risk management workshops - amazon s3marcos lópez de prado the machine learning revolution adjunct...

Basilea III y IV Behavioral Economics and the Bias of Risk Capital Allocation and Economic Capital Management Capital Requirements and Regulatory Margin

Alonso Peña University of Cambridge

Kelly Peters CO-founder and

CEO BEworks

Olga Rodríguez Associate BEworks

Juan Salcedo Associate BEworks

Suresh Sankaran CEO

Sankaran Consulting

Claudio Barchiesi Relationship Manager

TriResolve

Lona Mozumder Head of Sales & Relationship

Management TriReduce

Counterparty Risk and CVA-xVA

Cybersecurity and Hacking & Penetration Testing

Balance Sheet Risk Management for Insurance Companies

Automated & Innovative Risk Management (Insurance) Liquidity Risk

Alonso Peña University of Cambridge

Gustavo Santana Executive Director

Ernst & Young

Patricio Belauzarán Partner

Ernst & Young

Román Toledo Managing Partner

CEDICE

Rodrigo Aburto Partner

Ernst & Young

Suresh Sankaran CEO

Sankaran Consulting

MATLAB Day Risk of Fraud in Financial Institutions

Reputational Risk and Financial Communication Risk Culture

The ALCO Challenge: The new role of the Asset & Liability Management in

the FinTech Frontier

Alex Link Computational Finance Application Engineer

MathWorks

Christiams Valle Head of Operational Risk Prevention

Telefonica Peru

Alejandro Osorio Executive Director of Special Projects

Banorte

Gustavo Fuertes CRO

Tresalia

Jean Dermine Banking and Finance

INSEAD

AI, Machine & Deep Learning for Executives

KVA (Capital Valuation Adjustment) and FVA (Funding Value Adjustment):

Pricing and HedgingConvertible Bonds and other Hybrid

InstrumentsConvertible Bonds, CoCos and Credit

Risk

Jean-Frederic Breton Advisor

VersaQuant

Darshan Pungaliya Product Research and

Development VersaQuant

Giovanni Negrete CVA-xVA Trader

Santander Global Banking

Izzy Nelken President and Founder

Super Computer Consulting, Inc.

Liber Jaime Vicepresident, Risk Analytics

JP Morgan Asset Management

Deep Learning with Python Derivatives and Corporate Finance Emerging market strategy: Quant approach

Energy Derivatives: Pricing, Hedging and Trading

José Alatorre Societe Generale

Corporate and Investment Banking

David Shimko NYU Tandon School of Engineering

Andrés Jaime EM Quant Strategist

Morgan Stanley

David Shimko NYU Tandon School of Engineering

Equity Derivatives and Volatility Life after LIBOR: The Birth of New Rate Benchmarks Machine Learning in Finance Structured Notes: Construction Strategies,

Trading, Selling & Hedging

Marco Avellaneda Courant Institute of Mathematical Sciences NYU

Fabio Mercurio Global Head of Quantitative Analytics

Bloomberg L.P.

John Hull University of Toronto

Marcelo Rodríguez Vicepresident & Regional Treasurer

Scotiabank Canada

RiskMathics, aware that the most important factors to develop and consolidate the

Financial Markets are training and promoting a high level financial culture, will host for the

eighth time in Mexico: “The Risk Management & Trading Conference”, which will have the

participation of leading authorities who have key roles in the global financial industry.

OBJECTIVESOne of the primary objectives of this Conference is to provide through Workshops,

Presentations and Round Table Discussions the latest advances in Risk Management,

Trading, Technology and Market Regulation, and to transmit all this knowledge by local and

international authorities in the field.

Some other objectives of this Conference are to explain and show in detail the current

situation and where the Global Financial Industry is heading, advances in Pricing, and how

intermediaries and direct or indirect participants of markets need to be prepared to remain

competitive in spite of the new challenges and paradigms that are present nowadays.

WHO SHOULD ATTEND?The Risk Management & Trading Conference is aim at Practitioners directly or indirectly involved

in areas of trading, risk management, regulation, technology, and research & development of

Stock Exchanges, Brokers, Brokerage Houses, Banks, Institutional Investors (Pension Funds,

Mutual Funds, Insurance Companies, etc.), Hedge Funds, and Independent Investors.

It will be of particular relevance to:

• Regulators• Technology areas• Analysts• Fund Managers• Asset Managers• Quants• Treasurers

• Consultants• Traders• Financial Analysts• Risk Managers and CROs• Counselors• CEOs of Financial Institutions

2

RISK MANAGEMENT WORKSHOPS

TRADING AND QUANTITATIVE FINANCE WORKSHOPS

Family Offices: Construcción,

Administración y OperaciónAsset Management with

Machine LearningPortfolio Strategies and Risk

Management for Buy Side Project Finance

Luis Seco CEO

Sigma Analysis & Management Ltd.

Marcos López de Prado Adjunct Professor,

Financial Machine Learning Cornell University

Chris Martin Director Axioma

Gerónimo Gutiérrez Managing Partner

Beel Infrastructure Partners

Jaime Falcones Partner


Aniceto Huertas Partner


Aniceto Huertas Socio Director


Alejandra Melgoza Directora Jurídica Nabla Solutions

Alejandra Melgoza Directora Jurídica Nabla Solutions

ASSET AND PORTFOLIO MANAGEMENT WORKSHOPS

Alejandra Melgoza Legal Director


Diego Ortíz Investment Associate


IFRS 9: Implementation & Interpretation

Nicolás Olea Partner in Charge

KPMG

Hansel Moska Partner KPMG

Rubén Haro FRM Credit Risk Director

KPMG

REGULATION WORKSHOPS

AgendaDay 1

WEDNESDAY JUNE 19 2019

ROOM 1 ROOM 2 ROOM 3 ROOM 4 ROOM 5 ROOM 6 ROOM 7 ROOM 8 ROOM 9 ROOM 10 ROOM 11 ROOM 12 ROOM 13 ROOM 14 ROOM 15

WORKSHOP WORKSHOP SEMINARWORKSHOP CONFERENCE PANEL

REGISTRATION IN THE THREE VENUES

J W M A R R I O T T S A N T A F E H O T E L WESTIN HOTELUP CAMPUS SANTA FE

3:00 PM to

5:00 PM

12:30 PM to

2:00 PM

10:00 AM to

12:00 PM

9:30 AMto

10:00 AM

2:30 PM a

4:00 PM

12:00 PM a

12:30 PM

Alonso Peña

BASEL III TO IV

Gustavo Santana

CYBERSECURITY AND HACKING

& PENETRATION TESTING



(Continues Part I)



Continues Part I)

Executive Director Ernst & Young

University of Cambridge

(Continues Part I) (Continues Part I)

(Part I) (Part I) (Part I)

David ShimkoNYU Tandon School of

Engineering

(Continues Part I)

(Continues Part I)

(Part I)

DERIVATIVES AND CORPORATE

FINANCE


FINANCE


FINANCE

(Continues Part I) (Continues Part I)

BASEL III TO IV

BASEL III TO IV

COFFEE BREAK

FREE LUNCH

BREAK

(Part I)

(Continues Part I)

Marco Avellaneda

EQUITY DERIVATIVES AND

VOLATILITY


VOLATILITY


VOLATILITY

Courant Institute of Mathematical Sciences

NYU

THE ALCO CHALLENGE: THE NEW ROLE OF THE ASSET & LIABILITY

MANAGEMENT IN THE FINTECH

FRONTIER



FRONTIER



FRONTIER

(Part I)

(Continues Part I)

(Continues Part I)

Jean DermineProfessor INSEAD

AUTOMATED & INNOVATIVE RISK

MANAGEMENT (INSURANCE)





(Part I)

(Continues)

(Continues)

Rodrigo AburtoPartner

Ernst & Young

IFRS 9: :IMPLEMENTATION

AND INTERPRETATION


AND INTERPRETATION


AND INTERPRETATION

(Part I)

(Continues Part I)

(Continues Part I)

Nicolás OleaPartner in Charge

KPMG

(Continues Part I)

P L E N A R Y H A L L - W E S T I N H O T E L

5:15 PM to

6:00 PM

7:00 PM to

8:00 PM

8:00 PM to

8:40 PM

Is Prop Trading Dying? Or Where is the Liquidity Moving?

Marcos López De PradoThe Machine Learning Revolution

Adjunct Professor, Financial Machine LearningCornell University

KEYNOTE SPEECH

8:00 AMto

9:30 AM

REGISTRATION


7:00 AMto

8:00 AM

CONVERTIBLE BONDS AND

OTHER HYBRID INSTRUMENTS

(Continues Part I)

(Continues Part I)

(Part I)





Izzy NelkenPresident and Founder


12:00 PM to

12:30 PM

2:00 PM to

3:00 PM

5:00 PM to

5:15 PM

3

MACHINE LEARNING IN

FINANCE

University of Toronto

(Part I)

(Continues Part I)

(Continues Part I)

John Hull

MACHINE LEARNING IN

FINANCE

MACHINE LEARNING IN

FINANCE

PANEL

CHAMPAGNE ROUND TABLE

(Continues)

(Continues)

(Part I)

(Continues Part I)

(Continues Part I)

Suresh Sankaran

LIQUIDITY RISK

CEO Sankaran Consulting

LIQUIDITY RISK

LIQUIDITY RISK

6:00 PMto

7:00 PM

Marshall AlphonsoGlobal Lead Engineer

MathWorks

Chair:Gonzalo Rangel

Director Ejecutivo de AnalíticaBanorte

Attilio MeucciQuantitative Portfolio Manager

ARPM Founder

Fernando EspondaData Scientist

ITAM

Jonathan DavisChairman

Macquarie Infrastructure and Real Assets

Salvador PeredoManaging Director and Head

Capital MarketsScotiabank

Alejandro FaesiHead TraderBanorte

Alvaro VaqueiroDirector of Corporate and

Investment BankingBBVA Bancomer

Octavio BallinasFinancial Vicepresident

CONSAR

Chris MartinDirectorAxioma

PORTFOLIO STRATEGIES

AND RISK MANAGEMENT FOR BUY SIDE





Quants and Econometricians vs Data Scientists…Who is who in The Global Financial Industry?

Alex Link

MATLAB DAY WORKSHOP

MATLAB DAY WORKSHOP

(Continues)

MATLAB DAY WORKSHOP

(Continues)

Computational Finance Application

Engineer MathWorks

Marcos López De PradoAdjunct Professor, Financial Machine

LearningCornell University

Marco AvellanedaCourant Institute of Mathematical

SciencesNYU

Jorge AlegríaChair:

Senior Advisor to the PresidentCME Group Clearing House

Sergio ZermeñoFounding Partner

SEZE Soluciones Financieras

ASSET MANAGEMENT WITH MACHINE

LEARNING


LEARNING


LEARNING

Adjunct Professor, Financial Machine

Learning Cornell University

Marcos LópezDe Prado

Futures and OptionsRiskMathics Hall of Fame

1st Edition

John C. Hull

XVAs: Theory and Practice


CONFERENCE BREAKFAST

(Part I)

(Continues Part I)

CVA-xVA TraderSantander Global

Banking

(Continues Part I)

Giovanni Negrete

KVA (CAPITAL VALUATION

ADJUSTMENT) AND FVA

(FUNDING VALUE ADJUSTMENT)


ADJUSTMENT) AND FVA



ADJUSTMENT) AND FVA


AgendaDay 2

THURSDAY JUNE 20 2019

REGISTRATION


COFFEE BREAK


J W M A R R I O T T S A N T A F E H O T E L WESTIN HOTELUP CAMPUS SANTA FE

3:00 PM to

5:00 PM

6:00 PM a

6:15 PM

12:30 PM to

2:00 PM

12:00 PM to

12:30 PM

10:00 AM to

12:00 PM

9:30 AMto

10:00 AM

8:00 AMto

9:30 AM

7:00 AMto

8:00 AM

BASEL III TO IV

BASEL III TO IV

University of Cambridge


VOLATILITY

(Continues Part II)


VOLATILITY

(Continues Part II)

Marco Avellaneda


VOLATILITY

Courant Institute of Mathematical Sciences

NYU(Part II)

LIQUIDITY RISK

(Continues Part II)

Suresh Sankaran

LIQUIDITY RISK


LIQUIDITY RISK

(Continues Part II)

(Part II)

REPUTATIONAL RISK AND FINANCIAL

COMMUNICATION

(Continues)

Alejandro Osorio

REPUTATIONAL RISK AND FINANCIAL

COMMUNICATION

Executive Director of Special Projects

Banorte

Alonso Peña


(Continues Part II) (Continues Part II)

(Continues Part II) (Continues Part II) (Continues Part II)

(Continues Part II)

(Part II)(Part II) (Part II)

BREAK

Trends in the Global Banking Industry CONFERENCE BREAKFAST

BASEL III TO IV


FINANCE

(Part II)


FINANCE


FINANCE

David Shimko

(Continues Part II)

(Continues Part II)

NYU Tandon School of Engineering

LIFE AFTER LIBOR: THE BIRTH

OF NEW RATE BENCHMARKS



Fabio MercurioGlobal Head of

Quantitative AnalyticsBloomberg L.P.

