Autumn Event 2016

Current topics in modelling



Time table

  • 15:00Registration
  • 15:45Welcome
  • 16:00First round of parallel sessions
  • 17:00Second round of parallel sessions
  • 18:00Drinks and walking dinner
  • 19:30End of event

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.

Registration for the event is required. Please let us know 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 note that without a confirmed registration it will not be possible to enter the event. Also be aware that after 15:45 you will not be able to enter the event until the start of the networking part at 18:00.