XII KCFM – Lecture topics2024-04-02T16:45:33+02:00

Friday, April 5, 2024

  • Speaker: Philippe J.S. De Brouwer, PhD, HSBC
    Topic: Introduction to Quantum Computers
    Absctact: In this lecture we explore the magic of quantum computers, explain the essence of these amazing machines, present the mind-boggling technology behind them, and update you about the state of the art in this rapid changing field, and finally we dwell on the potential of quantum computers to transform our society. After this session, you will be well armed to learn to start programming in Qiskit (but that is the next lecture).
  • Speaker: Stefano Pavesio and Diego Lamorea, UBS
    Topic: Credit Risk: regulatory framework and modelling techniques
    Abstract: Are you ready to explore the fundamental 3-Pillar Basel Regulatory Framework, designed to uphold financial stability? Curious about the main economic modelling techniques that are used in credit risk management? Join the lecture to gain insight into these critical aspects and enhance your understanding of quantitative approaches in the world of finance!
  • Speaker: Przemysław Klocek, IBM
    Topic: Applications of quantum algorithms to financial mathematics problems using the Qiskit Finance
    AbstractLecture will provide brief introduction to quantum computing, how does it differ from classical approach and advantages we can achieve by leveraging it. Furthermore we will introduce Qiskit library for Python and its branch Qiskit Finance. Finally we will cover short overview of algorithms that can be solved using it, mainly focusing on Quantum Amplitude Estimation.
  • Speaker: Julien Musial and Łukasz Dudek, Euroclear
    Topic: Track and Trace in the finance world: transakcje finansowe dzialajace jak Paczkomaty
    AbstractTrack and Trace in the finance world: transakcje finansowe dzialajace jak Paczkomaty
    Abstract: Dude! Where’s my (financial) package? A demystifying and highly mathematical look behind the scenes of delivering millions of transaction messages to our clients. Why is it so simple and yet just as complex as ordering a pair of socks from your browser to your Paczkomat.
  • SpeakerTomasz Jachymiak, UBS
    Topic: XVA Framework
    AbstractHave you ever wondered what powers financial institutions in measuring and managing counterparty credit risk? Are your curious about the framework shaping the funding costs, and other risks related to financial derivatives trading? Dive into the world of XVA (Valuation Adjustments) Framework to unlock boundless opportunities in risk management, trading, or financial engineering.
  • SpeakerKarol Skrzyszowski, HSBC
    Topic: Inflation: Measures, Caveats and Modelling Approaches
    AbstractIn this lecture I will present basic concepts related to inflation measurement and modelling. We will investigate what inflation indices really measure and assess how good inflation projections can be in an uncertain world.
  • Speaker: Jan Surdyka, Aon
    Topic: Aktuariat, czyli jak zarządzać ryzykiem
    AbstractW trakcie prelekcji, Jan opowie o pracy w branży aktuarialnej prezentując jej praktyczne aspekty oraz kompetencje wymagane w tym zawodzie. Uczestnicy wystąpienia będą mogli usłyszeć o modelach matematycznych wykorzystywanych w pracy aktuariusza, takich jak Compound Poisson model oraz poznać wyzwania z jakimi mierzą się aktuariusze.
  • SpeakerRemigiusz Lemke, BM mBank
    Topic: Giełdowe dane bez tajemnic: Klucz do sukcesu
    AbstractPrezentacja “Giełdowe dane bez tajemnic: Klucz do sukcesu” stanowi kompleksowy przewodnik po wykorzystaniu danych giełdowych w procesie podejmowania decyzji inwestycyjnych. W czasie prezentacji rozważymy rolę i wpływ danych giełdowych na skuteczność inwestycji. Szczególną uwagę zwrócimy na potencjalne pułapki związane z danymi, takie jak overfitting, survivorship bias, look-ahead bias. Omówimy też techniki pozwalające uniknąć tych i innych pułapek czyhających na inwestorów.

Sobota, April 6, 2024

  • Speaker: Rafał Szepietowski, PhD, Citi
    Topic: Introduction to Agent-Based Modeling for ESG Finance
    AbstractMost modelling approaches assume that the future will resemble the past and often introduce top-down relationships between variables. This of course leads to challenges in modelling the new realities that are unraveling in front of us, for example due to climate change or more broadly in the environmental, social, and corporate governance (ESG) space. One solution to dealing with such emergent phenomena is provided by so called Agent-Based Models. This talk will be an introduction to this modelling approach.
  • SpeakerPaweł Fronczak, NBP
    Topic: Zarządzanie portfelem obligacji okiem praktyka
    AbstractPrezentacja ma na celu przybliżenie praktycznych aspektów związanych z budową i zarządzaniem portfelem obligacji w USD. Podczas spotkania omówione zostanie ryzyko stopy procentowej i miary z nim związane. Ponadto przedstawione zostaną sposoby analizy strategii inwestycyjnych oraz rynku. Na koniec krótkie umówienie ostatnich wydarzeń na rynku amerykańskim i zachowań rynkowych z tym związanych.
  • SpeakerIgor Veksin, UBS
    Topic: Economic capital: modelling the risk of the whole bank
    AbstractAre you interested in learning about the theoretical and regulatory foundations of economic capital modelling? Curious about various approaches to aggregating risk and how they compare? Interested in a hands-on experience with a practical example? If so, join us for and insightful lecture!
  • SpeakerJakub Jankowski, HSBC
    Topic: Introduction to climate risk
    AbstractIn this talk I will introduce basic concepts and mechanisms of Earth’s climate system, which affects business lines through the transition and physical risk. We will see how to estimate and mitigate the resulting effect with some focus on physical risk component and natural hazards modelling.
  • SpeakerŁukasz Wąsik and Mahdi Ahmadi, PhD, State Street
    Topic: Modelling Portfolio’s Credit Risk in Practice
    AbstractHow to build a solid economic capital credit risk model? Starting with an overview of the regulatory framework, the presentation will provide a primer of credit risk. Then, we will follow with a short history of the credit risk modeling and discuss most popular models. Next,  we will review the industry practices and focus on a closed-form model, examining inputs required and potential problems associated. The underlying theme of the presentation will be the practical aspects and challenges associated with building sound credit risk framework.