Revisit The 3rd Women in Quantitative Finance Conference, originally presented Monday 2nd – Friday 6th November 2020.
The Importance of Soft Skills in a Quantitative World
BY JEFF SCOTT: FOUNDER AND CEO, SECTION 810 COMMUNICATIONS, LLC
Quantitative finance often requires substantial “hard skills”–programming, machine learning, data science, AI. But what about the “soft skills” required to collaborate with others, obtain buy-in for ideas, and lead cross-functional teams?
This fast-paced workshop will highlight the importance of these skills within the industry. Attendees will learn:
- What the DISC personality assessment tool is and how can it improve self-awareness
- Ways to improve communication skills to increase your influence
- How to obtain support for your ideas
- Steps to build effective business relationships
- How to work with “difficult” people
A Rough Perspective on Market Generators
BY BLANKA HORVATH: HONORARY LECTURER, DEPARTMENT OF MATHEMATICS, IMPERIAL COLLEGE LONDON
Systematic Investing and the Covid Crisis
BY SANDRINE UNGARI: HEAD OF CROSS-ASSET QUANTITATIVE RESEARCH TEAM, SOCIÉTÉ GÉNÉRALE
- What worked / What didn’t
- The impact of the market microstructure
- Where to look next?
Covid 19, Crude Oil Prices and High Frequency Trading
BY HELYETTE GEMAN, PHD, PHD: PROFESSOR OF MATHEMATICAL FINANCE, BIRKBECK – UNIVERSITY OF LONDON & JOHNS HOPKINS
CECL Provisioning During Covid-19 Pandemic: A blessing or a curse?
BY ARNISA ABAZI: MANAGING DIRECTOR, QUANTITATIVE RISK AND STRESS TESTING, 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?
Diana Ribeiro: Deputy Head of Rates & Credit Quantitative Research, Lloyds Banking Group
Marina Balzac: Head of Foundational Credit Risk Modeling team for Wholesale and Retail portfolios, Citi
Ioana Savescu: Co-head of the Global Credit and Commodities Quant, Strategies Groups, Bank of America Merrill Lynch
Raphaelle Jacquemin: Managing Director, Equity Derivatives Structuring, Goldman Sachs
Irene Perdomo: Managing Director, Gresham Investment Management
A Guided Tour of Causality with Applications to Finance
BY IOANA BOIER: HEAD OF QUANTITATIVE PORTFOLIO SOLUTIONS, ALPHADYNE ASSET MANAGEMENT
Correlation is at the heart of financial modeling. It lurks behind every important aspect from valuation and risk management to strategy selection to portfolio construction. It defines how we translate macro-economic perspectives into trade ideas and it is the lens through which we characterize the behavior of market participants. Anticipated breaks in correlation patterns can materialize into great profits. Unanticipated ones can wipe out fortunes in the blink of an eye.
In this talk we explore the modeling of cause and effect relationships to better understand financial event drivers. We look at causality from an applied perspective as the thread that ties together statistics, machine learning, and decision theory to help us make more reliable forecasts.
IBOR Transition: A Risk and Capital Model Perspective
BY LAURA MULLER: DIRECTOR, GLOBAL MARKETS RISK ANALYTICS, BANK OF AMERICA
With little over 1 year to go until LIBOR benchmarks will stop being published at the end of 2021, we will explore the challenges that are still ahead of us, with a particular focus on the risk and capital modelling space.
Following the completion of Phase II of the IBOR transition, new risk free rates (ESTR and SOFR) are used as discounting rates for the calculation of the PV of cleared derivatives. The next phase, i.e. the adoption of RFRs as main swap indices is seen as the most impactful one for risk and capital models. Lack of historical market data, more extensive proxy usage, may lead to an increase in risks not captured in the models with possible consequences on capital. Finally, cross dependencies between IBOR transition and upcoming regulatory changes will be explored further, in particular the interaction between IBOR Transition and the Fundamental Review of the Trading Book (FRTB).
Oil Markets in 2020: Back To Bachelier
BY ROZA GALEEVA: RESEARCH PROFESSOR AT NYU, TANDON SCHOOL OF ENGINEERING, COMMODITY DERIVATIVES, RISK MANAGEMENT
Following the recent dramatic events in oil markets, on April 22 2020, CME announced a switch to Bachelier Option Pricing Model to accommodate negative prices in the underlying futures and allow for listing of option contracts with negative strikes. In this presentation, we analyze two important aspects of commodities futures, while comparing Black vs Bachelier models:
- Volatility skew of oil futures especially at turbulent times of Spring 2020
- Term structure of volatilities for oil futures: backwardation of both implied and historical realized volatilities of futures, the famous known Samuelson effect
We find that under crash conditions, as during Spring 2020, the Bachelier model performs better than the Black model, showing much flatter smile and weaker Samuelson
Machine Learning Models & Fixed Income Quant Trading
BY EDITH MANDEL: PRINCIPAL AT 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 logistic models used for sizing of positions, non-linear patterns in the data, model stacking & how ML approach can produce forecasts for instruments with limited historical data (i.e new issues).
Goldman Sachs Fireside Chat
JANE HODGES: HEAD OF UK REAL MONEY EQUITY DERIVATIVE SALES, GOLDMAN SACHS
Leonie Morel: Head of Fundamental Strategies Group, Goldman Sachs
Romy Shioda: Managing Director, Head of Equities Stocks Systematic Trading Strategies, Goldman Sachs
Helen Flannery: Executive Director, Goldman Sachs
Ryoko Ito: Quantitative Execution Services, Equities Execution Research Strat, Associate, Goldman Sachs
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
Dr. Agnès Tourin: Industry Associate Professor, NYU Tandon School of Engineering
Priti Sinha: Head of SAF Analytics, NatWest Markets
Milena Imamovic-Tomasovic: Head of Product-Aligned Valuation Methodology, Deutsche Bank
Veronica G. Artof, Director, Consumer Products Strategic Analyst, Bank of America
Jing Xu: Managing Director – Head of Model Risk Inventory Management at Citibank
Natasha Jhunjhunwala: Managing Director, Goldman Sachs
Shreya Gossain: Market Risk Analyst, Barclays
Risk management of climate impact for tourism operators: An empirical analysis on ski resorts
BY LAURA BALLOTTA: READER, FINANCIAL MATHEMATICS, CASS BUSINESS SCHOOL
Derivative Pricing at Speed
BY JOANNE CHORLEY: QUANTITATIVE ANALYST, CITI
- Creating a hardware-agnostic
- High-performance computational maths engine