Quant Congress USA

Risk Magazine is proud to hosts its 12th annual Quant Congress USA 2014, a premier event for the world's renowned quants from leading financial institutions covering subjects across the latest innovations in derivatives, risk management and quantitative strategies.

Quant Congress USA - Video HighlightsQuant Congress USA is the annual meeting place for senior quants from investment banks, buy-side, regulatory insitutions and academia to present their latest research. Through a series of cutting edge presentations, multiple keynote addresses and peer reviewed papers you will be equipped with both theoretical and practical take-home advice.

Some of the Quant Congress USA 2014 speakers include:

  • Paul Glasserman, Jack R. Anderson Professor of Business, Decision, Risk, and Operations, COLUMBIA BUSINESS SCHOOL
  • Michael Pykhtin, Manager, Quantitative Risk, U.S. FEDERAL RESERVE BOARD and Risk's 2014 Quant of the Year
  • Leif B. Andersen, Global Co-Head of The Quantitative Research Group, BANK OF AMERICA MERRILL LYNCH
  • Bruno Dupire, Head Of Quantitative Research, BLOOMBERG

Some of the topics covered will include:

  • Bounding wrong-way risk in CVA calculation
  • New regulation: model foundations of the non-internal-model method (NIMM)
  • (Re)defining and managing diversification
  • Options as optimizations: A dual approach to derivatives pricing
  • Pseudo-mathematics and financial Charlatanism: The effects of backtest overfitting on out-of-sample performance
  • Modeling and monitoring risk acceptability: The case of the Credit Default Swap market
  • Time is money: estimating the cost of latency in trading

2014 Quant Congress USA Advisory Board Members:

  • Vineer Bhansali, Portfolio Manager, PIMCO
  • Peter Carr, Managing Director, MORGAN STANLEY
  • John C. Hull, Maple Financial Chair in Derivatives and Risk Management, Joseph L Rotman School of Management, UNIVERSITY OF TORONTO
  • Alex Lipton, Head of Quant, BANK OF AMERICA
  • Marcos Lopez de Prado, Senior Managing Director, GUGGENHEIM PARTNERS, and Research Affiliate, LAWRENCE BERKELEY NATIONAL LABORATORY
  • Dilip B. Madan, Professor of Finance at the Robert H. Smith School of Business, UNIVERSITY OF MARYLAND

Quant Congress USA currently accepts call for paper entries to apply click here

 

 

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