Bhatti, Ballotta, Bouchaud: Upcoming CQF Institute Events

Tanveer Bhatti, Laura Ballotta, Jean-Philippe Bouchaud scheduled to deliver talks for CQF Institute Members

 

Tanveer Bhatti: FinTech, Model Risk, and All That

Wednesday 8th Sep 2021

17.30 – 20.00 BST

Online event

Free

This event can earn you up to 2 CPD credits.

Abstract

This will cover a mix of technical and practical matters in the FinTech space. I will also compare and contrast aspects, which may not have been discussed extensively publicly. In particular, I will illustrate how model risk becomes more allied with software engineering than in traditional legacy banks. The hope is to shed more light on the workings in a FinTech “under the hood” and be a source of practical insight whether you are looking for a career change or starting anew from graduate school. 

Speaker’s Bio

Tanveer Bhatti is a risk manager, chartered accountant, and physicist by training. His career spans sell-side and buy-side in investment banks, private banking, and asset management in London and New York. A hallmark of his approach is a combination of analytical rigour and practical relevance.
Tanveer’s interest in risk and finance is focused on the practical impact of new technologies, electronic trading, models, and data, and their ability to enable products, services, and new business models that are emerging or did not exist, or drive societal advancement.
Interests also include: blockchain, data analytics, machine learning, electronic trading (optimal execution, market microstructure), crypto-assets, FinTech, regulation, banking, asset management.

Dr Laura Ballotta: Fourier-Based Methods for the Management of Complex Insurance Products

Wednesday 6th Oct 2021

17.30 – 20.00 BST

Online event

This event can earn you up to 2 CPD credits.

Abstract

This paper proposes a framework for the valuation and the management of complex life insurance contracts, whose design can be described by a portfolio of embedded options, which are activated according to one or more triggering events. These events are in general monitored discretely over the life of the policy, due to the contract terms. Similar designs can also be found in other contexts, such as counterparty credit risk for example.

The framework is based on Fourier transform methods as they allow to derive convenient closed analytical formulas for a broad spectrum of underlying dynamics. Multidimensionality issues generated by the discrete monitoring of the triggering events are dealt with efficiently designed Monte Carlo integration strategies. We illustrate the tractability of the proposed approach by means of a detailed study of ratchet variable annuities, which can be considered a prototypical example of these complex structured products.

This is joint work with Ernst Eberlein, Thorsten Schmidt and Raghid Zeineddine.

Speaker Bio

Laura Ballotta is a reader in Financial Mathematics at Cass Business School, London. She works in the areas of quantitative finance and risk management, and has written on topics including stochastic modelling for financial valuation and risk management, numerical methods aimed at supporting financial applications, and the interplay between finance and insurance. She holds a PhD in Mathematical and Computational Methods for Economics and Finance from the Università degli Studi di Bergamo (Italy).

 

Dr Jean-Philippe Bouchaud: Why do Stock Prices Move Jump so Often? 

Tuesday 9th November 2021

17:30 – 20:00 BST 

Online event

Free

This event can earn you up to 2 CPD credits.

Abstract

Earthquakes, disease outbreaks, volcanic eruptions, avalanches, economic crises and financial crashes are but a few examples of a long list of extreme events that upend natural and social systems. A central question is whether these events are caused by  *exogenous* events or result from some amplifying feedback mechanism internal to the system, in which case the shock is *endogenous*. This topic is particularly important in the context of financial markets, and is related to the long-standing Efficient Market controversy. If markets are efficient, significant price movements can only be due to unpredictable exogenous shocks. On the other hand, if self-reflexive feedback loops are present, extreme price displacements can be triggered by small (and seemingly irrelevant) fluctuations, which can ultimately generate substantial excess volatility.

Using a joint database of stock price movements and financial news, we show that it is possible to classify extreme price moves into two distinct dynamical classes, news-driven and self-excited, the second category containing 95% of intraday jumps. Self-excited jumps display very different properties from news induced jumps. In agreement with recently introduced endogenous liquidity crises models, self-excited jumps appear to be preceded by a slow increase in volatility and price trends.

Inspired by the family of Hawkes models, originally devised for earthquakes dynamics, we describe the volatility profiles before and after the jumps with power-laws, and use these fits to show that a non-supervised classification of jumps into two separate classes is possible.

Speaker’s Bio

Jean-Philippe Bouchaud is the Chairman and Chief Scientist of CFM. He supervises the research team with Marc Potters. He founded ‘Science and Finance’ in 1994, which merged with CFM in 2000. Prior to CFM he was a researcher at the Centre National de la Recherche Scientifique until 1992. After a year at the Cavendish Laboratory in Cambridge, he joined the Service de Physique de l’État Condensé at the Commissariat à l’Energie Atomique in Saclay, France, until 2004. He holds a PhD in theoretical physics from the École Normale Supérieure (ENS) in Paris. Jean-Philippe teaches regularly at the ENS and was elected at Collège de France on the Bettencourt Innovation Chair for 2020. He is also Member of the French Académie des Sciences since December 2017

To attend the events, register at CQF Institute