(Continues)

5:00 PM to

5:15 PM

(Continues Part II)

(Continues Part II)

IFRS 9: IMPLEMENTATION

AND INTERPRETATION


AND INTERPRETATION


AND INTERPRETATION

(Part II)

Nicolás OleaPartner in Charge

KPMG

(Continues)

(Continues)



(Continues)







Izzy NelkenPresident and Founder



FREE LUNCH2:00 PM

to3:00 PM

4

Jean DermineBanking and Finance

INSEAD

(Part II)



FRONTIER



FRONTIER



FRONTIER

Jean DermineProfessor INSEAD

(Continues Part II)

(Continues Part II)

BEHAVIORAL ECONOMICS



Kelly PetersCO-founder and CEO

BEworks

RISK CULTURE

(Continues)

Gustavo Fuertes

RISK CULTURE

CROTresalia


LEARNING


LEARNING


LEARNING

Adjunct Professor, Financial Machine

Learning Cornell University

Marcos LópezDe Prado

6:20 PM to

7:00 PM


Networking CocktailLATE NIGHT CHAMPAGNE & WINE TASTING

Global Trends in the Financial Risk Management Industry… The CROs ViewCHAMPAGNE ROUND TABLE

Thomas SeveranceChief Revenue Officer

Axioma

Chair:

The RiskMathics - ARPM Alliance Data Science for Finance: the Visual, the Math, the Code, on your screen

Allan Barush & Attilio Meucci

7:00 PM to

8:00 PM

8:00 PM to

8:30 PM

8:30 PM to

12:00 AM

Announcing the Winners of the Second Derivatives Challenge John Hull Award: The exclusive tournament to trade derivatives in LatAm

PRESENTATION

John HullUniversity of Toronto

Julio RiveraVicepresident, Director of CCAR & CECL Model Implementation

US Bank

Marcelo Rodríguez Vicepresident and Regional Treasurer

Scotiabank Canada

David O DonovanHead of Risk Management Practise

Murex Americas

Abraham IzquierdoExecutive Director Risk Management

Banorte

Gustavo FuertesCRO

Tresalia

5:15 PM to

5:45 PM

5:45 PM to

6:20 PM

Artificial Intelligence, Machine and Deep Learningin Trading and Risk Management

AI, Machine Learning & Deep Learning in the Age of Information

KEYNOTE SPEECH

KEYNOTE SPEECH

Jean-Frederic Breton

Marshall Alphonso

Advisor / VersaQuant

Global Lead EngineerMathWorks

CAPITAL REQUIREMENTS

AND REGULATORY MARGIN

Claudio Barchiesi

CAPITAL REQUIREMENTS

AND REGULATORY MARGIN

Relationship ManagerTriResolve

Lona MozumderHead of Sales

and Relationship Management

TriReduce(Continues)

AI, MACHINE & DEEP LEARNING FOR EXECUTIVES

(Continues)

Jean-Frederic Breton

AI, MACHINE &; DEEP LEARNING FOR EXECUTIVES

VERSAQUANT

REGISTRATION


COFFEE BREAK

FREE LUNCH


J W M A R R I O T T S A N T A F E H O T E L

WESTIN HOTEL

WESTIN HOTELUP CAMPUS SANTA FE

4:00 PM to

6:00 PM

2:30 PM to

4:00 PM

12:30 PM to

2:30 PM

12:00 PM to

12:30 PM

10:00 AM to

12:00 PM

9:30 AMto

10:00 AM

8:00 AMa

9:30 AM

7:00 AMa

8:00 AM

The Return of Volatility to the Markets CONFERENCE BREAKFAST

Día 3FRIDAY JUNE 21 2019

Suresh Sankaran

CAPITAL ALLOCATION

AND ECONOMIC CAPITAL

MANAGEMENT


Jon Gregory

COUNTERPARTY RISK, xVA

AND CENTRAL CLEARING

Solum Financial Partners

CAPITAL ALLOCATION


MANAGEMENT



CAPITAL ALLOCATION


MANAGEMENT



(Continues Part I) (Continues Part I) (Continues Part I)

(Continues Part I)(Continues Part I) (Continues Part I)(Continues Part I)

(Part I) (Part I) (Part I)

(Continues Part I) (Continues Part III)

(Continues Part I) (Continues Part III)

David Shimko

ENERGY DERIVATIVES:

PRICING, HEDGING AND

TRADING


ENERGY DERIVATIVES:


TRADING

ENERGY DERIVATIVES:


TRADING

(Continues Part I)

(Continues Part I)

(Part I)

WORKSHOP WORKSHOP SEMINARIOWORKSHOP CONFERENCIA MESA REDONDA

(Part I) (Part III)

Agenda

Patricio Belaunzarán

Partner Ernst & Young

BALANCE SHEET RISK

MANAGEMENT FOR INSURANCE

COMPANIES

BALANCE SHEET RISK


COMPANIES

BALANCE SHEET RISK


COMPANIES

STRUCTURED NOTES:

CONSTRUCTION STRATEGIES,

TRADING, SELLING AND HEDGING

(Part I)

Marcelo RodríguezVicepresident &

Regional Treasurer Scotiabank Canada

(Continues Part I)


5

Marco AvellanedaCourant Institute of Mathematical Sciences / NYU

STRUCTURED NOTES:



STRUCTURED NOTES:



(Continues Part I)

(Continues Part I)

(Part I)

CONVERTIBLE BONDS, COCOS

AND CREDIT RISK

Vicepresident, Risk Analytics


Liber Jaime


AND CREDIT RISK


AND CREDIT RISK

DEEP LEARNING WITH PYTHON

Societe Generale Corporate and

Investment Banking

José Alatorre



EMERGING MARKET

STRATEGY: QUANT

APPROACH

EM Quant StrategistMorgan Stanley

Andrés Jaime

EMERGING MARKET

STRATEGY: QUANT

APPROACH

EMERGING MARKET

STRATEGY: QUANT

APPROACH

(Continues Part I)

(Continues Part I)

(Part I)

PROJECT FINANCE

PROJECT FINANCE

PROJECT FINANCE

Partner BEEL

INFRASTRUCTURE PARTNERS

Aniceto Huertas

CEO Sigma Analysis & Management Ltd.

(Continues Part I)

Luis Seco

FAMILY OFFICES: BUILDING,

ADMINISTRATION AND OPERATION





(Continues Part I)

RISK OF FRAUD IN FINANCIAL INSTITUTIONS

(Continues Part I)


(Continues Part I)


(Part I)

Christiams ValleHead of Operational

Risk Prevention Telefonica Peru

(Part I)

Jean Dermine

THE ALCO CHALLENGE: THE NEW ROL OF THE

ASSET & LIABILITY MANAGEMENT IN THE FINTECH

FRONTIER

(Part III)

Professor INSEAD



FRONTIER



FRONTIER

(Continues Part III)

(Continues Part III)

AgendaDay 4

SATURDAY JUNE 22 2019



FREE LUNCH

ROOM 1 ROOM 2 ROOM 3 ROOM 4 ROOM 5 ROOM 6 ROOM 7 ROOM 8 ROOM 9 ROOM 10 ROOM 11 ROOM 12 ROOM 13

J W M A R R I O T T S A N T A F E H O T E L UP CAMPUS SANTA FE

11:30 PM to

3:00 PM

3:00 PM a

4:00 PM

4:00 PM to

5:00 PM

9:00 AM to

11:00 AM

11:00 AM to

11:30 AM

8:00 AMto

8:30 AM







Solum Financial Partners

(Part II)

CAPITAL ALLOCATION


MANAGEMENT

CAPITAL ALLOCATION


MANAGEMENT

Jon Gregory

(Continues Part II) (Continues Part IV)

(Continues Part IV)

(Continues Part II)

BALANCE SHEET RISK


COMPANIES

BALANCE SHEET RISK


COMPANIES

(Part II)(Part IV)

ENERGY DERIVATIVES:

PRICING, HEDGING AND TRADING

ENERGY DERIVATIVES:


ENERGY DERIVATIVES:



(Continues Part II)

(Part II)

David Shimko Román ToledoManaging Partner

CEDICE

Suresh Sankaran

CAPITAL ALLOCATION


MANAGEMENT


COFFEE BREAK

6

STRUCTURED NOTES:



(Part II)

Marcelo RodríguezVicepresident &

Regional Treasurer Scotiabank Canada

(Continues Part II)

STRUCTURED NOTES:



STRUCTURED NOTES:



(Continues Part II) (Continues Part II) (Continues Part II)

ROOM 14 ROOM 15

WESTIN HOTEL


AND CREDIT RISK


AND CREDIT RISK

Vicepresident, Risk Analytics


Liber Jaime


AND CREDIT RISK

(Continues Part II)

(Continues Part II)

(Part II)



Societe Generale Corporate and

Investment Banking

José Alatorre


(Continues Part II)

(Continues Parte II)

(Part II)

EMERGING MARKET

STRATEGY: QUANT

APPROACH

EMERGING MARKET

STRATEGY: QUANT

APPROACH

EM Quant StrategistMorgan Stanle

Andrés Jaime

EMERGING MARKET

STRATEGY: QUANT

APPROACH

(Continues Part II)


(Part II)

PROJECT FINANCE

PROJECT FINANCE

Partner BEEL

INFRASTRUCTURE PARTNERS

Aniceto Huertas

PROJECT FINANCE

(Continues Part II)


(Part II)




Christiams ValleHead of Operational

Risk Prevention Telefonica Peru

(Continues Part II)

(Part II)

E D U C A T I O N A L P A R T N E R S

E X C H A N G E S P O N S O R S

(Part II)

CEO Sigma Analysis & Management Ltd.


Luis Seco







(Continues Part II)



(Continues Part II)



(Continues Part II)

Gustavo Santana



(Part II)

Director Ejecutivo Ernst & Young

(Continues Part II)

7

PANELS

IS PROP TRADING DYING? OR WHERE IS THE LIQUIDITY MOVING?

QUANTS AND ECONOMETRICIANS VS DATA SCIENTISTS…WHO IS WHO IN THE GLOBAL FINANCIAL INDUSTRY??

GLOBAL TRENDS IN THE FINANCIAL RISK MANAGEMENT INDUSTRY… THE CROS VIEW

WEDNESDAYJUNE 19 6:00 PM

THURSDAYJUNE 20 7:00 PM


Chief Revenue OfficerAxioma

CHAIR: Thomas Severance

Global Lead EngineerMathWorks

CHAIR: Marshall Alphonso

Fernando EspondaData Scientist

ITAM

Attilio MeucciARPM Founder

Gonzalo RangelExecutive Director of Analytics

Banorte

Marco AvellanedaCourant Institute of

Mathematical SciencesNYU

Marcos López de PradoAdjunct Professor, Financial

Machine LearningCornell University

CHAIR: Jorge AlegríaSenior Advisor to the President

CME Group Clearing House

Álvaro VaqueiroDirector of Corporate and

Investment BankingBBVA Bancomer

Alejandro Faesi Head TraderBanorte

Jonathan DavisChairman

Macquarie Infrastructure and Real Assets

Salvador PeredoManaging Director and Head Capital Markets

Scotiabank

Octavio BallinasFinancial Vicepresident

CONSAR

Sergio ZermeñoFounding Partner

SEZE Soluciones Financieras

Marcelo RodríguezVicepresident and Regional

TreasurerScotiabank Canada

Julio RiveraVicepresident, Director of CCAR & CECL Model Implementation

US Bank

John HullDerivatives and Risk Management


Gustavo FuertesCRO

Tresalia

David O DonovanHead of Risk Management Practise

Murex Americas

M E D I A S P O N S O R S

Abraham IzquierdoExecutive Director Risk Management

Banorte

L E A D S P O N S O R S

C O - S P O N S O R S

8

The XVAs (CVA, DVA, FVA, MVA, KVA,..) have become important adjustments to the prices of derivatives and are here to stay. This presentation will explain the XVAs and discuss some of the controversies surrounding them.

John Hull is the Maple Financial Professor of Derivatives and Risk Management at the Joseph L. Rotman School of Management, University of Toronto. He is an internationally recognized authority on derivatives and risk management and has many publications in this area. His work has an applied focus. He was, with Alan White, one of the winners of the Nikko-LOR research competition for his work on the Hull-White interest rate model and was in 1999 voted Financial Engineer of the Year by the International Association of Financial Engineers. He has acted as consultant to many North American, Japanese, and European financial institutions. He has won many teaching awards, including University of Toronto’s prestigious Northrop Frye Award.

John Hull has written three books: “Risk Management and Financial Institutions” (now in its 4th edition), “Options, Futures, and Other Derivatives” (now in its 9th edition) and “Fundamentals of Futures and Options Markets” (now in its 8th edition). The books have been translated into many languages and are widely used in trading rooms throughout the world, as well as in the classroom. Dr. Hull is co-director of Rotman’s Master of Finance Program. In addition to the University of Toronto, Dr. Hull has taught at York University, University of British Columbia, New York University, Cranfield University, and London Business School. He is an Associate Editor of nine academic journals.

JOHN C. HULL DERIVATIVES AND RISK MANAGEMENT UNIVERSITY OF TORONTO

Machine learning (ML) is changing virtually every aspect of our lives. Today ML algorithms accomplish tasks that until recently only expert humans could perform.

As it relates to finance, this is the most exciting time to adopt a disruptive technology that will transform how everyone invests for generations. In this talk, I will explain scientifically sound ML tools that have worked for me over the course of two decades, helping me to manage large pools of funds for some of the most demanding institutional investors.

THE MACHINE LEARNING REVOLUTION

Marcos López de Prado has over 20 years of experience developing investment strategies with the help of machine learning algorithms and supercomputers. He has recently sold his patents to AQR Capital Management, where he was a principal and AQR’s first head of machine learning. In 2019, he received the ‘Quant of the Year Award’ from The Journal of Portfolio Management.

