Autumn Event 2017

Current topics in modelling


ABN and KdvI


Time table

  • 15:00Registration
  • 15:35Welcome
  • 16:15First round of parallel sessions
  • 17:15Second round of parallel sessions
  • 18:05Drinks & bites
  • 20:00End 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 9 November at 15:00 and will be hosted by ABN AMRO in cooperation with the Korteweg-de Vries Institute for Mathematics at the University of Amsterdam. The event location is the Amsterdam Science Park Congress Centre in Amsterdam (directions here).

At the event, we will host inspiring parallel sessions with lively debates on a wide range of topics. Talks this year cover, amongst others, topics such as adjoint algorithmic differentiation, the valuation of cash-settled swaptions, models for counterparty exposure risk management, but also Conic Finance, FRTB, and even a talk on how robotics can be applied within the Risk function of a financial institution.

The first parallel session this year consists of the following talks:

  • Ahmad Salahnejhad Ghalehjooghi (NN) – Market-consistent actuarial valuations with application to EIOPA Risk-Margin and time-consistent pricing
  • Harish Kumar (EY) and Niels van der Kleij (EY) – Algorithms in FRTB
  • Raoul Pietersz (ABN AMRO) – A new pricing model for cash-settled swaptions
  • Liviu Sandu – AAD in practice
  • Roald Waaijer (Deloitte) and Martijn Westra (Deloitte) – Robotics as an enabler for risk management,

whereas the second parallel session will give a platform to the following speakers:

  • Peter den Iseger (ABN AMRO) – The developments of Monte Carlo models for counterparty exposure risk management
  • Lech Grzelak (Rabobank) – The collocating local volatility framework – A fresh look at efficient pricing with smile
  • Vivike Lapoutre (Optiver) – Market data used in real-life
  • Wim Schoutens (KU Leuven) – Applied Conic Finance
  • Pieter-Jan van Kessel and Casper Ruizendaal (PWC) – Towards a futureproof anti money laundering framework

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 15:30 you will not be able to enter the event until the start of the networking part at 18:05.