Jan Obloj, University of Oxford
Commonwealth Bank, Level 19, Darling Park Tower 1, 201 Sussex Street, Sydney NSW 2000
ABSTRACT
Christina Nikitopoulos, University of Technology Sydney
Commonwealth Bank, Level 19, Darling Park Tower 1, 201 Sussex Street, Sydney NSW 2000
ABSTRACT
Volf Frishling, National Australia Bank
Commonwealth Bank, Level 19, Darling Park Tower 1, 201 Sussex Street, Sydney NSW 2000
ABSTRACT
Manipulation of benchmark rates (IBORs) for the financial benefit of individuals and institutions resulted in reduced use of the benchmark and have made their future use doubtful. The volume of LIBOR referencing loans/transactions has substantially declined over the last few years. In the markets which face the disappearance of IBORs, there needs to be a transition to new reference rates. This talk outlines various proposals put forward by ISDA and other interest groups and discusses operational and quantitative issues associated with their implementation.
ABOUT THE SPEAKER
Andrew Kirk, Australian Prudential Regulation Authority
Commonwealth Bank, Level 19, Darling Park Tower 1, 201 Sussex Street, Sydney NSW 2000
ABSTRACT
Mesias Alfeus, University of Technology Sydney
Commonwealth Bank, Level 19, Darling Park Tower 1, 201 Sussex Street, Sydney NSW 2000
ABSTRACT
Imanuel Costigan, Head of Model Risk, Risk Analytics and Insights, Westpac
Commonwealth Bank, Level 19, Darling Park Tower 1, 201 Sussex Street, Sydney NSW 2000
ABSTRACT
Peter Thompson, ANZ
Commonwealth Bank, Level 19, Darling Park Tower 1, 201 Sussex Street, Sydney NSW 2000
ABSTRACT
David Garvin, Commonwealth Bank
Commonwealth Bank, Level 19, Darling Park Tower 1, 201 Sussex Street, Sydney NSW 2000
ABSTRACT
Bok Khoo
Commonwealth Bank, Level 19, Darling Park Tower 1, 201 Sussex Street, Sydney NSW 2000
ABSTRACT
The first ever trusted platform for the transfer of tokens was first established by the Bitcoin network in on Jan-03-2009 18:15:05 UTC. On Jul-30-2015 15:26:13 UTC, the first block #0 of the Ethereum blockchain was mined.
Alan Brace, National Australia Bank
Commonwealth Bank, Level 19, Darling Park Tower 1, 201 Sussex Street, Sydney NSW 2000
ABSTRACT
This will be a completely non-expert talk on blockchains for those who know little about them but might like a relatively pain free basic introduction.
The first session will be on the public key cryptography underpinning, and will consider the RSA implementation in a little detail; and the second session will outline how blockchains are constructed and work.
Sponsored by Commonwealth Bank
You can add yourself to the SFMW mailing list.
Alan Brace, National Australia Bank
Commonwealth Bank, Level 19, Darling Park Tower 1, 201 Sussex Street, Sydney NSW 2000
ABSTRACT
This will be a completely non-expert talk on blockchains for those who know little about them but might like a relatively pain free basic introduction.
The first session will be on the public key cryptography underpinning, and will consider the RSA implementation in a little detail; and the second session will outline how blockchains are constructed and work.
Sponsored by Commonwealth Bank
You can add yourself to the SFMW mailing list.
Thomas A. McWalter, University of Cape Town and University of Johannesburg
Commonwealth Bank, Level 19, Darling Park Tower 1, 201 Sussex Street, Sydney NSW 2000
ABSTRACT
Marek Musiela, Deputy Director, Oxford-Man Institute of Quantitative Finance, University of Oxford
Commonwealth Bank, Level 19, Darling Park Tower 1, 201 Sussex Street, Sydney NSW 2000
ABSTRACT
Mathematical models are developed to capture market behaviour at a point in time and are used to gain competitive advantage over time. In the option business, for example, they are calibrated to liquid information and used to price and trade more exotic and hence less liquid products. However market liquidity changes over time, it can increase or evaporate depending on the economic conditions. This is one of the factors that drive evolution of models which need to be adapted to the changing market conditions.
Sean Carmody, Head of Credit Risk, Westpac
Westpac Conference Centre, Plaza Level, 60 Martin Place, Sydney
ABSTRACT
Judith Schneider, Westfälische Wilhelms-Universität Münster, Germany
Westpac Conference Centre, Plaza Level, 60 Martin Place, Sydney
ABSTRACT
Tal Morgenstern, Senior Manager, Actuarial Services, Ernst & Young
Westpac Conference Centre, Plaza Level, 60 Martin Place, Sydney
ABSTRACT
We have recently observed the traditional derivative pricing framework being extended to include several adjustments. These adjustments involving for instance the recognition of counterparty credit risk or funding costs were intended to fix the assumptions of the prevailing models that failed to hold in the last global financial crisis.
Dilip Madan, Robert H. Smith School of Business, University of Maryland
Westpac Conference Centre, Plaza Level, 60 Martin Place, Sydney
ABSTRACT
Balakrishnan Kannan
Westpac Conference Centre, Plaza Level, 60 Martin Place, Sydney
ABSTRACT
This is an introductory presentation on bitcoins and how they work. Although there are a lot of research materials and related software programs freely available in the public domain, one needs to have a minimum level of IT and mathematical knowledge to understand the intricacies behind bitcoin protocols and its applications.
Yang Chang, Research Fellow at the ARC Centre of Excellence in Population Ageing Research (CEPAR), UNSW
Westpac Conference Centre, Plaza Level, 60 Martin Place, Sydney
ABSTRACT
Tim Dun, Head of Risk Model Strategy and Analysis, Westpac, and Volf Frishling, Head of Market Risk Quantitative Support, National Australia Bank
Westpac Conference Centre, Plaza Level, 60 Martin Place, Sydney
Presented by:
Tim Dun, Head of Risk Model Strategy and Analysis, Westpac, and
Volf Frishling, Head of Market Risk Quantitative Support, National Australia Bank
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Time: 5:30pm
Date: Tuesday 15 April 2014
Venue: Westpac Conference Centre, Plaza Level, 60 Martin Place, Sydney
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ABSTRACT
Erik Schlögl, Director, Quantitative Finance Research Centre, UTS Business School
Westpac Conference Centre, Plaza Level, 60 Martin Place, Sydney
Presented by: Erik Schlögl, Director, Quantitative Finance Research Centre, UTS Business School
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Time: 5:30pm
Date: Tuesday 3 December 2013
Venue: Westpac Conference Centre, Plaza Level, 60 Martin Place, Sydney
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ABSTRACT
John Jarratt, Head of Operational Risk Quantitative Analysis | National Australia Bank Limited
Westpac Conference Centre, Plaza Level, 60 Martin Place, Sydney
Presented by: John Jarratt, Head of Operational Risk Quantitative Analysis | National Australia Bank Limited
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Time: 5:30pm
Date: Tuesday 10 September 2013
Venue: Westpac Conference Centre, Plaza Level, 60 Martin Place, Sydney
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ABSTRACT
Andy McClelland, Numerix LLC
Westpac Conference Centre, Plaza Level, 60 Martin Place, Sydney
Presented by: Andy McClelland, Numerix LLC
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Time: 5:30pm
Date: Wednesday 7 August 2013
Venue: Westpac Conference Centre, Plaza Level, 60 Martin Place, Sydney
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ABSTRACT