Join us for the Brooklyn Quant Experience (BQE) Lecture Series today,  Thursday, April 28th at 6 pm ET on Zoom.

“Bridging P-Q Modeling Divide with Factor HJM Modeling Framework”

Andrei Lyashenko
Head of Market Risk and Pricing Model
Quantitative Risk Management

Attend Virtually >>

*Please note a meeting password is required for this event.
Meeting ID: 924 1231 8499
Password: BQEAL428

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Abstract

We show how the factor modeling approach widely used to model yield curve evolution in real-world applications can be adapted to pricing applications using the Musiela HJM modeling framework. The resulting risk-neutral modeling framework combines the intuitiveness and computational efficiency of the factor modeling approach with the rigor of risk-neutral term structure pricing models.

Bio

Andrei Lyashenko is the head of Market Risk and Pricing Models at the Quantitative Risk Management (QRM), Inc. in Chicago. His team is responsible for research, implementation, and support of pricing and risk models across multiple asset classes. In November 2019, he was awarded the prestigious Quant of the Year award, jointly with Fabio Mercurio from Bloomberg, L.P., for their Risk Magazine paper on modeling backward-looking rates.

Andrei is also an adjunct professor at the Illinois Institute of Technology. Before joining the QRM in 1997, Andrei was on the mathematical faculty at the University of Illinois at Chicago and Iowa State University. Prior to coming to the US, he conducted academic research in applied math in Russia, Japan, and Italy and published numerous research papers in the area of fluid stability in major mathematical journals. He holds a BSc in Mathematics from the Novosibirsk State University, Russia, and a Ph.D. in Mathematics from the Russian Academy of Science.

Join us for the Brooklyn Quant Experience (BQE) Lecture Series today,  Thursday, April 21st at 6 pm ET on Zoom.

“Risk and Reward in the Fixed-Income Market: Where are We Now?”
This is joint work with Andrew Brenner, senior partner and head of international fixed income at NatAlliance Securities LLC .

Leon Tatevossian
Adjunct Professor
Department of Finance and Risk Engineering
NYU Tandon School of Engineering

 

Attend Virtually >>

*Please note a meeting password is required for this event.
Meeting ID: 975 0103 9278
Passcode: BQELT421

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Abstract

Dislocations caused by the pandemic extended across all parts of the economy (corporate, consumer, and the public sector) and the capital markets. In response aggressive fiscal intervention was implemented, beginning with the $2.2 trillion CARES Act (signed by President Trump in March 2020) and President Biden’s $1.9 trillion American Rescue Plan (signed in March 2021). Steps taken on the monetary front included the Fed’s multifaceted bond-buying and liquidity programs. This combination of spending and liquidity actions to: [1] underpin the consumer, business, and corporate sectors; and [2] stabilize financial-asset valuations, was unprecedented in its size.

Economic developments getting the most attention now by the rates Markets are the dramatic increase in inflation and expectations of the reversal of monetary accommodation (which will include the sell-down of the Fed’s $9 trillion Treasury and agency mortgage bond portfolio).

This seminar talk (in a question-and-answer form with supporting slides) will explain some of the basic valuation parameters in the fixed-income markets, how these metrics got upended by the swift arrival of the pandemic, and how market sentiment evolved as the Treasury and Fed actions worked through the system.

Of particular interest: How reliably have the “usual suspects” guided the valuation of “risk assets,” “structure,” and “credit”? The investment performance of these sectors has always exhibited connections to the “real economy” (consumer and business) and to the decision-making and risk appetites of institutional investors. Which valuation relationships and economic metrics do we interrogate for a clear perspective on where we’ve been … and where we might be headed?

Bio

Leon Tatevossian is an adjunct instructor in quantitative finance in the Finance and Risk Engineering Dept. and at the Courant Institute of Mathematical Sciences. From 2009-to 16 he was a director in Group Risk Management at RBC Capital Markets, LLC where he focused on securitized-products market risk in secondary trading, origination, and proprietary-trading areas. Leon has twenty-eight years of experience in the fixed-income capital markets (trader, quantitative strategist, derivatives modeler, and market-risk analyst), with a product background covering US Treasury securities, US agency securities, interest-rate derivatives, mortgage-backed securities, asset-backed securities, and credit derivatives. Prior to RBC, he worked at several large sell-side firms (Banc of America Securities, Goldman Sachs, Citicorp Securities, and Morgan Stanley).

Leon graduated from MIT (SB; mathematics) and was a Ph.D. student in mathematics at Brown University. He has also taught courses in quantitative finance at Columbia University (Department of Industrial Engineering and Operations Research) and at Baruch College–The City University of New York (Department of Mathematics).

Featuring Machine Learning experts from Cornell, Citi, and more…

You and your colleagues are invited to attend the Cornell Financial Data Science Webinars. Through online talks in Spring 2022, we are excited to collaborate with various guest speakers in highlighting machine learning applications in finance.

All webinars are from 5:00 pm to 6:00 pm ET.

This webinar is free and open to all guests. Registration is required (please RSVP here). You will receive the webinar link and dial-in info upon registration (the confirmation email will come from no-reply@zoom.us).

Date	Tuesday, April 26th, 2022
Time	5:00pm – 6:00pm ET
Speaker	Andreea Minca (Cornell ORIE)
Title	Clustering Heterogeneous Financial Networks

Abstract: 

For the degree corrected stochastic block model in the presence of arbitrary or even adversarial outliers, we develop a convex-optimization-based clustering algorithm. We test the performance of the algorithm on semi-synthetic heterogenous networks reconstructed to match aggregate data on the Korean financial sector. Our method allows for recovery of sub-sectors with significantly lower error rates compared to existing algorithms. Our second application is to overlapping portfolio networks, for which we uncover a clustering structure.

Speaker Bio:

Andreea Minca is an Associate Professor in the School of Operations Research and Information Engineering at Cornell University. She holds degrees from Sorbonne University (PhD in Applied Mathematics) and Ecole Polytechnique (Diplome de l’Ecole Polytechnique).

In recognition of “her fundamental research contributions to the understanding of financial instability, quantifying and managing systemic risk, and the control of interbank contagion,” Andreea received the 2016 SIAM Activity Group on Financial Mathematics and Engineering Early Career Prize. This award distinguishes contributions to the mathematical modeling of financial markets and is the highest early-career distinction in the field of financial engineering and mathematics. Andreea is also a recipient of the NSF CAREER Award (2017), a Research Fellow of the Global Association of Risk Professionals (GARP) (2014), and an AXA Research Fund Awardee (2020). She serves on the editorial board of the SIAM Journal on Financial Mathematics.

We hope to see you online!

**Please excuse any duplication of this announcement

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If you are interested in our past seminars, you are welcome to subscribe to our YouTube Channel and watch our videos!

Past Events

February 15, 2022
Speaker: Kevin Webster
Title of Presentation: “How Price Impact Distorts Accounting P&L – Revisiting Caccioli, Bouchaud and Farmer’s Impact-Adjusted Valuation”

March 22, 2022
Speaker: Maarten Scholl (Oxford)
Title of Presentation: “Studying Market Ecology Using Agent-Based Models”

Upcoming Events

April 2022
Speaker: Felix Prenzel (Oxford)
Title of Presentation: TBD