ANNOUNCED
2020
Informa: Quant Minds (Hamburg, Germany), May
“IM forecast quality: certain uncertainties and uncertain certainties” with Sergii Arkhypov
2019
Informa: Risk Minds (Amsterdam, Netherlands), December
“Assessing Forecasted Initial Margin in a Production Environment” with Sergii Arkhypov
PRESENTED
2019
Informa: Quant Minds (Vienna, Austria), May
“Backtesting: Actual vs. Perceived Challenges”
2018
Informa: Risk Minds (Amsterdam, Netherlands), December
“Universal Rates Regimes: Model Uncertainty vs. Model Robustness” with Vinay Kotecha
Informa: Global Derivatives Trading & Risk Management (Lisbon, Portugal), May
“Universal Regimes for Rates and Inflation. Local Elasticity in Risk Modelling” with Vinay Kotecha
2017
Informa: Risk Minds (Amsterdam, Netherlands), December
“Predicting Future Basel 5: Potential Evolution of Internal Models and Regulatory Environment”
Informa: Global Derivatives Trading & Risk Management (Barcelona, Spain), May
“From Means to Ends Across Assets: Stochastic Implied Volatility for CCR” with Vinay Kotecha
Allan Lloyds: Annual Banking Credit Risk Management Summit (Vienna, Austria), February
“Potential Evolution of IMM Models in a Changing Regulatory and Risk Management Landscape”
2016
Informa: Risk Minds (Amsterdam, Netherlands), December
“Building a Risk Modelling Framework: Key Choices and the Role of an Expert”
ICBI: Global Derivatives Trading & Risk Management (Budapest, Hungary), May
“Stochastic Volatility vs. Jumps Role in Equity-Credit Modelling for Risk Management” with Andrei Greenberg
2015
ICBI: Risk Minds (Amsterdam, Netherlands), December
“Back To Basics: cost-effective methodology and infrastructure for non-standard trades in counterparty Risk IMM” with Vinay Kotecha
WBS: Fixed Income (Paris, France), October
“Backtesting: Are We Missing the Big Picture?” with Brola Lordkipanidze (Standard Chartered Bank)
ICBI: Global Derivatives Trading & Risk Management (Amsterdam, Netherlands), May
“Exposure Conditional On Default: A Fast Structural Approach” with Erdem Ultanir
2014
ICBI: Risk Minds (Amsterdam, Netherlands), December
“Modellable Risk and Fundamental Review of Trading Book” with Vinay Kotecha
WBS: Fixed Income (Barcelona, Spain), September
“Credit-Equity Model Building Blocks” with Andrei Greenberg”, [Lee Moran]
UMI: European Credit and Counterparty Risk Conference (London, UK), June
“Risk Management and Regulatory Views of Modelling”
ICBI: Global Derivatives Trading & Risk Management (Amsterdam, Netherlands), May
“Tail Risk & Cross-Asset Infrastructure” with Andrei Greenberg
Incisive Media: Trading & Investment Risk [joint event with Quant Europe] (London, UK), April
“Paradigms for the Integration of Risk Factors in Market Risk for Illiquid and Sparse Data” with Vinay Kotecha
2012
ICBI: Risk Minds (Amsterdam, Netherlands), December
“Risk, Quants, Regulations & Common Sense: can these words fit in the same sentence?”
Incisive Media: Quant Congress Europe (London, UK), October
“Modelling Commodities for Counterparty Risk Calculations” with Vinay Kotecha
2011
Incisive Media: Quant Congress Europe (London, UK), November
“Application of American Monte Carlo to Counterparty Risk Calculations” with Sebastian Venus
WBS: Fixed Income (Berlin, Germany), October
“Risk Quant and Pricing Quant - Two Sides of the Same Coin or Just Two Sides?” with Lee Moran
ICBI: Global Derivatives Trading & Risk Management (Paris, France), April
“Risk-Neutral vs. Real World: Application to Risk, Capital and CVA” with Lee Moran
2010
Incisive Media: Quant Congress Europe (London, UK), November
“Challenges in Modelling Inflation for Counterparty Risk” with Vinay Kotecha
WBS: Fixed Income (Madrid, Spain), September
“CRM for Correlation Trading Books: Modelling and Challenges” with Andrei Greenberg
2009
Incisive Media: Quant Congress Europe (London, UK), November
“Capturing Credit Correlation between Counterparty and Underlying. Practical Approach for Risk Modelling in a Bank-Wide System” with Sascha Wilkens
2007
ICBI: Risk Minds (Geneva, Switzerland), December
“Backtesting counterparty Risk”
Incisive Media: Risk Europe 2007 (London, UK), June
“Backtesting Counterparty Risk”
2004
Incisive Media: Credit Risk Summit (London, UK), October
“Risk Control of Active Credit Hedging: Managing the Managers” with Olga Pavlova
1994 to 1998: various physics conferences