MARCOS LÓPEZDE PRADO

ADJUNCT PROFESSOR, FINANCIAL MACHINE LEARNINGCORNELL UNIVERSITY

KEYNOTE SPEECHESWEDNESDAY

JUNE 19 8:00 AM


XVAS: THEORY AND PRACTICE

9

Jean-Frederic is an Advisor to VersaQuant and an Investment Risk Manager in Dallas, Texas. Jean-Frederic has a career that spans +25 years in Risk Management and modeling. He spent 10 years with the ING in Canada and in the Netherlands where he worked in the Corporate Risk Management team as a Risk Officer and at ING Bank with the Variable Annuities Hedging Desk. More recently he worked in New York City at MathWorks as a MATLAB Financial Engineer and then at Moody’s as a Director in the Enterprise Risk Solutions team. Jean has a BSc. Maths from the University of Ottawa, Canada and an MBA in Financial Management from the Manchester Business School, UK.

KEYNOTE SPEECHES

JEAN DERMINE

Basel 4 regulations on capital, liquidity, interest rate risk and corporate structure have significant impact on strategy, long-term value creation, performance evaluation, advanced fund transfer pricing, product pricing and Asset & Liability Management (ALM). The digital revolution, competition from Fintech players, the ultra-low interest rate level insome countries and large economic and political uncertainty create headwinds.During the lecture, Professor Jean Dermine will discuss the content of his book Bank Valuation and Value-based Management (Mc Graw-Hill, 2nd edition, NY, 2015).

BANKING AND FINANCEINSEAD

TRENDS IN THE GLOBAL BANKING INDUSTRY

Jean Dermine (Belgian) is Professor of Banking and Finance at INSEAD and director of its Strategic Management in Banking and Risk Management in Banking senior executive programs. Author of numerous articles on sustainable growth and value-based Management in banking, Jean Dermine has published five books, including Bank Valuation and Value-based Management (deposit and loan pricing, performance evaluation and risk management), McGraw-Hill, NY, 2nd edition, 2015 (with translation in Chinese and Portuguese-Brazil). His work has been profiled in the international press, such as The Economist, Financial Times, New York Times or Wall Street Journal.

Jean Dermine was Visiting Professor at the Wharton School, at Lausanne, Louvain and Luxembourg, at CESAG in Dakar, the Stockholm Schools of Economics, and a Salomon Center Visiting Fellow at New York University. As a consultant, he worked with international banks, auditing and consulting firms, national central banks, European Central Bank, Bank for International Settlements, HM Treasury, the OECD, the World Bank, the European Commission, and the Mentor Forum for the US Supreme Court and the European Court of Justice.

THURSDAYJUNE 20 8:00 AM

With the dreams of Artificial Intelligence (AI) we have come a long way since the 1950s. AI, Predictive Modeling, Machine & Deep learning have started to percolate every aspect of finance. Two hot areas for adoption of these techniques ismodel validation and stress testing. With the onslaught of twitter increasing the volatility in our markets, newer companies are exploding on the scene with novel trading and risk management systemsthat utilize twitter in predicting volatility. One such system will be explored in this talk that allows companies to stress test their portfolio of products and get to expected returns in a more insightful way.

ARTIFICIAL INTELLIGENCE, MACHINE AND DEEP LEARNING IN TRADINGAND RISK MANAGEMENT

THURSDAYJUNE 205:45 PM

JEAN-FREDERIC BRETON

ADVISORVERSAQUANT

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KEYNOTE SPEECHES

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In the age of Twitter, Snapchat, Twitch, Google, Facebook, SEC filing and News how are you finding your alpha? With BCBS 239, SR 11-7, ECB Trim, CCAR, DFAST and other regulatory hurdles, how is your organization able to keep up with the fines for not adapting?

A McKinsey study showed us that the number of sophisticated models is rising at 10%-25% annually, how are your governance groups able to keep up with the onslaught of the regulation? Most financial organizations are drowning but I would like to argue that in this rare moment in history is where you have the opportunity to shine!

This talk focuses on painting a hopeful future in which Artificial Intelligence and Big Compute if done carefully can take your organization from technological follower to visionary leaders. In today’s age of information the volume, velocity and variety of the data is churning into our systems faster than we are able to process it. With Quants churning out models it is difficult to keep the parameters fresh to regime shifts. Our models look great in sample, but we struggle to make them truly work out of sample. With the explosion of high performance cloud computing, big data infrastructure you have an opportunity to take advantage of the biggest explosion of them all, the Big Compute.

In the age of information, you have an opportunity to not just survive, but to thrive and really change the way our markets work. The global markets are flattening giving us all equal opportunities to beat Wall Street at their own game. Mark Cuban said it best: “Artificial Intelligence, Deep Learning, Machine Learning – Whatever you’re doing if you don’t understand it – Learn It. Because otherwise you’re going to be a dinosaur within 3 Years”.

In this age of information, do not be afraid to fail but remember to fail fast and learn often.

Marshall Alphonso is a senior application engineer at MathWorks, specializing in the area of quantitative finance.

He hasover 7 years’ experience training clients at over 250 companies including top hedge funds, banks and other financialinstitutions.

Previously as advisor to the CRO of McKinsey & Co. Investment Office, he was responsible for the design and implementation of the fund liquidity framework, stress testing framework and a multitude of quantitative risk and investment tools in MATLAB®, enabling evaluation of exposures for risk & attribution.

He holds a B.S. in electrical engineering & mathematics from Purdue University and an M.S. in electrical engineering from George Mason University.

MARSHALL ALPHONSO GLOBAL LEAD ENGINEERMATHWORKS

AI, MACHINE LEARNING & DEEP LEARNING IN THE AGE OF INFORMATION

Attilio obtuvo un BA summa cum laude en Física de la Universidad de Milán, una Maestría en Economía de la Universidad Bocconi, un Doctorado en Matemáticas de la Universidad de Milán y es miembro fundador de CFA. Attilio habla fluidamente seis idiomas.

Attilio Meucci es el fundador de ARPM (Advanced Risk and Portfolio Management).

Attilio era el director de riesgos en KKR; el director de riesgos y director de construcción de cartera en Kepos Capital; el jefe global de investigación para la plataforma de análisis de riesgo y cartera de Bloomberg; un investigador en Lehman POINT; un comerciante en el fondo de cobertura Relative Value International; y un consultor en Bain & Co.

Attilio es el autor de numerosas publicaciones. Además de ARPM Bootcamp®, enseñó en Columbia-IEOR, NYU-Courant (Nueva York), Bocconi University (Milán) y NUS-Business School (Singapur), donde es Investigador Senior Visitante en CAMRI.

ATTILIO MEUCCI

ANNOUNCING THE ALLIANCE RISKMATHICS – ARPM


Marco Avellaneda was named 2010 Quant of the Year by RISK Magazine. He has been involved in teaching, developing and practicing quantitative finance for the last 15 years. He worked at Banque Indosuez as Consultant in FX Derivatives, then as a Vice-President in Fixed-Income Research at Morgan Stanley, as Quant Strategist at Gargoyle Strategic Investments, as Head of Volatility Arbitrage at Capital Fund Management, where he created the Nimbus Fund, and as Quant Equity Portfolio Manager at the Galleon Group. His interests — both practical and theoretical — are unabashedly focused on quantitative alpha generation.

He is known in academic finance as the inventor of the Uncertain Volatility model, for developing model-calibration algorithms using Weighted Monte Carlo / Max Entropy, for the theory behind dispersion trading, and for his more recent works on statistical arbitrage in the US equities market, high-frequency trading and price forecasting. A faculty member at the Courant Institute since “before the internet”, he teaches classes in Stochastic Calculus, Risk management and Portfolio Theory, PDEs in Finance and Quantitative Investment Strategies. He is in the editorial boards of Communications on Pure and Applied Mathematics, the International Journal for Theoretical and Applied Finance and Quantitative Finance and coauthored the textbook “Quantitative Modeling of Derivative Securities”.

MARCO AVELLANEDA COURANT INSTITUTE OF MATHEMATICAL SCIENCES NYU

THE RETURN OF VOLATILITY TO THE MARKETS

FRIDAYJUNE 20 8:00 AM

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KEYNOTE SPEECHES

ARPM FOUNDER

FUTURES AND OPTIONSRISKMATHICSHALL OF FAME

FUTURES AND OPTIONSRISKMATHICSHALL OF FAME

RiskMathics, congruente con su misión y el constante compromiso de crear, consolidar y de que hacer crecer los mercados, la disciplina de administración de riesgos, la industria de Asset Management y su Marco Regulatorio, a través de la capacitación de los profesionales que participan en el ecosistema financiero, ha decidido establecer a partir de este 2019 el “RiskMathics Futures & Options Hall of Fame”.

Este reconocimiento anual tendrá como objetivo principal honorar y reconocer a los Líderes que con su contribución hicieron detonar los mercados de Derivados OTC y listados en México (MexDer). Así mismo, reconocer que dichas contribuciones en materia operativa, regulatoria y de la misma estructura que vemos hoy, fueron el esfuerzo que ellos le dedicaron en su momento.

Esfuerzos, que actualmente los líderes que dirigen la industria, Heads de Trading, CROs, Reguladores y de la mano de expertos en tecnología, hacen realidad lo que vemos en los mercados de Derivados hoy en día. Se le debe a lo que estos Líderes y Profesionales consolidaron en estas últimas décadas y que representó en su momento de mucha estrategia, táctica e inteligencia para que hoy en día contemos con mercados de cobertura sólidos para que empresas e intermediarios financieros puedan protegerse de la fluctuación de las variables macroeconómicas.

RiskMathics, tiene en su misión, la constante labor de crear iniciativas que motiven a las nuevas generaciones para que participen en estos mercados. Materializando este tipo de esfuerzos que se han llevado en RiskMathics desde hace 14 años se tendrán mercados con mayor profundidad, liquidez y volumen.

En esta primera edición Futures and Options RiskMathics Hall of Fame se reconocerá a Líderes locales e internacionales que la industria les externa su agradecimiento y respeto.

Esta primera edición del Hall of Fame se llevará a cabo en el marco del Risk Management & Trading Conference el 19 de Junio del presente año. Únete con RiskMathics en esta magna es histórica celebración en donde hombres y mujeres nos han dejado su legado para seguir desarrollando nuestros mercados.

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Risk Management WorkshopsRM

TOPICS:

1. Financial Regulation 1.1. Bank for International Settlements (BIS). 1.2. Basel Committee for Banking Supervision (BCBS). 1.3. Risk-Weighted Assets and Regulatory Capital. 1.4. Minimum Capital Requirements. 1.5. Case Study: Barclays 2018. 1.6. The Three Risks: Credit Risk, Market Risk and Operational Risk. 1.7. The Three Accords: Basel I, Basel II and Basel III. 1.8. The Three Pillars: Pillar I, Pillar II and Pillar III.

2. Credit Risk. 2.1 The Three Key Elements of Credit Risk: Exposure, Loss Severity and Probability of Default. 2.2 The Three Approaches: 1.The Standardized Approach (SA). 2.The Foundation Internal Ratings-Based (FIRB) Approach. 3.The Advanced Internal Ratings-Based (AIRB) Approach. 2.3 Excel: SA, FIRB and AIRB. 2.4 Revisions to the Standardized Approach for Credit Risk (D347).

3. Counterparty Credit Risk. 3.1 Credit Risk Mitigation Techniques. 3.2 Collateral, Credit and Netting Risk in Derivatives. 3.3 Counterparty Credit Risk in Basel III. 3.4 Credit Valuation Adjustment (CVA). 3.5 Excel: The CVA of an Interest Rate Swap. 3.6 Review of the Credit Valuation Adjustment Risk Framework (D325).

4. Market Risk. 4.1 The Standardized Approach (SA). 4.2 Internal Models Approach (IMA). 4.3 Value at Risk (VaR) and Expected Shortfall (ES). 4.4 Excel: VaR and ES of General Electric Corp. 4.5 Minimum Capital Requirements for Market Risk (D352).

5. Operational Risk. 5.1 Basic Indicator Approach (BIA). 5.2 Standardized Approach (SA). 5.3 Advanced Measurement Approaches (AMA). 5.4 Standardized Measurement Approach (SMA) for Operational Risk (D355).

6. Regulatory Capital. 6.1 Tier 1, CET1, AT1 and AT2. 6.2 Leverage ratio under Basel III. 6.3 Case Study: Deutsche Bank.

7. Liquidity Risk. 7.1 Liquidity Coverage Ratio (LCR). 7.2.Net Stable Funding Ratio (NSFR). 7.3 Excel: Calculation of the NSFR. 7.4.Intraday Liquidity. 7.5. Basel III: The Liquidity Coverage Ratio and Liquidity Risk Monitoring Tools (BCBS238). 7.6. Basel III: The Net Stable Funding Ratio (D295).

WEDNESDAY JUNE 19 & THURSDAY JUNE 20DURATION: 14 HOURS

JW MARRIOTT SANTA FE HOTELBasel III to IV

ALONSO PEÑAUNIVERSITY OF CAMBRIDGE

Alonso Peña is a Mexican professor working now as Honorary Senior Visiting Fellow at the University of Cambridge and professor at the SDA Bocconi School of Management in Milan. He has worked for several years as a quantitative analyst for the company Thomson Reuters and for the banking group Unicredit Group in London and Milan.

He obtained his doctorate at the University of Cambridge in the United Kingdom, with a thesis on the numerical solution of partial differential equations, as well as the degree in Physics at the ITESM Campus Monterrey. He holds the Certificate in Quantitative Finance (CQF) of 7city Fitch Learning (London). He has taught at postgraduate and MBA level at the Universities of Cambride, Oxford, Bocconi, Bergamo, Castellanza, the European School of Economics and the Indian Institute of Quantitative Finance (Mumbai).

