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| 'Finance Focus' event: Finance Optimization using the Star-P Parallel Computing Platform |
| Organised by Wilmott magazine and 7city and sponsored by Interactive Supercomputing presented by Andrew Greenwell |
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With the age of multi-core having fully arrived, and with many-core processors just around the corner, quantitative analysts are in need of software tools that allow them to harness the computational capabilities and memory capacity of parallel systems. In this presentation, we provide an overview of the Star-P parallel computing platform and its possible uses in quantitative finance for problems with large distributed data sets and task parallel operations. Recent additions to Star-P will be highlighted that have direct benefit to financial modeling problems, including the addition of Statistics and Optimization function libraries, and the integration of Star-P with the Tomlab Optimization platform. A demo of Star-P will also be included in the presentation.
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| STRESS TESTING EUROPE 2010 - Zurich - Register by 26th February 2010 and SAVE up to 500 - Additional 20% Discount |
20% Discount Quote VIP CODE: KM6392WMTEM
Register by 26 February and SAVE even more!
To register for Stress Testing Europe 2010 click here.
To register for Stress Testing for Risk Management & Capital Planning click here.
This conference is the key European forum dedicated to sharing best practice and innovative stress testing techniques within the Banking and Investment Sector.
The 2nd Annual European Forum:
STRESS TESTING
EUROPE 2010
Regulatory Guidance & Industry Case Studies
23 & 24 March 2010 ● Zurich, Switzerland
PLUS the Post Conference Workshop:
Emerging Technique & Strategy in
Stress Testing for
Risk Management & Capital Planning
25 March 2010 ● Zurich, Switzerland
Obtain practical guidance on:
Regulatory Expectations and feedback
Credit Portfolio Model performance in market stress
Cyclical Stress Testing for Macro Economic Scenarios
Enhancing Capital Planning and management
Benchmark your approach to:
Liquidity Stress Testing vulnerabilities
Market and Credit Stress Testing interplay
Unexpected Event and Macro-Economic Scenarios
Maximising the Value in the ICAAP
Gain new insights into:
Stress Testing Across Risk Types
Embedding a Group-Wide Stress Testing model
Interaction with Economic and Regulatory Capital
Informing Risk Profile and Directing Management
Access recent developments in:
Operational Risk Stress Testing
Market Risk Stress Testing
Analysing Systemic Risk and Contagion
Macro and Microeconomic stress testing
Ratings Agency Approaches to Evaluation
Attending this case-study led event will provide access to a wealth of unique perspectives selected to add practical value to your risk and capital management activities.
Contributors already confirmed include:
Roland Goetschmann, Risk Management Large Banking Groups, FINMA
Trevor Wells, Executive Director, Scenario Analysis, UBS
Phil Rogers, Head of Risk Strategy, European Risk, HSBC
Oliver Deutscher, Head of Liquidity and Collateral Trading, DZ BANK
Johannes Gauger Rebel, Head of Market Risk, NYKREDIT
Alistair Mcleod, Head of Portfolio Analytics, BARCLAYS CAPITAL
Herve Genvy, Head of Global Risk, ICAP
Colin Burke, Head of Group Wholesale Portfolio Analytics, LLOYDS BANKING GROUP
Rune Toft Nielsen, Stress Test Expert, DANSKE BANK
Sean Cotton, Team Leader Capital Models & ICAAP, NORDEA BANK
Sophia Velissaratou, Senior Portfolio Modelling Analyst, ING
Hannes Huck, Senior Basel II Manager, RAIFFEISEN INTERNATIONAL BANK
Carola Schuler, Managing Director, Financial Institutions, MOODYS
Urs Wolf, Senior Manager, Risk & Performance Management, DELOITTE
Mike Finlay, Managing Director EMEA, RISK BUSINESS INTERNATIONAL
Lionel Stehlin, Senior Manager, ERNST & YOUNG
Register by 26th February 2010 and SAVE up to 500
Remember as a Wilmott member you are entitled to a further 20% Discount, just Quote VIP CODE: KM6392WMTEM
To register for Stress Testing Europe 2010 click here.
To register for Stress Testing for Risk Management & Capital Planning click here.
Alternatively, email custserv@infoline.org.uk or call us on +44 (0)20 7017 7702, quoting VIP code: KM6392WMTEM.
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| Sydney - Head of Quantitative Market Risk Management - circa AU$250,000 + bonuses |
Sydney - Head of Quantitative Market Risk Management - circa AU$250,000 + bonuses
The role
The Quantitative Market Risk Department has responsibility for the development of risk measurement models for all market risks. The purpose of this role is to: (a) Lead the methodological development of the Banks approach to calculating market risks and (b) lead the market risk quantitative analytics team who oversee the methodological development of proprietary risk engines (at the portfolio level) and pricing model development and maintenance.
Key Competencies:
Leadership of or significant contribution to the methodological development and maintenance of proprietary risk engines;
Leadership skills evidenced through retention rates and coaching ability.
Ability to quickly establish rapport and have a facilitative and collaborative approach with peers across the organisation.
Advanced knowledge of statistical methods and time series analysis;
Advanced knowledge of derivatives pricing (including credit derivatives) Advanced programming skills in a matrix-based language and statistical software;
Expert in working with large data sets, including interacting with databases;
The Person
Strong academic record in a numerate discipline, such as Mathematical Statistics / Econometric Theory, Engineering, Physics, Mathematics at PhD level;
Significant experience in a quantitative role including significant experience in financial markets market risks,
Experience in dealing with senior management and regulatory authorities.
Demonstrable experience of leadership
Familiarity with the regulatory requirements that relate to market risk.
Exposure to counterparty credit risks and non-traded interest rate risk would be advantageous but is not essential.
For more detailed information or a confidential discussion please call James Young on + 61 2 92310002 or email
enquiries@morganyoung.com.au |
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