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Agenda

Speakers

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

• 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?
  
  

	Speakers
		Petr Chovanec, Director, UBS Petr Chovanec is a Director of Business Modeling and Forecasting in UBS Global Wealth Management where he leads a team focusing on wealth management banking business models. In his position, he is involved in business forecasting including the current COVID-19 predictions, various stress testing exercises, and Libor transition. Before his position with UBS, he worked in Citizens Bank (formerly RBS Citizens) and State Street Bank and Trust. He started his position as a front office quant in commodities trading.
		Thomas Verbraken, Head of Stress Testing Research, MSCI Thomas Verbraken is an Executive Director at MSCI and head of Risk Management Solutions Research, based in Budapest. His focus is to provide insights on investment problems and market risk through the lens of MSCI’s unique tools and data. He is also an active contributor to stress testing research, including the development of a best practices framework and the continuous design of topical stress test scenarios. Prior to joining MSCI, Thomas obtained a PhD in Applied Economics at the KU Leuven, Belgium. He is also a CFA charter holder and holds a Master in Civil Engineering, also from the KU Leuven.
		Dr. Dan Rodriguez, Chief Risk Officer, Light Sky Macro, LP Dr. Dan Rodriguez is currently the Chief Risk Officer at Light Sky Macro, LP, a global macro hedge fund based in Hudson Yards. Prior to his current role, he served as a Senior Risk Officer at Point 72 Asset Management with responsibility for supporting the risk management process of the long-short equity portfolio holdings and risk management of the Global Macro Group of the fund. Dan was previously a Managing Director in the Credit-Suisse Global Equities Division, serving as the Chief Risk Officer for the Systematic Market-Making Group of the Investment Bank.  His responsibilities included the front-office risk management for a global cross-asset trading portfolio, which included the development of portfolio risk limits, daily and intra-day monitoring of portfolio risk profiles. Dan joined Credit Suisse in June 2007 and moved to Point 72 in October of 2014. He has over seventeen years of risk management experience, including previous positions at Morgan Stanley, reporting to the CRO of the firm, with responsibility for market risk methodology for the Institutional Securities Group.  He began his career as the risk manager for the Commodities Division at Morgan Stanley. Dan holds a Ph.D. in Economics from M.I.T. and a Bachelor’s of Science degree from the United States Military Academy and received a National Science Foundation Fellowship upon completion of his undergraduate studies. He received the PRMIA Higher Standard Award in 2011 for outstanding service in risk management and has published in leading academic journals such as the Journal of Finance, International Corporate Governance, and the Industrial Labor Relations Review. Dan served as the co-Regional Director of the New York City Chapter of PRMIA from 2011 – 2014.

Moderator:

Qi Fu, Hedge Fund Consultant, MSCI

This event will NOT be recorded in keeping tradition with PRMIA’s Chatham House Rules tradition. We apologize for any misunderstanding.

 

Pricing
Sustaining Members - Free
Contributing Members - Free
Non Members - US $30

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