His area of specialty is that of mathematical finance, particularly mathematical models for calculating the price of financial derivatives. He has specialization and experience in Financial Regulation (Basel III / IV), Fundamental revision of the operations book (FRTB), Liquidity risk management (LCR, NSFR), Counterparty credit risk and XVA, Credit valuation adjustment (CVA), Credit Risk, Credit Derivatives, Monte Carlo Simulation, PDEs, Numerical Methods in Finance, Financial Derivatives, Market Risk (VaR and ES), Risk Budget and Risk Parity.

He taught internally at the European Central Bank, the European Commission, HSBC, BNP Paribas, UBS, RBS, Bank of England, Bank of Italy, HM Treasury, Tokyo Bank Mitsubishi, ING, European Investment Bank, European Investment Fund, De Nederlandsche Bank, Royal Bank of Sweden (Sveriges Riksbank), Nordic Investment Bank, among others. Alonso has published in the fields of quantitative finance, applied mathematics, neuroscience and the history of science.

He has been awarded with the Robert J. Melosh Medal (first place) of the DukeUniversity, USA, for the best work on the analysis of finite elements; as well as the Rouse Ball Traveling Studentship in Mathematics, Trinity College, Cambridge. Dr. Peña has visited as a researcher the Santa Fe Institute, USA, to study complex systems in the social sciences. He has worked at Nacional Financiera (1984-1988) and at the National Foreign Trade Bank (1989-1993) in the areas of Credit and Venture Capital. In the latter he served as Director of Special Projects.

In 1994 he joined the Mexican Association of Stock Exchange Intermediaries (AMIB), where he served as the Coordinator of the Money Market, Capital and Derivatives Committees. From 1983 to date, he has been a professor of mathematics and finance at Master and Bachelor levels at the Autonomous Technological Institute of Mexico (ITAM), the Universidad Iberoamericana and the Universidad Anáhuac. Likewise, he is the author of the books “Measurement and Control of Financial Risks” and of “Derivative Financial Products”.

OBJETICVE:

• Define economic and regulatory capital, CET1, AT1, T2, and capital buffers• Review the structure of the Basel III Accord• Analyze the definitions of risk-weighted assets for credit, market and operational risks• Understand the concept and application of counterparty credit risk and the credit

valuation adjustment (CVA)• Explore liquidity risk with the Liquidity Coverage Ratio and Net Stable Funding Ratio

COURSE DESCRIPTION:

The course is dedicated to risk managers, regulators, internal auditors, bankers and analysts, but is also appropriate for a wider audience who wish to gain insight into financial regulation and its importance for banks. The level of the course is intermediate and assumes only a basic understanding of accounting, financial products and banking functions.

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Behavioral Economics and the Bias of Risk

KELLY PETERS CO-FOUNDER AND CEO BEWORKS

Behavioral Economics Thought Leader, Entrepreneur, Professor & Author. As CEO and co-founder of the world’s leading behavioral economics firm, BEworks, Kelly Peters’ believes passionately that scientific thinking, properly applied, has the power to transform society. In her talks, Kelly analyzes our most intractable human problems with a behavioral lens and inspires audiences to develop solutions grounded in a scientific understanding of behavior. In addition to building a world-class team of scientists, one of the largest employers of psychologists in the commercial sector, Kelly developed the BEworks Method, a proprietary framework that fuses behavioral insights with the scientific method. Working alongside her firm’s co-founder, the legendary behavioral economist Dan Ariely, her approach has been applied to complex challenges at many of the world’s largest firms and government agencies. Pushing the boundaries between academic research and real-world application, she has overseen the launch of hundreds of field experiments and uncovered pioneering research on the factors influencing decision-making. Throughout her career, Kelly has led complex innovation projects and commercialized new ideas and concepts to disrupt traditional models.

Kelly is a sought-after keynote speaker, presenting at several TEDx events and is a featured speaker at World Business Forum (WOBI) conferences, globally. She has been featured in the New York Times, Fortune & Forbes. She teaches Applied Behavioral Science at one of the world’s top MBA programs at the University of Toronto’s Rotman School of Management, as well as regularly lectures at Cornell, Harvard, and other universities. She lives in Toronto with her daughter and her partner; they enjoy attending Burning Man and other artistic events around the world.

COURSE DESCRIPTION:

Knowing the correct course of action - stay the course, change directions, or stopping - is a process more difficult to make than meets the eye. The multiple biases than can skew the proper assessment of risk, malleability of risk appetite, and over and under-estimation of risk capabilities make the job of risk management more complex than ever. Behavioral Economics is the scientific study of human behavior and offers powerful new ways to approach human-centric challenges in risk decisions.

TOPICS:

1. The First Principles of BE.2. Behavioral Insights: Understanding the science of decision-making.3. Choice Architecture: Resolving the biases with Interventions to lead to better outcomes.4. Philosophy and Best Practices of Science and the impact to better decision making.

THURSDAY JUNE 2ODURATION: 7 HOURS

UP CAMPUS SANTA FE

OLGA RODRÍGUEZ SIERRA, PH.D.

Olga received her Ph.D. in Behavioral and Neural Sciences from Rutgers University where she focused on the neurobiological and behavioral aspects of emotions. Her work has spanned the USA, Mexico, Canada, and Europe where she has collaborated with interdisciplinary teams in the social and natural sciences. Olga’s academic research examines how the brain integrates emotional information and its effect on decision-making and behavior. At BEworks, Olga works in various projects related to financial decision-making, compliance, and risk helping clients integrate scientific thinking to their business challenges.

Juan holds a Masters and PhD in psychology from the Universidad de los Andes and a bachelor´s degree in Business Administration from Bryant University. At BEworks, Juan is head of Growth for LATAM and has worked applying principles and insights from the behavioral sciences to drive innovative solutions in the telecommunications, banking and transportation sectors. Prior to joining BEworks, Juan was head of AdCity at Havas Colombia. He also worked in logistics consulting in China. Juan's research focuses on signaling and has conducted studies on investor signaling within bubble expansions and in third person punishment paradigms.

OBJECTIVE:

Participants will learn the theoretical foundations and the principles of behavioral economics, with two focuses: a) the biases and heuristics that make humans predictably irrational, and b) the scientifically validated nudges and boosts that could lead to better decisions. Attendees will learn how to leverage scientific process to improve decision making and further explore how the combination of behavioral economics and science create powerful ways to drive innovation.

Breakout sessions will explore how to approach challenges and opportunities in Enterprise using the BEworks Method (tm).

JUAN SALCEDO, PH.D.-ABD

ASSOCIATEBEWORKS

ASSOCIATEBEWORKS

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Suresh has had an exemplary banking career spanning over 30 years, with some of the best-run organisations in the world including the World Bank Group, HSBC, ABN-AMRO, KPMG, and Fiserv. He recently retired from Kamakura Corporation where he was the Chief Risk Officer.

Suresh has comprehensive knowledge and insights on all aspects of risk, and in his various roles, has advised heads of Government, wholesale, commercial, and investment banks, corporate treasuries, insurers, and fund managers on all aspects of risk. His specialization is liquidity risk, and has authored several papers on liquidity-adjusted risk. His work on liquidity and its impact on market and credit risks have been acknowledged by industry professionals and peers alike.

Suresh ran a very successful campaign called ‘Another one bites the dust’ which looked at data from over 40 countries and tried to predict the next big default. He identified over two score organisations’ path to default before the actual event in a series of well-chronicled blog posts. Suresh has made a mark as a well-respected trainer on matters relating to risk, and has provided training workshops to regulators around the world, including with the Financial Stability Institute of the Bank for International Settlements where he is a featured speaker. He has provided training workshops to most European and Asian regulators, the Federal Reserve, several African Governments. He also has taught in several prestigious universities including the London School of Business.

Suresh holds a degree in Finance with a specialization in Mathematics and Accountancy, and is a qualified Chartered Accountant.

Capital Allocation and Economic Capital Management

SURESH SANKARANCEOSANKARAN CONSULTING

FRIDAY JUNE 21 & SATURDAY JUNE 22 DURATION: 16 HOURS

JW MARRIOTT SANTA FE HOTEL

LONA MOZUMDERHEAD OF SALES AND RELATIONSHIP MANAGEMENTTRIREDUCE

Lona Mozumder has been with TriOptima for 10 years and is the Head of Sales and Relationship Management, Americas, triReduce.

In her current role Lona is responsible for market expansion and penetration for all Americas Compression service for Rates, FX, Credit and Commodities in US, Canada and LatAM including Mexico, Brazil, Colombia and Chile.

Lona previously worked at BNP Paribas in Equity Derivatives and then at Citi in Credit Default Swaps as a vice president in derivatives trading and operations.

Lona is also a Board Member of Women in Derivatives, a 501(c)3 nonprofit organization whose mission is to attract, retain, educate and develop female leaders in the financial industry. She also serves as an officer, VP and heads their communication and digital strategy.

She received her bachelor’s degree from SUNY – Buffalo and a Masters degree from NYU(New York University) Stern School of Business.

TOPICS:

1. Collateral Management – Regulatory evolution and Industry practices a. The OTC derivatives international regulatory evolution b. The rationale behind the regulation c. CME Group (TriOptima) - Industry practice and the role of technology

THURSDAY JUNE 20DURATION: 4 HOURS

WESTIN SANTA FE HOTEL

2. Portfolio compression and optimization and it’s effect on regulatory capital a. TriOptima’s Portfolio compression is a very powerful tool that reduces notional and trade counts and helps: i. Reduces regulatory capital costs of maintaining a Swap portfolio ii. Minimizes operational resources and risks iii. Reduce counterparty exposures and open trading lines

Please join us in learning more on how we can help your institution keep your swap portfolio lean and low cost.

Capital Requirements and Regulatory Marginnew opportunities to drive OTC derivatives market efficiency

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CLAUDIO BARCHIESIRELATIONSHIP MANAGERTRIRESOLVE

Claudio Barchiesi has been with TriOptima for 5 years. Claudio current job title is Sales and Relationship Manager, Southern Europe and LATAM, triResolve. In his current role Claudio is responsible for market expansion and penetration for Southern Europe and LATAM Reconciliation and Collateral Management services.

Claudio has an extensive experience in both the Banking and Fintech industries having worked for UBI Banca in Hong Kong and Shanghai, Banca di Credito Cooperativo in Italy and ORC Software in the U.K.

Claudio received his bachelor’s degree in Economics and Finance at Università Politecnica delle Marche, Italy, where he also received a Postgraduate degree in Quantitative Finance.

Claudio, after two years of experience as Risk Manager at Banca di Credito Cooperativo, enrolled into a Masters degree in Econometrics and Finance at Queen Mary University of London completing his studies with academic Honours and Distinction of merit.

TOPICS:

1. The evolution of capital2. From RoE to RaPM3. Capital consumption in an organisation4. Various capital views - Treasury - Regulator - Investor / Shareholder - Risk management5. Capital allocation and its necessity6. Outlines of capital allocation models7. Exercises on capital allocation



COUNTERPARTY RISK AND CVA-XVA

ALONSO PEÑAUNIVERSITY OF CAMBRIDGE

Alonso Peña is a Mexican professor working now as Honorary Senior Visiting Fellow at the University of Cambridge and professor at the SDA Bocconi School of Management in Milan. He has worked for several years as a quantitative analyst for the company Thomson Reuters and for the banking group Unicredit Group in London and Milan. He obtained his doctorate at the University of Cambridge in the United Kingdom, with a thesis on the numerical solution of partial differential equations, as well as the degree in Physics at the ITESM Campus Monterrey. He holds the Certificate in Quantitative Finance (CQF) of 7city Fitch Learning (London).

He has taught at postgraduate and MBA level at the Universities of Cambride, Oxford, Bocconi, Bergamo, Castellanza, the European School of Economics and the Indian Institute of Quantitative Finance (Mumbai). His area of specialty is that of mathematical finance, particularly mathematical models for calculating the price of financial derivatives.

He has specialization and experience in Financial Regulation (Basel III / IV), Fundamental revision of the operations book (FRTB), Liquidity risk management (LCR, NSFR), Counterparty credit risk and XVA, Credit valuation adjustment (CVA), Credit Risk, Credit Derivatives, Monte Carlo Simulation, PDEs, Numerical Methods in Finance, Financial Derivatives, Market Risk (VaR and ES), Risk Budget and Risk Parity. He taught internally at the European Central Bank, the European Commission, HSBC, BNP Paribas, UBS, RBS, Bank of England, Bank of Italy, HM Treasury, Tokyo Bank Mitsubishi, ING, European Investment Bank, European Investment Fund, De Nederlandsche Bank, Royal Bank of Sweden (Sveriges Riksbank), Nordic Investment Bank, among others. Alonso has published in the fields of quantitative finance, applied mathematics, neuroscience and the history of science.

He has been awarded with the Robert J. Melosh Medal (first place) of the DukeUniversity, USA, for the best work on the analysis of finite elements; as well as the Rouse Ball Traveling Studentship in Mathematics, Trinity College, Cambridge.

Dr. Peña has visited as a researcher the Santa Fe Institute, USA, to study complex systems in the social sciences. He has worked at Nacional Financiera (1984-1988) and at the National Foreign Trade Bank (1989-1993) in the areas of Credit and Venture Capital. In the latter he served as Director of Special Projects.

