TopQuants – the networking organisation by quants for quants based in the Netherlands – is proud to present its Autumn Event on

Current topics in modelling

The workshop will take place on Thursday 24 November at 15:00 and will be held at Deloitte’s Amsterdam offices (The Edge). At the event, we will host inspiring parallel sessions with lively debates on a wide range of topics. Talks this year cover topics such as machine learning, adjoint differentiation, credit, capital and liquidity risk modelling, but also how market makers use models, and even a talk on how to build an effective quant team. The first parallel session this year consists of the following talks:

• Jakob Bosma (ING) – Duelling policies: why systemic risk taxation can fail
• Peter den Iseger (ABN AMRO) – New developments in risk modelling: affine models
• Rik Ghijsels (IMC) – Models @ IMC
• Christian Kahl (FINCAD) – Standardised approach for CVA: pricing and risk with adjoint differentiation
• Sjors van der Stelt (Deloitte) – Comprehensive capital analysis and review (CCAR)

whereas the second parallel session will give a platform to the following speakers:

• Ioannis Anagnostou (ING) – Machine learning algorithms for risk management in trading activities
• Roger Holtus (Kleynen Consultants) and Antoon Pelsser (Kleynen Consultants, Maastricht University) – Things a TopQuant rarely talks about
• Asma Khedher (UvA) – Model risk and robustness of quadratic hedging strategies
• Stratos Nikolakakis (ABN AMRO) – Liquidity risk modelling in CSA derivative portfolio(s)
• Florian Reuter (Deloitte) and Mart Stokkers (Rabobank) – Capital framework of defaulted assets under IRB

Abstracts of the talks can be found here. Of course, the event will be concluded with the usual complimentary drinks and walking dinner, during which all participants can enjoy plenty of networking opportunities.