Events



Upcoming events

    • 26 Sep 2017
    • 6:00 PM (EDT)
    • NYU Kimmel Center, Room 802, 60 Washington Square South, New York, NY
    Some Data Science Lessons from a Quant

    A Talk by Ivailo Dimov 

    Quant Research, Bloomberg LP

    Tuesday, September 26th

    5:45 PM Registration
    6:00 PM Presentation Begins
    7:30 PM Reception

        
    Abstract
    With the emergence of new tools and technologies in the past few years which make large scale machine learning and analytics accessible at low cost, there is greater demand than ever for quants to be versed in data science. However, even though the flavor of data science and skills relevant in finance is somewhat different than that in the tech industry, little has been done to fill the education gap between the two flavors. In this talk we overview some of the tools, methods and recent trends in data science that are relevant to quants. We also walk through some case studies of success and pitfalls when applying data science models and tools to finance.


     

    Biography

    Ivailo Dimov is a member of the Quant Research team at Bloomberg LP since 2011, where he provides quant, data science and analytics solutions to senior management, external and internal clients. He is also an Adjunct Professor at the NYU Courant Institute of Mathematical Finance. At Bloomberg LP, Ivailo has worked extensively both on quantitative finance projects in equity, Tradebook, FX, credit and bonds, as well as on alternative data projects in News & Twitter, collaborative filtering, Bloomberg Sports and election modeling. Prior to joining Bloomberg, Ivailo was a quant at the Derivative Analysis group at Goldman Sachs. He holds a Physics Ph.D. and is a graduate of the Mathematics in Finance Master program at NYU Courant. Currently, he is teaching the Data Science in Quantitative Finance course with Petter Kolm at NYU.




    Registration Fees:
    Complimentary for IAQF members through this site
    Non-Members: $25.00 by registering through this site
    • 02 Oct 2017
    • 4:15 PM
    • The Fields Institute, 222 College Street, Toronto, ON M5T 3J1, Canada
    How I Became a Quant - Toronto

    Financial Engineers Give a Personal View of their Careers in Quantitative Finance

    4:15 PM - Welcome
    4:30 PM - Panel Discussion Begins

    5:45 PM - Networking Reception


    Panelists

    Benoit Fleury

    Co-founder and Chief Product Officer, d1g1t Inc.


    Mike McCausland
    Senior Manager, Financial Risk Management, KPMG

    Steve McDonald
    Director of Balance Sheet Analytics, RBC


    Moderator
    John Hull
    Maple Financial Professor of Derivatives and Risk Management,
    Joseph L. Rotman School of Management, University of Toronto
    & IAQF Senior Fellow



    Additional speakers to be announced! 



    Hosted and Sponsored By:

    • 10 Oct 2017
    • 6:00 PM (EDT)
    • NYU Kimmel Center, Room 914, 60 Washington Square South, New York, NY
    Model House Price Volatility, Application to a Countercyclical Economical Risk Capital Framework



                  
    A Talk by Dr. David Zhang


    Tuesday, October 10th

    5:45 PM Registration
    6:00 PM Seminar Begins
    7:30 PM Reception

        
    Abstract

    House price appreciation (HPA) volatility has a term structure across time and geographic space. The HPA exhibits high short term positive correlation as well as a significant negative correlation over 5-7 years. The HPA term structure volatility model proposed here has the following advantages: 1) analytically tractable 2) parsimonious with only 3 parameters 3) model is time continuous instead of discrete as many econometric models use quarterly time step. 4) model provides a vigorous framework for pricing of credit sensitive MBS securities.

    Apply this model to Economical Risk Capital (ERC) for mortgages and real estate, we show it provides a countercyclical capital framework. Currently many financial institutions and regulatory agencies use a worst HPA history, hence an “unconditional distribution” framework for capital and stress tests purpose. The countercyclical framework we proposed is superior to the “unconditional distribution” framework in terms accurate risk modeling, adequate and responsive capital model, macroeconomic and policy consideration.


     

    Biography

    Dr. David Zhang is a Managing Director and Head of Securitized Products Research at MSCI. His team is responsible for developing models and analytics to support investment analysis, risk management, and regulatory compliance.

    Before joining MSCI, Dr. Zhang was Managing Director and head of Securitized Products modeling at Credit Suisse for more than a decade. At Credit Suisse he was responsible for supporting risk, regulatory and client analytics as well as sales/trading quantitative strategies. Dr. Zhang’s group developed one of the most widely used MBS models by fixed income institutional investors. Their work was consistently awarded top ranking by various industry and client surveys, including Institutional Investor All-America Research Team ranking in Agency prepayment. They also won the award for best paper by the American Real Estate Society for research on effectiveness of government mortgage programs.

    The regulatory projects Dr. Zhang lead at Credit Suisse included developing models for CCAR and PPNR (Pre-Provision Net revenue), Dodd-Frank IHC (Intermediate Holding Company) and related VaR, RWA and RBPL modeling, and FRTB (Fundamental Review of Trading Book).

    Prior to Credit Suisse, Dr. Zhang worked at FreddieMac, CIBC Oppenheimer, and University of Chicago. He holds leadership positions at PRMIA (Professional Risk Management International Association) and GCREC (Global Chinese Real Estate Congress). He is a frequent speaker at industry and academic conferences, and his research on risk, financial modeling and real estate has been published in many academic journals. Dr. Zhang has a Ph.D. from Princeton University.


             

    About the Series

    The IAQF's Thalesians Seminar Series is a joint effort on the part of the IAQF (www.iaqf.org) and the Thalesians (www.thalesians.com). The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. 

     

    Registration Fees:
    Complimentary for IAQF members through this site
    Thalesians Members can register here for $25
    Non-Members: $25.00 by registering through this site
    • 15 Nov 2017
    • 5:00 PM - 7:00 PM
    • Questrom School of Business, Rafik B. Hariri Building, Rooms 426-428, 595 Commonwealth Ave., Boston, MA 02215
    How I Became a Quant - Boston


    Financial Engineers Give a Personal View of Their Careers in Quantitative Finance

    4:45 - Doors Open
    5:00 PM -  Program Begins

    6:00 PM - Reception 

    Panelists:

    Dan diBartolomeo

    President, Northfield Information Services

    Alex Dunegan
    CEO, Lumint Corporation

    Cel Kulasekaran
    Research Director, Windham Capital Management

    Additional speakers to be announced!


    Sponsored By:





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