TOPICS:

1. Riesgo de Crédito. • El crédito como un Asset Class. • Una breve historia del crédito. • ¿Flujos de caja: Riesgos?. • Probabilidad de Incumplimiento (PD). • Los modelos del Riesgo de Crédito. • Modelos estructurales. • Modelos de intensidad • EXCEL laboratorio: el modelo de Merton sobre la bancarrota

2. Derivados crediticios. • El mercado de los derivados crediticios. • Contratos con un activo subyacente (singlename). - Ejemplo: swap de incumplimiento crediticio, Credit Default Swap (CDS). • Contratos con múltiples activos subyacentes (multiname). - Ejemplo: Collateralised Debt Obligations (CDO).

3. Riesgo de contraparte. • Exposición: definición. • Exposición de la cartera. • Netting y Collateral. • Riesgo de correlación adversa (Wrong Way Risk). • Exposición Positiva Esperada (EPE). • Perfil temporal de la Exposición. • Ajuste de Valoración del Crédito, Credit Valuation Adjustment (CVA). • Caso de Estudio: Pykhtin and Zhu (2007). • Interest Rate Swap CVA (estático). • Tasas de interés spot y forward. • EURIBOR and LIBOR. • EURIBOR and LIBOR. • Acuerdo a Futuro sobre Tasa de Interés, Forward Rate Agreement (FRA). • Permutas de tasa de interés, Interest Rate Swap (IRS). • Perfil de Exposición: IRS (estático). • EXCEL laboratorio: IRS mark-to-market (estático). • EXCEL laboratorio: IRS CVA (estático).

4. Tasas de interés para el riesgo de contraparte. • La necesidad de los modelos sobre las tasas de interés. • Los modelos matemáticos sobre las tasas de interés. - Ejemplo: Hull-White model. - Ejemplo: LIBOR market model. • La simulación de Monte Carlo: tasas de interés. • EXCEL laboratorio: el modelo Hull-White. • EXCEL laboratorio: el LIBOR market model.

5. Interest Rate Swap CVA (dinámico). • Perfil de Exposición: IRS (dinámico. • La simulación de Monte Carlo: CVA. • EXCEL laboratorio: IRS mark-to-market.

GUSTAVO SANTANAEXECUTIVE DIRECTORERNST & YOUNG

Gustavo is responsible for the development of innovative solutions for clients of commercial and development banks, as well as cyber security and technological risk solutions. Gustavo has participated in projects of IT strategy, model development and information and technological risk management with an emphasis on standards compliance. He has extensive experience in project management of Technology Integration and Innovation for the telecommunications network security management, particularly in the analysis and design of security schemes, methodological specifications and practices for the implementations of security schemes, policies and mechanisms.

Gustavo served as Financial Consulting Senior Manager for PWC (2012-2017); he also developed technological consulting activities in Accenture (2008-2012), worked as Senior Researcher in the Mexican Institute of Petroleum, developing optimization models for the oil well drilling (2002- 2008), he was project coordinator of research and development of INAP systems (1999-2002), he was coordinator of distance learning and education unit of the Instituto Politécnico Nacional (IPN) (1997-1999), and, previously, he was the coordinator of the postgraduate telecommunications engineering program of the IPN (ESIME-Zacatenco, 1996-1997).

Gustavo is also visiting professor of institutions like Tecnológico de Monterrey (ITESM), Instituto Tecnológico Autónomo de México (ITAM), among others.

COURSE DESCRIPTION:The exploitation of computer vulnerabilities is increasing, as advanced adversaries become more numerous, more capable and much more destructive, organizations must be more effective in mitigating their information security risks at the enterprise scale.

This workshop covers the management of threats, presents the central components of thecomprehensive vulnerability assessment and provides the practical instruction needed to produce a vigorous defensive strategy based on advanced techniques of “hacking and penetration testing”.

TOPICS:

1. Methodology, Planning, and Threat Modeling. - High-value vulnerability assessments.2. Developing Transformational Vulnerability Assessment Strategies.3. Performing Enterprise Threat Modelling. - Discovery. - Vulnerability Scanning. - Validation.4. Incident Handling Step-by-Step and Computer Crime Investigation.5. Network Penetration Testing and Ethical Hacking. - Comprehensive Pen Test Planning, Scoping, and Recon. - In-Depth Scanning. - In-Depth Password Attacks and Web App Pen Testing. - Penetration Test & Capture-the-Flag Challenge.

WEDNESDAY JUNE 19 & SATURDAY JUNE 22DURATION: 15 HOURS

JW MARRIOTT SANTA FE HOTEL / UP CAMPUS SANTA FE

Cybersecurity and Hacking & Penetration Testing

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Balance Sheet Risk Management for Insurance Companies

PATRICIO BELAUNZARÁN ROMÁN TOLEDO PARTNER ERNST & YOUNG

MANAGING PARTNER CEDICE

He is partner at Actuarial Services practice in Ernst & Young Mexico. He is certified with the National College of Actuaries in the operations of life, property and accident and sickness, pensions derived from social security, and actuarial audit. He has 17 years of experience serving clients in the financial sector.

He has been the leader in all projects related to Solvency II and implementation of LISF for EY Mexico (gap analysis, methodology development, implementation, QA). He has given numerous conferences in national and international forums on issues related to options and guarantees, stochastic modeling, market consistency and various topics related to IFRS and Solvency II.

His experience includes also the technical reserves dictamination insurance institutions and determination of technical reserves under US GAAP and IFRS. He also has experience in the calculation and review of embedded value for insurance institutions and quantification of capital requirements arising from the actuarial risk. He has developed capital models performing the calibration of stress scenarios.

Fernando has a degree in Actuarial Science, he has a master’s degree in Insurance and Risk Management and studies of expertise in Financial Risk Management, all from the ITAM, and he is a professor of Solvency II at that institution, teaching modules of technical reserves and capital measurement. He is currently responsible for research on issues of IFRS for insurance contracts on the Mexican Association of Actuaries.

TOPICS:

1. Introduction.2. Portfolio Management: a general view.3. Risk Management: Introduction.4. Basic concepts of portfolio planning and construction.5. Investment regime of the CNSF.6. Risk and Portfolio Performance.7. Reserves and beginning RCS.8. Reserves general concepts.9. Concepts of economic capital.

Roman Toledo is CEDICE’s managing partner, a consulting firm that does investments advisory and financial consulting. As investments advisor he helps insurance companies in Solvency II items related with investments and Capital usage, improving portfolio strategies and enhancing processes to increase investments return and products profitability. As financial consultant he advices corporates to generate an efficient debt/capital structure to develop a long-term relation with institutional investors. He is currently a member of the Insurance Derivatives Certification Committee from RiskMathics, which is in charge of the certification of insurance professionals to trade derivatives. He also provides specialized investments training in topics such as Structured Finance.

Roman was Chief Investments Officer of MetLife Mexico where he was responsible for the planning, strategy and execution of investments. He managed assets over $137 billion pesos that included commercial loans and real estate mortgages, quasi-sovereigns, corporate, equity, private equity and structured finance including RMBS, CMBS, ABS, tollroad & infrastructure among others Roman was also Chairman of the Investments Committee of the Mexican Association of Insurance Institutions (AMIS), where he was in charge of negotiating changes to the insurance regulation seeking to modernize the sector. Among these changes he negotiated and implemented Solvency II in Mexico. He also worked for Scotiabank and Heyman y Asociados, S. C. (currently Franklin Templeton Investments), where he designed and managed investment portfolios and advised insurers and large treasuries.

TOPICS:

1. RCS.2. Assets Module.3. Liabilities Module.4. The RCS regulatory model.5. Replicating portfolios, needs and applications.6. What is a replicating portfolio?7. Theoretical framework and local application of the replicating portfolio.8. ALM in an insurer.9. PSD.10. Base scenario.11. Definition of stress.

FRIDAY JUNE 21 & SATURDAY 22 JUNE DURATIÓN: 12 HOURSUP CAMPUS SANTA FE

Automated & Innovative Risk Management (Insurance)

RODRIGO ABURTOPARTNER ERNST & YOUNG

WEDNESDAY JUNE 19DURATION: 7 HOURS


Rodrigo Aburto Escandón, Consulting and Financial Services Partner in Mexico and Latin America, focused on the insurance sector. Rodrigo holds a B.S. in Actuarial Sciences from the Universidad Nacional Autónoma de México (UNAM), a Masters in Digital Transformation from the Universidad de Barcelona, a Masters in Artificial Intelligence and a Diploma in Strategy and Leadership from Harvard University.

He is certified as Agile SCRUM Master and Design Thinker. His field of expertise focuses on strategy, clients, transformation and alignment with the human, operative, technological and regulatory dimensions.

He has over 20 year of experience, working primarily with insurance institutions as consultant and officer.

OBJECTIVE:

• Establish a theoretical framework for new technologies and how they are transforming• risk roles.• Present case studies (in various processes) on Robotics and AI applications.• Provide a toolkit (open source) to benefit from this new technologies.

COURSE DESCRIPTION:

• The course will follow an approach that goes from the general to the particular:• General Introduction.• Risk specific.• ¿Applied Robotics? Case studies.• ¿Applied Artificial Intelligence? Case studies. • Download Anaconda/Python.• Artificial Intelligence Exercise for Risks using Jupyter (do-it-yourself).

TOPICS:

1. Digital Transformation Application in Risk Prevention and Management.2. Technological Disruption for Risk Assessment.3. Robotics 1.0, 2.0, 3.0 and its Applications in Risk Functions.4. Artificial Intelligence Application in Risk Assessment.



TOPICS:

Part 1: Portfolio Optimization, Risk Management, and more using MATLAB• Build an optimal portfolio using MATLAB.• Evaluate and backtest market risk in MATLAB – [Extreme Value Theory] GARCH,

Copula & Pareto tail distribution fitting.• Credit risk analysis using Monte Carlo methods.• Predicting credit losses for counterparties using Copulas.• Develop graphical applications in MATLAB and deploy them to your end users.• Develop interfaces in Excel using MATLAB developed functionality.• Build and deploy MATLAB Apps to the web.

Part 2: Machine Learning and Big Data Analytics using MATLAB• Data management and integration with databases, live market data, and big data

environments• Dealing with out-of-memory data (big data) using Parallel Computing techniques• Using Neural networks, deep learning, supervised and unsupervised machine learning

techniques to enhance traditional Financial modeling approaches• Identifying Alpha or risks stemming from unstructured data like News or Twitter using• NLP, specifically Sentiment Analysis and Topic Modeling

Alex is a Computational Finance Application Engineer at MathWorks, an advisor to the financial services industry. Graduated from the Georgia Institute of Technology, in Computer Science, with an emphasis in Modeling and Simulation. Alex has extensive experience working closely with Central Banks in North America, advising them to improve their modeling and performance capabilities through the use of technologies ranging from Machine Learning to Cloud Computing.

COURSE DESCRIPTION:

Part 1:Many banks, asset managers, supervisors, and insurers are using more advanced technological approaches for capital requirements regimes such as stress test infrastructures for regulatory requirements, market risk, credit risk, operational risk, and compliance and fraud monitoring. Learn how MATLAB is being used by mathematicians, quants, data scientists, and others to perform risk calculations that are faster than spreadsheets. With these tools, you can create models more quickly than in C++, with greater transparency and customization than black box products, and with greater quality and consistency than open source applications.

Part 2:At the heart of many financial applications are machine learning techniques used for riskclassification, economic analysis, credit scoring, time series forecasting, estimating defaultprobabilities, and data mining. Big data represents an opportunity for quantitative analysts and data scientists alike to impact the way organizations make informed business decisions. By building machine learning models that harness big data, a greater level of insight and confidence can be achieved. MATLAB minimizes challenges in the machine learning space by providing you with a number of built-in functions and tools for quick prototyping, integration, and scaling, to take you from initial prototype all the way to business-critical production system.

ALEX LINKCOMPUTATIONAL FINANCE APPLICATION ENGINEERMATHWORKS

WORKSHOP EN INGLÉS In this session, we will introduce ways of working with big data systems, the different types of machine learning techniques in MATLAB, how to determine the best techniques for your problem by evaluating model performance, and rapidly deploying your machine learning models into production. We will cover several new workflows and data types in MATLAB and the toolboxes that have been designed to address the most common challenges with big data analytics and machine learning.

MATLAB DAY Portfolio Optimization, Risk Management, Machine Learning and Big Data Analytics

Liquidity Risk

SURESH SANKARANCEOSANKARAN CONSULTING.

Suresh has had an exemplary banking career spanning over 30 years, with some of the best-run organisations in the world including the World Bank Group, HSBC, ABN-AMRO, KPMG, and Fiserv. He recently retired from Kamakura Corporation where he was the Chief Risk Officer.

Suresh has comprehensive knowledge and insights on all aspects of risk, and in his various roles, has advised heads of Government, wholesale, commercial, and investment banks, corporate treasuries, insurers, and fund managers on all aspects of risk.

His specialization is liquidity risk, and has authored several papers on liquidity-adjusted risk. His work on liquidity and its impact on market and credit risks have been acknowledged by industry professionals and peers alike.

Suresh ran a very successful campaign called ‘Another one bites the dust’ which looked at data from over 40 countries and tried to predict the next big default.

He identified over two score organisations’ path to default before the actual event in a series of well-chronicled blog posts. Suresh has made a mark as a well-respected trainer on matters relating to risk, and has provided training workshops to regulators around the world, including with the Financial Stability Institute of the Bank for International Settlements where he is a featured speaker.

He has provided training workshops to most European and Asian regulators, the Federal Reserve, several African Governments.

