Epidemiological Impact on Quantitative Risk Management
PRMIA New York presents an online event on the Epidemiological Impact on Quantitative Risk Management. Never before has financial and risk modeling been so contingent on epidemiological inputs. In this online event, we bring together practitioner minds from medical and financial fields to share insights. The keynote speaker, Bernard Camins, is the Head of Infectious Diseases at Mount Sinai.
Date:
May 12, 2020
Time:
5:45 p.m. - 7:15 p.m. EDT
Location:
Link will be sent to registered participants
Never before have financial and risk modeling been so contingent on epidemiological inputs. In this webinar, we bring together practitioner minds from medical and quantitative finance backgrounds to share insights. Main themes addressed will include:
Epidemiology
- What is the current likely trajectory(s) of the pandemic in the US into the second half of 2020 and beyond (e.g. best, moderate, worst case scenarios)? what do we know about the R_0 and CFR of the pandemic?
- How can one analyze the tradeoff between public health risks with risks of extended economic shutdown? If in absence of perfect information, is it better to err on the side of a longer vs. shorter lockdown?
- At what levels of epidemiological metrics, e.g. daily new infections, % tested positive; particularly in NYC impacted are retail service sector, as we begin to relax the lockdown; how can we assess the risks of specific venues? e.g., golf courses, restaurants, schools, or gyms
- What do we know by now regarding the outlook and timeline of 1) Treatment, 2) Immunity/antibodies, 3) Vaccine
Finance
- How does one account for the range of trajectories in your models? E.g. V or U or W shaped recovery. How does the trajectories differ between different geographic regions, i.e. AMER/APAC/EMEA, what if any impact does this have on Forex markets
- How does one compare this to historical crisis? E.g. versus 2008 or earlier in history
- With Fed stimulus is at currently 11% of GDP, and have entered into high-yield bond markets; what further scenarios have you considered for governmental response? What if any impacts on inflation forecast and Treasury curve? What is the outlook in credit markets/spreads?
- For stress scenario design, how can we balance the considerations between selection of shocked risk factors, size of shocks, and accuracy of prediction?
- How has Big Data/ML affected the response to the pandemic? And how has ML-based quant funds been affected by the pandemic?
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Agenda |
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| 5:45 p.m. |
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Introduction |
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Petr Chovanec, Director, UBS
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| 5:50 p.m. |
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Keynote Speaker
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Bernard Camins, Head of Infectious Diseases, Mount Sinai |
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| 6:00 p.m. |
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Panel
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Bernard Camins, Head of Infectious Diseases, Mount Sinai
Dan Rodriguez, CRO, Light Sky Macro
Thomas Verbraken, Head of Stress Testing Research, MSCI |
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| 7:00 p.m. |
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Q & A
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