Webinar

State of the Art Modeling & Data Analytics

On Demand
Duration: 54 Minutes
Original Date: December 18, 2022

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As we go through turbulent market conditions with evolving dynamics, the quality of models and greeks — and their robustness —becomes a central consideration for market players. Join us as we discuss the latest developments of the modelling and greeks calculations within the Bloomberg system to help clients improve their pricing and risk management, and be better equipped to deal with today’s challenging market landscape. The webinar will cover FI ETF modelling, exotics CMS spread models, and new techniques in greeks calculations.

For full agenda at APAC Risk & Reg Week 2022, please visit: https://go.bloomberg.com/events/apac-risk-reg-week-2022/

Speakers

Mahir Lokvancic

Quantitative Analyst

BLOOMBERG/ 731 LEX

Mahir Lokvancic is quantitative analyst modeling rates and cross asset products. Prior to Bloomberg L.P., Mahir was with Capital One Bank, where he headed the team responsible for validation and risk management of firm-wide pricing, risk, and capital models for interest rates and commodity derivatives, XVA, VaR, PFE, and market risk economic capital. Prior to Capital One Bank, Mahir was with UBS, non-linear rates and exotics desk quantitative analyst responsible for pricing, risk, P&L, and strategy solutions.

Mats Kjaer

Head of Quant XVA Analytics

Bloomberg L.P.

Mats Kjaer is head of the Quant XVA analytics team at Bloomberg LP in London. Prior to joining Bloomberg in 2015 he was a Director in the Quantitative Analytics Group at Barclays Capital, which he joined as a fresh graduate in 2006. Throughout his career Mats has published numerous research articles about derivatives pricing theory in the presence of counterparty credit risk, collateral, funding costs and regulatory capital, and in 2015 Risk Magazine named him Quant of the Year for his work. Mats has a PhD in Mathematical Finance from Gothenburg University, Sweden.

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