TopQuants – the networking organisation by quants for quants – is proud to present its Autumn Event on
Rising interest rates, inflation, volatile energy markets… what else?
Current topics in quantitative finance
hosted by ABN AMRO on 24 November at the CIRCL (directions here).
At this Autumn event, we will host inspiring parallel sessions with lively debates on a wide range of topics, including capital markets, climate risk, ALM, and regulatory perspectives.
The first round of parallel sessions this year consists of the following talks:
- Svetlana Borovkova (Probability and partners) – Volatility in commodity markets
- Giulio Graziani (Optimum Prime) – Coding a high-performance Monte Carlo pricing engine in Cuda
- Berend Ritzema (Deloitte) – Modelling client and bank behaviour under rising interest rates
- Anisa Salomons and Tobias Kamphuis (Deloitte) – Applications climate risk modelling in credit risk
- Ofelia Vietez Hornos and Santiago Zuluaga Escobar (ABN AMRO) – The challenges of climate stress testing (for credit risk)
The second round of parallel sessions will be:
- Tabea Röber (UvA) – Counterfactual Explanations for Interpretable Machine Learning: A Generic Framework
- Aurelio Romero-Bermudez (ABN AMRO) – Smiles without Tears: Analytic Risk-Free Option Pricing with Smile and Skew
- Romy Mieras (Triple A – Risk Finance) – Non-maturing deposit valuation in present-day interest rate environments
- Julia Langenbacher (EY) – Quantifying the Effect of Climate Risk on Credit Ratings
- Helga Koo (DNB) – Climate Risk Stress Testing at DNB
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.
Registration for the event is required. Please let us know during registration which of the parallel sessions you would like to attend. Preferences will be accommodated on a “first come first served” basis. Experience shows that popular sessions are booked out fast, so make sure to register now in order to get into the session you are most interested in!
Please do not hesitate to reach out to us in case of any questions.
