services currently doing and what should they be doing to retain female talent?
  • What top positions besides Asset Management can QF- profiled women occupy?
  • For each position open, the percentage of female CVs submitted is very small (if not none). Why is this happening and how can universities/headhunters/companies work together to improve the numbers?
  • At more senior levels the number of women is even lower than at entry level which means that the female population retention rate is low or/and women are not being promoted. Discuss.
  • Mentoring programmes that could specifically help Diversity & Inclusion.
  • Are quantitative positions too specialised which prevents women (and men) to move horizontally to different (and possibly more senior) roles?


  • Burcu Karabork - Quantitative Developer, NatWest Markets


  • Oksana Kitaychik - Quantitative Analyst, Barclays

  • Jill Zhao - Director, Global Consumer Bank Risk Appetite Framework, Citi

  • Lara El Sabbagh - Quantitative Analyst, Bank of America

  • Sandrine Ungari - Head of Cross-Asset Quantitative Research team, Société Générale

DAY 3:

Integrating Climate Risk into Risk Management: Challenges and Opportunities
by Diana Ouamar - Co-Founder and Managing Director, Rima Consulting

Attention to climate-related financial risk is clearly growing within finance, both for the private sector and the public sector. Banking regulators and central banks are suddenly beginning to pay more attention to the role of climate change as a source of financial risk. During this presentation, I will introduce how Banks are under rising regulatory and commercial pressure to protect themselves from the impact of climate change and to align themselves with the global sustainability agenda.

Key takeaways include:

  • Incorporating the financial risks of climate change into risk management frameworks, strategic discussions, and oversight regimes
  • Understand the significant limitations and challenges to anticipating the financial impact of climate change
  • Learn the role of the banking sector in transitioning to a net-zero carbon emission world

Keynote: Balance and Income Forecasting – an integrated modelling approach
by Priya Balan - Director, Quantitative Analytics, Barclays

Machine Learning Models & Fixed Income Quant Trading
by Edith Mandel - Principal, Greenwich Street Advisors, LLC


Fixed Income trading is slow to evolve.  We see a lot of innovation in algorithmic execution & TCA, but changes are less dramatic in risk-taking parts of the business.  In this talk I will describe several practical applications of ML to signal-driven trading in Fixed Income.  We will focus on bonds, and work through examples of models used for predictions & sizing of positions, model stacking & how ML approach can produce forecasts for instruments with limited historical data (i.e new issues). We will also highlight how ML can drive innovation in TCA.

DAY 4:

Market Making Algos
by Burcu Karabork - Quantitative Developer, NatWest Markets

Adiabatic Quantum Computing in Finance
by Nedeen AlSharif - PhD Student in Quantum Computing, UCL

  • Universal Quantum Computers vs Adiabatic Quantum Computers
  • Quantum Annealing
  • Reverse Quantum Annealing
  • Quantum Random Walk
  • Overview of some published research on quantum computing in finance
  • Overview of the size of the current quantum computing market and its predicted future

Setting up a Quantitative Finance Desk as a Female Entrepreneur
by Sonam Srivastava - Founder/Portfolio Manager, Wright Research

  • Intro to Wright Research
  • Description of Quantitative Portfolios offered by Wright Research
  • New research and growth at the startup
  • Opportunities and challenges of starting up in this field as a female entrepreneur

PANEL: Career Progression


  • Do you think that being a woman is a significant factor in slowing down career progression in QR Financial Services?
  • If so, could this be avoided and how?
    • Discuss the current career return to work strategies available
      • Have you benefited from any such schemes?
    • Discuss the Importance and value of mentorship and sponsorship
      • What mentoring programs are available for juniors if any?
    • Is it still hard to make it to the top positions, if so why and what can do done to change the situation?
    • Discuss female role models in finance and significant achievements
    • Tips from coaches on career progression (eg having your voice heard)
    • Actively managing your career; distribution of opportunity set
    • Gender diversity issues (discuss numbers, policies, how to address it)
    • Maternity leave
      • Has Shared Parental Leave (SPL) helped equality in this area?
    • How important are the following:
      • Promotions/Career opportunities
      • Pay gap elimination
      • Agile/Flexible working
      • Getting the feedback you need (even if you don’t really want it)
      • Supporting each other


  • Irene Perdomo - Managing Director, Gresham Investment Management


  • Caroline Clement - Director, Quantitative Analyst in Macro, Barclays

  • Jennie Hu - Director, Model Risk Management, Bank of America

  • Rekha Ahuja - Senior Credit Officer, Citi

  • Jennifer Bagg - Managing Director, Head of Quantitative Desk Analytics, NatWest Markets

  • Sonam Srivastava - Founder/Portfolio Manager, Wright Research

  • Diana Ribeiro - Deputy Head of Pricing Models Quantitative Research, Lloyds Banking Group

  • Blanka Horvath - Lecturer, King’s College London and Researcher, The Alan Turing Institute

DAY 5:

COVID-19 as a Stress Test: Assessing the Bank Regulatory Framework
by Diana Iercosan - Principal Economist, Federal Reserve Board

  • Capital requirements and bank capitalization.
  • Liquidity requirements and banks’ liquidity positions.
  • Bank activity: lending and trading.
  • Market assessment of bank health.

Model Governance of Marker Generators in Finance
by Blanka Horvath - Lecturer, King’s College London and Researcher, The Alan Turing Institute and Maud Lemercier - PhD Student in Statistics, The University of Warwick

*Some presenter slides and video lecture recordings may be restricted due to company compliance.