Agenda - Main Conference Day Two | QuantMinds International

Main Conference Day TwoWednesday, 18 November 2026 - GMT (Greenwich Mean Time, GMTZ)

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Networking

07:30 - 08:45

Registration and morning refreshments

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Main Conference Plenary Sessions

08:45 - 08:50

Chair's welcome remarks

08:50 - 09:25

The future of risk: Model validation and stress testing

How are risk frameworks evolving in response to market complexity, regulatory demands, and the integration of machine learning into traditional risk models?

09:25 - 10:00

Accelerating quantitative research: Next-generation computing infrastructure for financial markets

10:00 - 10:25

Systematic trading in modern markets

Alpha generation, execution strategies, and navigating the intersection of quantitative research and real-world trading.

10:25 - 11:00

Data engineering and alternative data: Building the foundation for modern quant strategies

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Networking

11:00 - 11:30

Morning break and networking

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Main Conference Plenary Sessions

11:30 - 12:05

Cloud-native quantitative platforms: Scalability, security, and performance in production

12:05 - 12:40

Interest rate modelling in the new regime: From theory to implementation

Modern interest rate modeling techniques, curve construction, and the challenges of pricing and hedging in today's rate environment.

12:40 - 12:45

Chair's closing remarks

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Networking

Women in Quant Lunch

12:45 - 14:00

Lunch break and networking

12:45 - 14:00

Women in quant finance: Lunch discussion

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𝚫 Delta Stage: Derivative Pricing and Design

𝚹 Theta Stage: Quant Dev and Innovation

𝚨 Alpha Stage: Alpha and Allocation

𝚴 Vega Stage: Risk and Hedging

14:00 - 14:05

Chair's welcome remarks

14:05 - 14:40

Session title TBC

Fabio Mercurio - Global Head of Quant Analytics, Bloomberg L.P.

14:40 - 15:15

Credit default swap valuation with wrong-way risk

15:15 - 15:50

FX options: smile dynamics and sticky delta vs sticky strike

14:00 - 14:05

Chair's welcome remarks

14:05 - 14:40

Applications of GenAI methods in pricing

Youssef Elouerkhaoui - Managing Director, Global Head of Markets Quantitative Analysis, Citigroup

14:40 - 15:15

Real-time risk aggregation across multi-asset portfolios

15:15 - 15:50

Self-inflicted market crashes: measuring, predicting, and attributing systemic co-jumps

Gbenga Ibikunle - Professor and Chair of Finance, University of Edinburgh
Cindy Yang - Researcher, Edinburgh Centre for Financial Innovations

14:00 - 14:05

Chair's welcome remarks

14:05 - 14:40

Multi-asset risk parity: beyond equal volatility weighting

14:40 - 15:15

A structural approach to multi asset factor investing: the case of stocks and Credit Default Swaps

Hamza Bahaji - Head of Financial Engineering and Investment Solutions, Amundi ETF, Indexing & Smart Beta,, Amundi

15:15 - 15:50

ESG integration in quantitative equity strategies

14:00 - 14:05

Chair’s welcome remarks

14:05 - 14:40

Operational risk: quantifying technology and process failures

14:40 - 15:15

Climate risk integration in portfolio risk management

15:15 - 15:50

Adjusting for liquidity

Matthias Arnsdorf - Global Head of Counterparty Credit & Market Risk Modelling, JP Morgan Chase

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Networking

15:50 - 16:20

Afternoon break and networking

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𝚫 Delta Stage: Derivative Pricing and Design

𝚹 Theta Stage: Quant Dev and Innovation

𝚨 Alpha Stage: Alpha and Allocation

𝚴 Vega Stage: Risk and Hedging

16:20 - 16:55

Model risk analysis for entropic hedging strategies

By avoiding the overly restrictive assumptions of risk-neutral pricing, entropic risk optimisation provides a framework for risk-adjusted hedging that enables comprehensive P&L explanation and supports model risk analysis. In this presentation, a linear Gaussian test harness is used to derive exact expressions for the P&L contributions arising from suboptimal hedging, market incompleteness and unanticipated volatility, and the price adjustments that mitigate in-model and out-of-model risks.

Paul McCloud - Head of Global Fixed Income Quantitative Research, Nomura

16:55 - 17:30

Convertible bond pricing with stochastic credit spreads

17:30 - 18:05

Inflation-linked derivatives: year-on-year vs zero-coupon structures

18:05 - 18:10

Chair’s closing remarks

16:20 - 16:55

Cloud-native architecture for quantitative trading systems

16:55 - 17:30

Differentiable programming beyond differentiability and locality

Uwe Naumann - Professor Of Computer Science, RWTH Aachen University

17:30 - 18:05

Machine learning model deployment: from research to production

18:05 - 18:10

Chair’s closing remarks

16:20 - 16:55

Decomposing, forecasting & trading, inflation – using machine learning & alt data

Saeed Amen - Cofounder, Turnleaf Analytics

16:55 - 17:30

Volatility trading: VIX futures and options strategies

17:30 - 18:05

The virtue of complexity in markets and AI

Mihail Turlakov - Quant Trader, Independent

18:05 - 18:10

Chair’s closing remarks

16:20 - 16:55

Dissection of high dimensional empirical copula into analytical components

Known modelling challenges of historic VaR and Monte Carlo VaR
Reactivity challenge to joint projections. Persistence of joint tail behaviour in stress market regimes
Modelling extreme loss scenarios. EVT distributions. Joint tail behaviour and choice of copula
Can we derive a ‘universal’ copula within VaR/CVaR frameworks?
Dissection of high dimensional empirical copula into analytical components
Market regimes and implications for portfolio modelling

Vladimir Chorniy - Managing Director, Head of Risk Model Fundamentals and Research Lab, Senior Technical Lead, BNP Paribas
Sergii Arkhypov - Quantitative Analyst, BNP Paribas

16:55 - 17:30

Pre- and post-default fire sales: Contagion in collateralised networks

Luitgard Veraart - Professor, London School of Economics and Political Science

17:30 - 18:05

Wrong-way risk in derivatives portfolios

18:05 - 18:10

Chair’s closing remarks

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Networking

18:10 - 18:40

QuantMinds Awards

18:40 - 20:10

A Touch of Maritime Elegance

Main Conference Day TwoWednesday, 18 November 2026 - GMT (Greenwich Mean Time, GMTZ)

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