He also has taught in several prestigious universities including the London School of Business. Suresh holds a degree in Finance with a specialization in Mathematics and Accountancy, and is a qualified Chartered Accountant.

TOPICS:

Understanding the nature of liquidity risk • Definition, understanding of liquidity • Pools of liquidity, and illiquid assets • Market conventions Building a framework for liquidity management • Mismatch approach • Foreign currency liquidity management • Internal controls for liquidity risk management: stress testing • Internal controls for liquidity risk management: scenario analysisLiquidity contingency planning • The need for contingency planning • Written contingency plans • Crisis management plans for assets • Crisis management plans for liabilities • Internal and external communications • Other crisis management issuesLiquidity stress-testing • Why stress test liquidity • General considerations • Empiricism versus rocket science • Current stress test priorities • Assumption sensitivity • Additional considerationsMeasuring market risk – Liquidity adjusted Value at risk (LVaR) • Definitions • Using liquidity-adjusted VAR to manage risk • Limitations of standard VAR measures to assess liquidityThe incorporation of credit in the liquidity risk framework • Cash-flows adjusted for credit • The recovery process • Credit in funding and market liquidity • Credit-adjusted liquidity analytics Northern Rock – A case study on liquidity •What caused the failure of Northern Rock • The structure of syndication, securitisation, and so many other ions • The history of Northern Wreck



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COURSE DESCRIPTION:

Liquidity risk is fundamental to the management of every financial operation. This ground-breaking course will teach you the best proactive methods for measuring and managing liquidity risk in today’s turbulent market environment.

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CHRISTIAMS VALLEHEAD OF OPERATIONAL RISK PREVENTION TELEFONICA PERU

Risk of Fraud in Financial Institutions

Leader with over 25 years of experience in Operational Risk, Risk and Fraud Prevention, Project Management, and Transformation Processes in the digital era. Graduated in Business Administration and holds an MBA from EUDE Business School. For the last 17 years of professional activity he has served in the Telecommunications industry, being in charge of commercial projects, the Operational Risk department, and directly participating in cross-cutting projects of digital transformation.

Christiams is an international speaker, specializing on Operational Risk and Fraud in Telecommunications. Over the last 6 years he has participated in more than 15 international events related to the Telecommunications industry. Currently he serves as Head of Operational Risk Prevention in Telefónica of Peru.

COURSE DESCRIPTION:

This course is addressed to all professionals directly or indirectly linked to the commercial process activities; that is to say, it includes all officials from the ones that have the product creation responsibility to those that maintain a close link with the commercialization chain, despite the role they play in their companies.

OBJECTIVE:

The goal is to provide all participants with the knowledge and skills required to facilitate the development of strategies, allowing them to be prepared for establishing an appropriate risk management framework in the commercial processes of a business that will enable executives and employees to take in risks in the decision making process, which will be align with the achievement of strategic objectives, taking into account the commercial process as one of the business main axes.

TOPICS:

• Basics. - What is a Fraud? - Most common kinds of banking Fraud. § Loss or Theft of Cards. § Duplicate or Skimming. § Data theft. § Identity impersonation. § Change of Identity. § Internal Fraud. - The sequence of a Fraud.• Main Fraud indicators in the region.• The appropriate environment for the Fraud, external and internal agents.• The profile and motivations of the Fraudster.• Safe processes, control mechanisms against Fraud.• Key Risk Indicators / Red Flags against Fraud.• Implementing a Risk of Fraud matrix.• Hands-on exercise for building a matrix.• Using technology as an ally against Fraud.• Successful cases using biometrics, digital contracts, etc.• Conclusions.

FRIDAY JUNE 21 & SATURDAY JUNE 22DURATIÓN: 16 HOURSUP CAMPUS SANTA FE

He currently serves as Executive Director of Special Projects at Grupo Financiero Banorte. Previously he was the Corporate Director of Special Projects in the area of Strategy and Institutional Relations of Grupo Financiero Interacciones.

He also served as Director General of Social Communication and Institutional Relations of the Institute for the Protection of Bank Savings (IPAB). He studied the Masters in Administration and Public Policies at the Columbia University in New York, for which he received the Fulbright scholarship.

He holds a degree in Public Administration with a specialization in Economics and Finance from UNAM, where he graduated with honors. He studied at the University of Oxford in the United Kingdom, the Polytechnic University of Madrid and the ITAM, among other institutions. He has held teaching activities at the Universidad Panamericana, ITAM, and Universidad Anáhuac with RiskMathics.

He worked in various public and financial sector institutions since 1989, as an Institutional Investor Inc. in New York City; the Ministry of Finance and Public Credit; and the Bank of National Savings and Financial Services (Bansefi).

COURSE DESCRIPTION:

The financial business is based on trust and credibility, as well as on a balance between return andadequate risk management. Currently, Reputational Risk represents the most complex risk ofmodeling and one of the most difficult to cope with the emergence of new media and communication and interaction platforms.

TOPICS:

1. Current context of communication in financial markets.2. Approaches to Reputational Risk.3. International regulation on RR matters.4. Emblematic cases and best practices for RR management.5. Financial communication and crisis management.6. Financial communication skills applied to Risk Management.

Reputational Risk and Financial Communication

CORPORATE DIRECTOR SPECIAL PROJECTSBANORTE

ALEJANDRO OSORIO

OBJECTIVE:

Provide knowledge about the main conceptual and practical aspects, case studies, as well as the best international practices in the field of Reputational Risk management and financial communication.

The seminar will provide participants with tools to strengthen the reputation of a financial institution in times of normalcy, as well as strategies to mitigate the erosion of the most valuable and complex intangible assets of an organization: reputation, trust and franchise value.



Financial markets have more and better information, which is dispersed at breakneck speed, which is why a timely response capacity and greater sophistication by risk managers, senior management of institutions and authorities is indispensable. In a highly interconnected and competitive global environment, with increasingly sophisticated information technologies, Reputational Risk represents the emerging challenge for financial institutions and their managers; its management is fundamental for the survival and growth of these.

The ALCO Challenge: The new role of the Asset & Liability Management in the FinTech Frontier

JEAN DERMINEBANKING AND FINANCEINSEAD

Jean Dermine (Belgian) is Professor of Banking and Finance at INSEAD and director of its Strategic Management in Banking and Risk Management in Banking senior executive programs. Author of numerous articles on sustainable growth and value-based Management in banking, Jean Dermine has published five books, including Bank Valuation and Value-based Management (deposit and loan pricing, performance evaluation and risk management), McGraw-Hill, NY, 2nd edition, 2015 (with translation in Chinese and Portuguese-Brazil).

His work has been profiled in the international press, such as The Economist, Financial Times, New York Times or Wall Street Journal. Jean Dermine was Visiting Professor at the Wharton School, at Lausanne, Louvain and Luxembourg, at CESAG in Dakar, the Stockholm Schools of Economics, and a Salomon Center Visiting Fellow at New York University.

As a consultant, he worked with international banks, auditing and consulting firms, national central banks, European Central Bank, Bank for International Settlements, HM Treasury, the OECD, the World Bank, the European Commission, and the Mentor Forum for the US Supreme Court and the European Court of Justice.

COURSE DESCRIPTION:

Fintechs and digital disruption with new payment tools, neo-banks and peer-to-peer (P2P)lending call for modern Asset & Liability Management (ALM). Basel 3/4 regulations on capital, liquidity, interest rate risk and corporate structure have significant impact on strategy,sustainable value creation, performance evaluation, advanced fund transfer pricing, and product pricing. The objective of the workshop is to review ALM in this fast changing banking world.

TOPICS:

DAY 11. Value Creation, Profit Center and Foundation FTP.2. ALCO Challenge Decision 13. Digital Payment, Neo-banks and Advanced FTP.

DAY 2.1. ALCO Decision 22. Credit Risk and Peer-to-Peer Lending (P2P)3. ALCO decision 3

DAY 3.1. Interest Rate and Liquidity Risk with Neo-banks and Fintech disruption2. ALCO decision 43. ALCO decision 5.Results: Cheers and Sorrow



2020

Risk culture

Gustavo has a PhD in Business Administration, specialized in Finance (Universidad Nacional Autónoma de México, with honorable mention), Master of Financial Risk Administration (Reading University, England), he has a bachelor’s degree in Economics (Universidad Autónoma Metropolitana) and also a bachelor’s degree in Administration (Universidad La Salle). His research lines are related to Financial Risk Administration, Financial Regulation and Risk Modelling.

Currently, he is Chief Risk Officer at Tresalia. Before that, he was Risk Director at Metlife, where he was responsible for financial risks as well as the compliance of Solvency 2 project.

Previously, he was Risk Consulting Director at PWC; Risk Analytics and Portfolio Management Director at GE Capital and Risk Strategy Head at HSBC, where he worked for 8 years.

OBJECTIVE:

To analyze the trends under which the Global Financial Institutions are planning the Risk Culture within their organizations and understand the challenges that the control areas and, especially the CRO and Senior Management, are currently facing and how they strengthen their control environment.

COURSE DESCRIPTION:

Risk Culture is a recent topic within organizations and aims to align institutional objectives (mainly strategic and business) with a vision of protection, governance and prudential risk management. There is a growing concern for the control areas about how uncertainty and misaligned incentives may lead organizations to neglect their risk profiles due to the relentless search for profitability.

TOPICS:

1. Risk Culture in Financial Institutions2. Three lines of defense model.3. Risk Administration role and CRO challenges.4. Risk Culture reinforcement main activities and risk appetite. 5. Risk Culture key indicators. 6. Decision taking and control equilibrium within organizations.7. Risk Governance vs. Corporate Governance.8. Risk Culture from a regulatory point of view.

GUSTAVO FUERTESCROTRESALIA



As the banking world is shifting from an overriding concern for growth to a preoccupation with sustainable value creation and risk control, knowledge of Asset & Liability Management is a necessity for all bankers accountable for the results of a profit center.

ALM is a tool that ensures that decision making, risk-taking and performance evaluation are consistent with the corporate objectives set by senior management and the board, and the regulatory constraints imposed by central banks. The applied setting of the ALCO Challenge simulation and group work help greatly to experience in a transparent way many leadership issues encountered in modern Asset & Liability Management.

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Trading and Quantitative Finance Workshops

Jean-Frederic is an Advisor to VersaQuant and an Investment Risk Manager in Dallas, Texas. Jean-Frederic has a career that spans +25 years in Risk Management and modeling.He spent 10 years with the ING in Canada and in the Netherlands where he worked in the Corporate Risk Management team as a Risk Officer and at ING Bank with the Variable Annuities Hedging Desk. More recently he worked in New York City at MathWorks as a MATLAB Financial Engineer and then at Moody’s as a Director in the Enterprise Risk Solutions team. Jean has a BSc. Maths from the University of Ottawa, Canada and an MBA in Financial Management from the Manchester Business School, UK.

Darshan heads Product Research and Development in VersaQuant in New York, NY. Darshan has a career in Quantitative Finance, Algorithm development, and Statistical Modeling. He spent 4+ years working in finance at Mckinsey and Company. Previously, heworked at Bell Labs and MathWorks in Statistical Signal Processing and Financial Engineering. Darshan has a BS in Electrical Engineering specializing in Signal Processingfrom Purdue University and graduate work from Columbia University.

JEAN-FREDERIC BRETONADVISORVERSAQUANT


UP CAMPUS SANTA FE

AI, Machine & Deep Learning for Executives

DARSHAN PUNGALIYA PRODUCT RESEARCH AND DEVELOPMENTVERSAQUANT

TOPICS:

1. Introduction to Machine Learning - Python, MATLAB, R - Visualizing financial data and communicating a story - Supervised vs. Unsupervised learning

2. Feature engineering - PCA – Yield curve modeling - High Yield Bond Modeling - Stress testing a Bond Portfolio

3. Supervised Learning - Linear models in Finance – Portfolio Management & Benchmarking - Decision trees in Finance – Credit Risk modeling

4. Unsupervised Learning - K-means Clustering – Decomposing volatility

5. AI for trading (QBot) - Technical analysis for trading – Genetic Algorithms - Neural Networks – Deep Learning for Trading

6. Case Study – Real trading algorithm

7. Model Governance



Giovanni Negrete is currently responsible of the xVA desk (Credit Valuation Adjustment (CVA), Debit Valuation Adjustment (DVA) and Liquidity Valuation Adjustment (LVA)) in Banco Santander Mexico. Previously, he was in the same desk at Santander Global in the Madrid office. Before Santander, he was Senior Trader of the Exotic Options Trading books in Banesto.

Giovanni holds a Ph.D. in Applied Statistics to Economics from the UNED in Spain, he holds a Master`s degree in Quantitative Finance from the Escuela de Analistas Financieros Internacionales (AFI) and a Master`s degree in Economic Analysis and Financial Economics from the Universidad Complutense in Madrid.

OBJECTIVE:

Explain and discuss possible adjustments in the valuation of derivatives resulting from funding and capital consumption.

COURSE DESCRIPTION:

The need or justification of incorporating, in the valuation of derivatives, additional adjustments to the ones currently made for credit risk will be introduced, through the explanation of practical concepts.

TOPICS:

1. Capital Value Adjustment (KVA): a. What is the capital? b. KVA by replication and different approaches. c. KVA vs. minimum profitability measures. d. Cost of capital.2. Funding Valuation Adjustment (FVA): a. What is FVA? b. FVA by replication. c. Derivatives funding sources. d. Collateralized curves and collateral value adjustment (CollVA). e. Incorporation of FVA in the valuation.

