Quant Congress USA

This website contains information relating to the 2014 event. To be informed as soon as details on the 2015 conference are available, please complete a remind me form here

Risk 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 USAQuant 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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