TopQuants – the networking organization by quants for quants based in the Netherlands – is organizing a workshop on current topics in modeling:

• A: New class of models for credit risk, volatilities, and correlation (GAS), A. Lucas (VU)
• B: CUDA, the new view on computational finance, C. Bui (presenter, Loki Solutions), and T. Wood (ING)
• C: Incremental Risk Charge, M. v. Buren (Rabobank)
• D: Survey results on CVA practices among more than 15 big European institutions, F. de Jonghe and S. Tipping (E&Y)
• E: Basel III, The Era of the Quants? J. v. Soest (ABN AMRO)
• F: Hedge tests as a tool in model validation, D. Kandhai (presenter, ING), and T. Mexner (ABN AMRO)

The workshop will take place on Wednesday 30 November, 15:30. It will be held at the ABN Amro Dialogues House in Amsterdam, Foppingadreef 22, Amsterdam Zuid-Oost (walking distance from train/metro station Amsterdam Bijlmer Arena).

Programme

15.30 Welcome and registration
16.00 First parallel session
17:00 Second parellel session
18.00 Buffet and drinks

Following the pre-announcement earlier this month, this constitutes the official invitation to participate. You have a choice to attend two sessions. Please complete this registration form and send it to Registration@TopQuants.nl before November 1, 2011 to register your participation and to let us know your preferences for the sessions. A confirmation will be sent soon after the registration has closed.

TopQuants Autumn Workshop 2011 – Why should I attend?

Several participants of the TopQuants 2011 symposium in June 2011 have commented that they were interested in a future event covering more technical quant topics and that they would welcome more interaction between the participants.

The TopQuants Autumn Workshop aims to provide you with just this! It will offer two rounds of parallel sessions. There will be four to five parallel sessions in each round. Each parallel session will last for an hour. In most sessions, there will be at most 20 participants.

At the start of each session, speakers will provide a brief introduction before going into more technical details. The presentations will be followed by a discussion between all session participants, including the speaker(s). To facilitate the discussion, sessions will be attended by a session host.

Of course, to conclude the event, there will as usual be complimentary drinks and snacks with plenty of networking opportunities for all participants. The layout of the Dialogues House (a forum with four satellite rooms seating 20 people each) as well as the format of the parallel sessions, will provide a stimulating and interactive setting for all participants.

We hope to see you soon.

Kind regards,
TopQuants Team

Diederik Fokkema
Drona Kandhai
Marieke van der Klip
Tim Mexner
Tomas Nord
Magda Sebestean
Caroline Tan
Bastiaan Verhoef

E: info@topquants.nl