Newsletter – Vol. 3, No. 2
The TopQuants team presents the second issue of our 2015 newsletter series. This is the first newsletter of hopefully many that will be produced by our new editor, Marcin Rybacki (Cardano). Therefore we would like to welcome him into the TopQuants team, and also at the same time express our deep gratitude towards the previous editor, Aneesh Venkatraman (RBS), for his hard work in the past years. We wish you all the best in the United Kingdom, Aneesh, and hope to welcome you at one of our future events so we can thank you for your efforts in person!
As always we cordially invite all readers to contact us with your ideas and submissions. Anything that is relevant to our quant audience, is more than welcome!
The current issue will kick off with a summary of the Spring Event that was held at EY earlier this year. This event focused on the transition from bilateral derivative agreements to central clearing, and had speakers presenting three different perspectives on clearing – Philip Whitehurst (LCH.Clearnet, a clearing house), Raoul Pietersz (ABN Amro, a clearing member) and Svetlana Borovkova (Free University of Amsterdam and DNB, the Dutch regulator). The event summary is followed by an in-depth article from one of the speakers, Svetlana Borovkova, about the effect of central clearing of OTC derivatives on the financial system stability by means of network simulation approach. This work builds on the presentation she gave at the Spring Event, and is co-authored with Hicham Lalaoui El Mouttalibi (PwC Netherlands).
The third article is a submission from Guusje Delsing, Nathan Meibergen (coincidentally also the winner of the TopQuants Best Quant Finance Thesis Award 2015) and Jan Willem Timmer (all working at EY). Their article deals with one of the more recent paradigm shifts in the world of derivative pricing – that of valuation adjustments. The authors focus on CVA and DVA, both of which are valuation adjustments to take into account the default of either of the two involved parties within a bilateral derivative contract.
The final article is an interview with the host of our next Autumn Event, DNB. Hugo Everts (DNB, Senior Risk Manager Financial Markets) interviewed Paul Wessels (DNB, Head of Risk Management) and Pieter Moore (DNB, Risk Manager Financial Markets) on the topic of interest rate risk management at the central bank. As a result of the quantitative easing within the Eurozone, the balance sheet of DNB contains more risks than ever before, making this a very important topic for DNB.
Before we let you all enjoy the great articles within the current newsletter, we glance forward to the next newsletter. This will certainly contain more information on the recently held Quant Careers 2015 event, at which three former students Nathan Meibergen (TU Delft), Marcin Rybacki (Tilburg University) and Sina Zolnoor (Free University of Amsterdam)) battled it out against each other in order to decide who is the winner of the Best Quant Finance Thesis Award 2015. Moreover, the first newsletter of 2016 will also contain coverage of the upcoming Autumn Event, kindly hosted by DNB.
Since 2016 marks the fifth anniversary of TopQuants, keep a look out in your mailbox, on Twitter (@topquants), and on our webpage, for new events. We are working very hard to make 2016 bigger, better, and quantier than ever!
Registration for our Autumn Event 2017 is open now, the event will take place on November 9, 2017.
Registration for Quant Careers 2017, the event around our Best Quant Finance Thesis Award, is open now. The event will take place on November 3, 2017.
Quants@VU in cooperation with TopQuants and EY announce BEST QUANT FINANCE THESIS AWARD Call for submission Master students and their — Read more