GIOVANNI NEGRETECVA-XVA TRADERSANTANDER GLOBAL BANKING

KVA (Capital Valuation Adjustment) and FVA (Funding Value Adjustment): Pricing and Hedging

Convertible Bonds and other Hybrid Instruments

Izzy Nelken is the President and Founder of Super Computer Consulting, Inc. His firm specializes in the research, application, implementation, and exposition of complex derivatives, structured products, risk management, and hedge funds.

Since its founding in 1997, Izzy’s firm has many consulting clients globally, including several regulatory bodies, major broker-dealers, large and medium-sized banks, as well as hedge funds.

Izzy has extensive experience with complex financial instruments, and is adept at explaining their intricacies to wide ranging audiences.

In addition, Thomson Reuters has licensed ConvB, the convertible bond model designed and programmed by Izzy’s company and it is currently featured on their flagship product, Eikon.

From 2006 – 2009, he was a partner of JDI Alpha Advisors, LLC, a long-short equity market neutral hedge fund. As for teaching, Izzy since 1997 to 2013, was a lecturer Master of Science in Financial Mathematics (MSFM) program, Mathematics Department, University of Chicago.

And since 1997 to 2015, has taught numerous courses, seminars, lectures, and talks at various banks, regulatory bodies including the Federal Depositors Insurance Corporation (FDIC), and professional seminars around the world on a variety of topics related to mathematical finance.

These presentations are known for combining cutting edge analytics with real world applications and intuitive examples with minimal math.

Academically, Izzy earned his B.Sc. in Mathematics and Computer Science from Tel-Aviv University in 1984, his M.Sc. in Computer Science and his Ph.D. in Computer Science from Rutgers University in 1986 and 1989, respectively.

From 1989 through 1991, Izzy completed a post-doctoral fellowship at the Computer Science Department of The University of Toronto.

Izzy has written/edited eight books in mathematical finance, several of them specifically on the topic of options. He is a member of Cboe’s Product Development Committee.

His contributions to the financial field also include his activities as a member of the Chicago Board Options Exchange (Cboe) Product Development Committee. Additionally, Izzy was a director of the CFE (Chicago Futures Exchange).

IZZY NELKEN PRESIDENT AND FOUNDERSUPER COMPUTER CONSULTING, INC.

WEDNESDAY JUNE 19 & THURSDAY JUNE 20DURACIÓN: 14 HORASUP CAMPUS SANTA FE

TOPICS:

Hybrid InstrumentsIntroduction to convertible bonds and other hybrid instruments

Convertible Bonds in DetailWe look under the hood of a convertible bond

The Convertible Bond Investor and SpeculatorSeveral groups invest in convertibles bonds, each looking for different qualities

• Investment managers• Hedge funds• What is important to investors in different regions of the world?• How to design and market convertibles to each type of investor• What happens in case of issuer default

The IssuerWhat type of issuer issues convertibles

Relative valueWhat are the measures of value for convertiblesBuilding a portfolio of convertiblesBasic risk management techniques for convertibles

HedgingLong a convertible bond and short sharesPricing Methodologies for Convertible BondsAn introduction to pricing theory

Dual Currency ConvertiblesSpecial issues relating to dual currency convertibles

Structured Finance for Hybrid Securities (from Concept to Cusip)

Special Features

• Reset convertibles: their analysis and features• Convertibles with a takeover ratchet• Make whole convertibles

ExamplesIn this workshop we cover examples of hybrid instruments and see how they are analyzed

Some of the products to be covered include:

• Mandatory convertibles• Convertible Bonds• Convertible Preferred Shares• Takeover ratchet

ConclusionWhat is the future of the market?

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OBJECTIVE:

Participants will understand the main principles of convertible bonds valuation considering the credit risk associated with the spread levels of the issuing company.

The course will cover different types of issues available in the market, and will provide an overview of credit derivatives that can be used to reveal the credit risk associated in the issuance of convertible bonds. Participants will also understand the relationship between credit risk instruments and fixed income instruments through the information contained in the risk factors available in the market.

TOPICS:

1 Introduction. 1.1 Convertible Bonds Market. 1.2 Characteristics, and most common Terms and Conditions. 1.3 Risk Factors of a Convertible Bond.2 Credit Risk on Corporate Bonds. 2.1 Credit Risk as Risk Factor. 2.2 Data Sources: Bond Spread and CDS Spread. 2.3 Single-name CDS. Contracts and Standard Conventions. 2.4 CDS Contract Standard Valuation Method. 2.5 Probability of Default and Model Calibration for Credit Risk.3 Convertible Bond Valuation Method. 3.1 Valuation Methods Evolution. 3.2 Binomial Method with Credit Risk using CDS Spreads. 3.3 Market Data as Factors. 3.4 Incorporating Terms and Conditions. 3.5 Example: Valuation using Excel.4 CoCo - contingent convertible. 4.1 Brief history of the evolution of CoCos. 4.2 Definitions and particularities. 4.3 Most common structure and classification. 4.4 Formulation of a valuation model for CoCos.5 More about credit derivatives and their risk. 5.1 What is an Index CDS or CDX? 5.2 Standard conventions and terminology. 5.3 Characteristics of a CDX contract. 5.4 Basis of valuation of a CDX contract.

Convertible Bonds, CoCos and Credit Risk

Liber Jaime is Vice President at JP Morgan Asset Management, New York; currently he is Senior Quant in the Risk Analytics team, in charge of developing and implementing valuation models and methodologies for quantifying risks. Liber specializes on fixed income and credit derivatives, and has professional experience in the international and Mexican financial sector, and the Mexican public sector. He is also a guest member of the working group for the Financial Education in Mexico by the British Embassy sponsored by the Prosperity Fund, Mexcian Chapter.

As part of his professional experience he has served as Risk & Portfolio Analytics Consultant at MSCI RiskMetrics advising several of the biggest Asset Managers in the industry (based on their assets managed in U.S.) on the use and deployment of risk models and on the best practices for estimating financial risks.

In Mexico, he has served as risk management specialist in the AFORES (pension funds) market and he has worked at the Federal Electricity Commission quantifying and analyzing market risk and documented debt cost, and working on the financial valuation of projects and capital spending.

Liber is an Actuary from the ITAM (Instituto Tecnológico Autónomo de México), he holds a Master of Finance, with Honors, from Hult International Business School in London. He enjoyed a grant from Mansion House Scholarship Scheme in London City. He has also studied courses on Project Valuation, Derivatives Valuation, Risk Management, Financial Markets Regulation, among others, at ITAM, Mexican Stock Exchange Group, RiskMathics, etc.

LIBER JAIMEVICEPRESIDENT, RISK ANALYTICSJP MORGAN ASSET MANAGEMENT

COURSE DESCRIPTION:

Convertible bonds are instruments that provide investors with exposure to the equity´s priceappreciation of the issuing company, while protecting the capital as fixed income instruments. Although it seems just one of the fixed income instruments, its valuation is complex and requires a detailed understanding of all its risk factors to be able to identify and quantify potential losses of value.

FRIDAY JUNE 21 & SATURDAY JUNE 22DURATION: 16 HOURS

WESTIN SANTA FE HOTEL / JW MARRIOTT SANTA FE HOTEL

Deep Learning with Python

José Antonio has more than 10 years of experience working for some of the most importantfinancial institutions in the world such as Citigroup, Barclays, Natixis and Societe General.

Where he has performed several functions in sales & trading and quantitative analysis. Currently, Jose Antonio is in charge of the area of sales in FICC for institutional investors in Latin America.

José Antonio is also founder of Blero, a company whose objective is to facilitate the production of web applications for data science.

José Antonio studied Actuary at ITAM and has a master & degree in engineering from Columbia University. José also has extensive studies in economics and advanced econometrics at the University of the City of NY.

OBJECTIVE:

The objective of this workshop is to familiarize the participant with tools used in Deep Learning such as Tensor Flow and Keras. In the workshop we will review the basic concepts of neural networks and extend them to more complex networks such as CNN and RNN looking for. The course requires basic knowledge of Python.

TOPICS:

1. IIntroduction to neural networks and tensor flow.2. Basic uses of tension flow.3. Tensor flow with basic neural networks.4. Tensor flow with complex neural networks such as CNN and RNN and reinforced

learning.5. Use of Keras in deep learning

FRIDAY JUNE 21 & SATURDAY JUNE 22 DURATION: 16 HOURSUP CAMPUS SANTA FE

JOSÉ ALATORRESOCIETE GENERALE CORPORATE AND INVESTMENT BANKING

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WESTIN SANTA FE HOTEL / JW MARRIOTT SANTA FE HOTEL

Derivatives and Corporate Finance

DAVID SHIMKONYU TANDON SCHOOL OF ENGINEERING

Dr. David Shimko´s career has spanned academics, practice and consulting. He has served on the finance faculty of Northwestern University, Harvard Business School, University of Southern California and currently teaches financial engineering at NYU Tandon. As a practitioner, Dr. Shimko was head of Commodity Derivatives Research and Risk Management Research at JPMorgan.

He ran a corporate client risk advisory function at Bankers Trust, and has worked as an independent consultant with Risk Capital and Winhall LLC since 1999. His clients have included many of the largest commodity firms in the world, as well as exchanges, banks, asset managers, and sovereign entities.

He holds three issued patents in credit risk management, and has written extensively in the areas of commodities, credit, risk-based valuation and corporate risk management generally.

TOPICS:

1. Cash flow valuation using derivatives techniques.2. Modeling the risk Premium.3. Recovering risk-neutral and actual probability distributions.4. Simulation techniques calibrated to all observed data.5. Alternatives to NPV: Pricing total risk.6. Stochastic corporate pro-forma modeling.7. Real options and capital budgeting. 8. Capital structure and security selection.9. Corporate risk management policy.10. Case studies.



Andrés is an EM Quant Strategist at Morgan Stanley. Based in New York, he is responsible for covering EM countries with specific focus on Quant research and LatAm local rates and currencies.

Andres joined Morgan Stanley in 2017 from Barclays. Prior to that, Andrés worked for the Central Bank of Mexico, where he held several positions such as the Head of the Strategic and Tactical Asset Allocation teams as well as the Head of the FX and Commodities trading desk.

In his latest position at the Central Bank, Andrés was responsible for the quantitative and qualitative research applied to investment and execution strategies of the international reserves portfolio of México worth 195 bn USD. Furthermore, he is a contributor for Reforma Newspaper in Mexico and has lectured undergraduate and graduate courses in Finance and Econometrics at ITAM.

Andres holds a M.A. in Mathematics of Finance from Columbia University in New York and a B.A. in Economics from ITAM University in Mexico City.

Emerging market strategy: Quant Approach

ANDRÉS JAIMEEM QUANT STRATEGISTMORGAN STANLEY

TOPICS:

1. Detecting Regime Shifts in risk appetite2. Assessing value in EM FX3. Systematic Strategies in EMFX4. Assessing value in EM Rates5. Option Implied distributions in EMFX

COURSE DESCRIPTION:

As Emerging Markets have become an established asset class, the application of quant tools has become widespread. Longer time series are now available, while the quality of the data has increased along with better liquidity in EM.

I will discuss valuation in FX markets, measuring idiosyncratic risk-premia in local assets, correlations of EM to systemic risk and interpretation of the volatility smile from a probabilistic perspective. We will cover systematic trading strategies in EM, local markets and credit.

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Energy Derivatives: Pricing, Hedging and Trading

DAVID SHIMKONYU TANDON SCHOOL OF ENGINEERING

TOPICS:

1. Laws of motion for energy futures prices2. Dealing with seasonality3. Pricing models for traded energy options4. Basis models5. “Exotic” exchange traded options – Spreads, Asians6. Static and dynamic trading strategies7. Trading strategies to recover the oil and oil option risk premium8. Physical energy options: Supply, transport and storage



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Life after LIBOR: The Birth of New Rate Benchmarks

FABIO MERCURIOGLOBAL HEAD OF QUANTITATIVE ANALYTICSBLOOMBERG L.P.



Fabio is global head of Quantitative Analytics at Bloomberg LP, New York. His team is responsible for the research on and implementation of cross-asset analytics for derivatives pricing, XVA valuations and credit and risk management.

Fabio is also adjunct professor at NYU and a former CME risk committee member. He has jointly authored the book ‘Interest rate models: theory and practice’ and published extensively in books and international journals, including 16 cutting-edge articles in Risk Magazine. Fabio holds a BSc in Applied Mathematics from the University of Padua, Italy, and a PhD in Mathematical Finance from the Erasmus University of Rotterdam, The Netherlands.

TOPICS:

PART I: FOUNDATIONS

1. A Little History - An overview of the LIBOR scandal - The formation of reference-rate committees - The new risk-free-rate (RFR) benchmarks - The birth of RFR derivative markets - The RFR as collateral rate or PAI

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Marco Avellaneda was named 2010 Quant of the Year by RISK Magazine. He has been involved in teaching, developing and practicing quantitative finance for the last 15 years. He worked at Banque Indosuez as Consultant in FX Derivatives, then as a Vice-President in Fixed-Income Research at Morgan Stanley, as Quant Strategist at Gargoyle Strategic Investments, as Head of Volatility Arbitrage at Capital Fund Management, where he created the Nimbus Fund, and as Quant Equity Portfolio Manager at the Galleon Group. His interests — both practical and theoretical — are unabashedly focused on quantitative alpha generation.

He is known in academic finance as the inventor of the Uncertain Volatility model, for developing model-calibration algorithms using Weighted Monte Carlo / Max Entropy, for the theory behind dispersion trading, and for his more recent works on statistical arbitrage in the US equities market, high-frequency trading and price forecasting.

