Risk Week – Day 2 – Factor Modeling & Liquidity Risk

Jose Menchero

Head of Portfolio Analytics Research

Bloomberg L.P.

Jose Menchero serves as Head of Portfolio Analytics Research at Bloomberg. Jose and his team are responsible for developing the analytics and algorithms used for factor risk models, portfolio risk and return attribution, scenario analysis, tail risk, portfolio construction, and portfolio optimization.

Prior to joining Bloomberg, Jose was the founder and CEO of Menchero Portfolio Analytics Consulting. Before founding his consulting firm, Jose worked for eight years at MSCI, where he was Managing Director responsible for developing the Barra equity risk models, and for portfolio construction research. Jose also served for seven years as Director of Research at Thomson Financial, where he developed several risk and return attribution methodologies, as well as equity factor risk models.

Jose has over 30 finance publications in leading practitioner journals. Before entering finance, Jose was Professor of Physics at the University of Rio de Janeiro in Brazil. Jose holds a PhD in theoretical physics from the University of California at Berkeley, and a BS degree in aerospace engineering from the University of Colorado at Boulder. Jose is a CFA Charterholder.

Federico Cane

Fund Manager, Senior

Qaunt

Federico Cane joined Pictet Asset Management in 2011. He is Fund manager, Senior Quantitative Analyst, and a member of the investment committee of the Alphanatics and Pictet TR-Diversified Alpha funds.

Before joining Pictet he worked since 2007 at UBS, both in Zurich and London, focusing on the Risk Management of Structured Products and Exotic Derivatives.

Federico holds a degree in Particle Physics from the University of Bologna and a PhD in Atomic, Molecular, and Optical Physics from The Massachusetts Institute of Technology (MIT).

He is a certified Chartered Financial Analyst (CFA) and a Financial Risk Manager (FRM) of the Global Association of Risk Professionals (GARP).

Stef Nielen

Portfolio & Risk Analytics (PORT) - Enterprise Solutions Business Development

Bloomberg L.P.

Stef has joined Bloomberg to strategically strengthen the Buy-side Enterprise Portfolio & Risk Analytics sales in the South European Region. He brings over two decades of experience in Quant Finance, with a large network of C-level connections across Northern Europe, the German Speaking region and the UK.

Prior to joining Bloomberg Stef worked at investment banks and Fintech providers like Alveo, MSCI, Riskmetrics and Qontigo (Axioma) where he helped some of the largest Asset Managers and Asset Owners across Europe. He has also acted as an independent consultant and trusted advisor helping these clients select, implement and customize their risk solutions.

Stef has an MSc Engineering from The Hague University of Applied Sciences and an MSc Business Administration from the Erasmus University in Rotterdam. Through partnerships and alliances he has helped to grow the business of the Fintech companies he’s been working for. In his private life, Stef is married and has two children: a teenage girl and a younger boy; he coaches rugby; and loves, movies, skiing and open water swimming.

Riccardo Pianeti, Ph.D.

Senior Quantitative Analyst Director, Global Investment Lab

Citi Private Bank

Riccardo Pianeti is a Senior Quantitative Analyst (Director) within the Global Investment Lab at Citi Private Bank.

With 10 years’ experience, Riccardo is responsible for providing innovative Quantitative Cross- Asset Portfolio Solutions to Family Offices and UHNWI globally.

In his current tenure, he developed analytical tools for Portfolio Construction and Risk Management. He also spearheaded the deployment of Machine Learning models to predict clients’ behavior to inform senior management decision making.

Riccardo holds a Ph.D. in Financial Econometrics from the University of Bergamo, Italy and has been a visiting student at Cass Business School in London, UK.

Ashley Lester

Head of Systematic Investments

Schroders

Ashley Lester, Ph.D., is the Head of Schroders Systematic Investments. In this capacity, he leads a team that is responsible for a broad range of systematic equity investment strategies including long-only, long-short, thematic, global and regional mandates. Ashley joined Schroders in 2015 as Head of Multi Asset Research, with responsibility for asset allocation and multi-asset portfolio construction tools. Ashley joined Schroders from MSCI, where he was Head of Multi Asset and Fixed Income Research. In this role, Ashley directed research relating to fixed income, alternatives and risk methodology for the Barra and Risk Metrics platforms, used by financial institutions globally to manage risk and support investment decisions. Prior to his role at MSCI, Ashley was Head of Market Risk Methodology at Morgan Stanley, where he was responsible for the firm’s market risk models, including their research, production and regulatory approval. Ashley was intensively involved in the implementation of Basel 2.5 and the CCAR stress testing process. Earlier in his career, Ashley was an Assistant Professor of Economics at Brown University and a Visiting Assistant Professor of Economics and Finance at Columbia Business School. He started his career as an economist at the Reserve Bank of Australia.

Zane Van Dusen

Global Head of Risk & Investment Analytics

BLOOMBERG/ 120 PARK

Zane Van Dusen manages Bloomberg's suite of Risk and Investment Analytics products globally. In this role, he works with quants and engineers to build data-driven analytics that address a wide range of client needs from investment research to portfolio construction to regulatory reporting. Prior to this role, Zane managed the implementation of risk management, stress testing and reporting systems for Credit Suisse's Treasury and Liquidity Risk Management groups.

Nick Grube, FRM

Executive Director – Investment Risk Manager

UBS Asset Management

Nicholas Grube is an Investment Risk Manager at UBS Asset Management based in Chicago. He is responsible for the independent investment risk oversight and analysis of portfolios across Global Fixed Income and North America's traditional businesses. This requires adhering to the published Risk Framework regarding risk measurements, limits, policies, procedures and reporting. Providing full transparency into market, credit and liquidity risks. Nicholas holds an MBA in Financial Engineering from the University of Illinois and is Financial Risk Manager (FRM) holder from the Global Association of Risk Professionals (GARP). Prior to joining the firm, Nicholas held similar roles at Lehman's investment bank in London and Wachovia's (now Wells Fargo) investment bank in Charlotte, NC.

Thierry Ciszewski

Senior Risk Manager

HSBC Asset Management

Thierry Ciszewski is the Subject Matter Expert on Liquidity Risk and Model Risk at HSBC Asset Management, responsible for the design, implementation and enhancement of the global liquidity risk model across all investment classes and covering both asset and liability stress testing capabilities. He runs the Asset Management Model Oversight forum providing guidance as well as challenging individual models. As part of his role, he participates at industry body working groups and engage regularly with regulators (e.g. SEC, FSB, FCA). Prior to joining HSBC, he led the Solvency II and ICAAP risk quantification at AXA IM, designed a challenger model for vendor pricing and CAPM pricing at Natixis Asset Management. He co-developed the Powertrain System Analysis Toolkit (PSAT) in Matlab to optimise fuel consumption (e.g. hybrid, hydrogen, and fuel cell) for the US department of Energy at Argonne National Laboratory. Thierry has Masters in management from HEC Paris and in engineering from Ecole Superieure d’Aeronautique and San Diego State University.”