A faculty member at the Courant Institute since “before the internet”, he teaches classes in Stochastic Calculus, Risk management and Portfolio Theory, PDEs in Finance and Quantitative Investment Strategies.

He is in the editorial boards of Communications on Pure and Applied Mathematics, the International Journal for Theoretical and Applied Finance and Quantitative Finance and coauthored the textbook “Quantitative Modeling of Derivative Securities”.

OBJECTIVE:

The purpose of this workshop is to cover equity quantitative strategies carried out in international markets with stocks, funds and exchange-traded derivatives.

MARCO AVELLANEDACOURANT INSTITUTE OF MATHEMATICAL SCIENCES NYU

Equity Derivatives and Volatility



TOPICS:

1. Introduction to financial information: stocks, ETFs, futures. Adjustments for corporate events, splits and special dividends.

a. Organization through databases and formatting.2. Data for derivatives: volatility and index futures and options.3. Correlation analysis: PCA sectors (ICM), factors. Eigenvalues and eigen-portfolios. a. Hierarchical PCA with ICMs.4. Factor investing, risk-parity. Index tracking. Construction of equity investment

portfolios.5. Statistical arbitrage. Reversion, monitoring of trends. Simulation of quantitative

strategies. a. Transaction costs. Sharpe ratio. Profit and loss attribution.6. Options: Black Scholes, implied volatility and sensitivity. Implied volatility vs. realized

volatility.7. Options: implied variance. Implied variance vs. realized variance.8. Implied correlations vs. realized correlations.9. Pricing of index options using options on constituent securities and Relative Entropy.10. Relative value and dispersion trading. Identifying favorable transactions using pricing. a. Relative value models for stock options, ETFs. Construction of positive alpha portfolios.11. VIX futures and options. VIX ETFs.12. Models for VIX futures term structure and related strategies. Contango and

backwardation in volatility futures.

2. The Transition Away From LIBOR - The new IBOR fallbacks - Differences between derivatives and cash products - Impact on existing deals - Life after LIBOR - Existing issues and challenges

PART II: MODELING1. Valuation of RFR Derivatives - A multi-curve pricing framework - The pricing of RFR futures - The pricing of RFR swaps - The pricing of LIBOR swaps revisited - The pricing of RFR-LIBOR basis swaps

2. Building RFR Vol Cubes - The available market data - The concept of minimal basis volatility - Mapping LIBOR vols to RFR vols - Numerical examples

3. The Generalized Forward Market Model - The concept of extended bond price - Backward-looking forward rates - Forward-looking forward rates - Modeling the joint dynamics of forwards - The pricing of derivatives - Numerical examples

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Machine Learning in Finance

John Hull is an internationally recognized authority on derivatives and risk management and has many publications in this area. His work has an applied focus. In 1999 he was voted Financial Engineer of the Year by the International Association of Financial Engineers.

He has acted as consultant to many North American, Japanese, and European financial institutions. He has won many teaching awards, including University of Toronto’s prestigious Northrop Frye award.

COURSE DESCRIPTION:

This one-day workshop is designed for participants who are new to machine learning and want to acquire skills in this area.

JOHN C. HULLUNIVERSITY OF TORONTO

WORKSHOP EN INGLÉS TOPICS:

1. Introduction a) Types of machine learning. b) Why ML is suddenly so popular in finance. c) Training, validation and test sets. d) Linear regression with many features: ridge, lasso, elastic regression. Case study. e) Bayes classification. f) Principal components.2. Supervised Learning a) Logistic regression. Case study. b) Support vector machines. c) Neural networks. d) Decision trees and random forests. e) Bagging and boosting; ensemble. f) The variance-bias trade-off.3. Unsupervised and Reinforcement Learning a) Clustering. Case study. b) Reinforcement learning. c) Biases and data cleaning. d) Image recognition. e) Limitations of ML.4. Other Financial Innovations a) The pattern of innovation. b) Blockchain and hashing. c) Cryptocurrencies and ICOs. d) Roboadvisors, insurtech, and regtech. e) Kodak vs. IBM.



Marcelo Rodriguez is Commercial Engineer and holds a master ́s degree in Finance; he has more than 20 years of experience in Latin-American financial markets. He has, as well, extensive experience in the development, marketing and trading of financial products either for trading goals or balance management.

He has led the Asset & Liability Management area in various institutions at different jurisdictions within Latin-America, where he introduced concepts such as differentiated transfer prices, the use of derivative products for the purpose of managing the liquidity and interest rate conditions, and optimizing the investment portfolio management.

Additionally, he has performed multiple roles in the financial and banking industry, including the management of financial risks (either relating to the balance management (ALM) or the trading portfolio risks), structured notes emission, derivative products trading and investment funds advisor.

He has performed international academic activities in Universities and other academic organisms, on various topics of the financial and banking sector in multiple countries of the region.

VICEPRESIDENT Y REGIONAL TREASURERSCOTIABANK CANADA

MARCELO RODRÍGUEZ

Structured Notes: Construction Strategies, Trading, Selling and Hedging



OBJECTIVE:

At the end of this course participants will be able to understand the basic principles of thestructured notes construction, the main types of market-traded notes, to visualize with practical examples advantages and disadvantages of different types of notes, dependingon the investor and issuer objectives, as well as to distinguish some of the main factors totake into account for correctly analyzing the notes risk/return profile.

COURSE DESCRIPTION:

Structured notes are still attractive instruments for both investors and issuers. For investors, as an investment alternative with the potential to give higher returns than lowinterest rates seen globally in the last decade; and for issuers, as an alternative and steady financing source in the light of new international regulations with reference to liquidity management. Knowing about structuring techniques, notes types, selling techniques and notes risk/return profiles is an essential condition before any foray into this instrument type, avoiding situations like the ones occur in various emerging markets during the global financial crisis.

TOPICS:

1. What are Structured Notes?2. What are Structured Notes used for?3. Structured Notes Types.4. Structured Notes Construction.5. Types of Options used in Notes.6. Practical Examples. 6.1 Foreign Currencies. 6.2 Notes based on Equities, Baskets and Indices. 6.3 Credit Linked Notes. 6.4 Interest Rates Linked Notes.

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Family Office Services:• Financial management:- Investment management,- reporting,- record keeping,- management of wealth transfers,- budgeting.

• Strategic planning:- Business and finance advice,- estate planning,- succession planning.Administrative support:- philanthropic management,- public relations,- etc.

• Advisory services:- Tax,- Legal,- compliance,- Regulatory,- Risk Management

Estate planning.• Assessment.• Planning options.• Implementation.• Monitoring.Succession planning.• General considerations:- Protecting and educating the next generation.- Avoiding the generation gap.- Business vs property succession.• Three models:- Hope-based models.- Nomination-based models.- Robust models.

PART 2: PRODUCTS AND SERVICES.

The Asset Management Sector - Overview:• The Asset Management Industry.• The Asset Management Environment:- Manager,- Marketer,- Distributor,- Custodian,- Bank,- Administrator,- Prime Broker, etc.• Products and Services of Asset Management Firms.• Trusts.• Family Foundations, Pensions and Insurance Trusts.

Accounting services:• Consolidation.• Liquidity Management.• Budgeting.Investment services:• The Investment management process.• Asset-Liability Management.• Asset allocation.• Manager selection.• Due diligence.• Performance monitoring.

Corporate finance.• Incorporating the businesses into the family office.• Dealing with M&A activities.• Valuation concepts and principles.

Investment products.• Traditional asset classes: stocks, bonds, mutual funds, etc.• Hedge funds:- Main strategies.- Way to invest.- Risks and return.- Legal, regulatory and ethical aspects.

• Alternative investments:- Private Equity.- Real Estate.- Commodities.- Structured products.

Risk management:• Market.• Credit.• Liquidity.• Operational.• Legal and regulatory.• Cyber-risks.• Risk Budgeting.

Other services:• Philanthropy:- Philanthropic missions.- Charitable planning.- Grant-making.- Charitable trusts.• Family training and legacy.- The family mission statement.- Leadership Development.- Education.• Concierge services.• Dispute resolution.

Asset and Portfolio ManagementWorkshops

Family Offices: Construction, Administration and Operation

Luis Seco is a Doctor from Princeton University and is currently a Professor in the Mathematics Department at the Rotman School of Management at the University of Toronto.He is the Director of RiskLab, a department that depends on the same University, dedicated to research and development activities in collaboration with financial companies and other organizations in the field.

Dr. Seco is also President and CEO of Sigma Analysis & Management Ltd., a firm specializing in investments in Hedge Funds and Structured products. He has also written numerous articles in different areas of investment and risk management. He currently offers conferences and professional meetings around the world.

TOPICS:

PART 1: THE FAMILY OFFICE.

The family office sector:• History.• The industry today.

Types of family offices:• Single.• Multiple.• Bank FO services.

Stakeholders analysis:• Who are the stakeholders.• Clients & families expectations.• Family meetings: process and outcomes.• Service providers.• Cultural considerations.

LUIS SECOCEOSIGMA ANALYSIS & MANAGEMENT LTD.

FRIDAY JUNE 21 & SATURDAY JUNE 22DURATION: 16 HOURS


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TOPICS:

1. De-noising and de-toning of covariance matrices2. Entropy metrics: Moving beyond correlations3. Clustering methods4. Caveats of Markowitz’s Efficient Frontier5. The Hierarchical Risk Parity method6. The Dual-Clustered Optimization Method

Asset management with Machine Learning

MARCOS LÓPEZ DE PRADO

Marcos López de Prado has over 20 years of experience developing investment strategies with the help of machine learning algorithms and supercomputers. He has recently sold his patents to AQR Capital Management, where he was a principal and AQR’s first head of machine learning. Marcos also founded and led Guggenheim Partners’ Quantitative Investment Strategies business, where he developed high-capacity investment algorithms that consistently delivered superior risk- adjusted returns, receiving up to $13 billion in assets. Concurrently with the management of

investments, between 2011 and 2018 Marcos was a research fellow at Lawrence Berkeley National Laboratory (U.S. Department of Energy, Office of Science). He has published dozens of scientific articles on machine learning and supercomputing in the leading academic journals, and SSRN ranks him as the most-read author in economics.

Among several monographs, Marcos is the author of the graduate textbook Advances in Financial Machine Learning (Wiley, 2018). Marcos earned a PhD in financial economics (2003), a second PhD in mathematical finance (2011) from Universidad Complutense de Madrid, and is a recipient of Spain´s National Award for Academic Excellence (1999). He completed his post-doctoral research at Harvard University and Cornell University, where he teaches a financial machine learning course at the School of Engineering. In 2019, he received the ‘Quant of the Year Award’ from The Journal of Portfolio Management.

COURSE DESCRIPTION:

Machine learning (ML) is changing virtually every aspect of our lives. Today ML algorithms accomplish tasks that until recently only expert humans could perform.

As it relates to finance, this is the most exciting time to adopt a disruptive technology that will transform how everyone invests for generations.

Attendees will learn how to structure Big data in a way that is amenable to ML algorithms; how to conduct research with ML algorithms on that data; how to use supercomputing methods; how to backtest your discoveries while avoiding false positives.

ADJUNCT PROFESSOR, FINANCIAL MACHINE LEARNINGCORNELL UNIVERSITY

WEDNESDAY JUNE 19 DURATION: 7 HOURS


Portfolio Strategies and Risk Management for Buy Side

CHRIS MARTINDIRECTORAXIOMA

Chris Martin has worked at Axioma for over 11 years in a variety of positions ranging from Support, to Account Management, to Consultant and is currently a Product Specialist.

Internally, he works closely with all members of the Axiomateam, including: Product, Research, Content, Sales, and Support. This range of experience allows Chris to support the needs of Axioma’s clients, whether it be training new users or helping existing users get the most out of Axioma’s solutions.

Chris received his Master’s in Financial Engineering, a joint degree from the Drucker School of Management and Mathematical Sciences at Claremont Graduate University. He received his bachelor’s degree in General Engineering with a concentration in Aeronautical and Mechanical Engineering and a Minor in Physics from California Polytechnic State University, San Luis Obispo.

TOPICS:

1. Risk Management. - Factor Models. - Simulation Based. - Stress Testing.2. Portfolio Construction. - Equity. - Fixed Income. - Multi-Asset Class.3. Performance Attribution. - Factor-based. - Returns-based.

WEDNESDAY JUNE 19 & THURSDAY JUNE 20DURATION: 14 HOURSUP CAMPUS SANTA FE

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Project Finance: Designing, Structuring, and Financing Private and Public Projects

FRIDAY JUNE 21 & SATURDAY JUNE 22 DURATION: 16 HOURSUP CAMPUS SANTA FE

Gerónimo has over 20 years of experience at senior government positions in the areas of finance, trade, diplomacy and national security, and 7 years of banking experience at top management positions.

Before joining Beel, Gerónimo served as Mexican ambassador to the United States of America from 2017 to 2018, where he was an instrumental figure in the negotiation of the free trade agreement, USMCA, between the United States of America, Mexico and Canada.

Before his tenure as ambassador, Gerónimo led the North American Development Bank (NADBANK) for six years, growing the loan portfolio above 30% on average per year, while keeping AA global credit rating. Additionally, during his time at NADBANK, he successfully executed 20+ infrastructure deals in Mexico and the United States on water, energy, solid waste management and urban mobility sectors.

From 2003 to 2010, he held several public office positions, namely Deputy Secretary to the Ministry of Governance and Undersecretary to the Ministry of Foreign Affairs, where he was a key member in Mesoamerica Project, a multilateral cooperation mechanism for the development of regional infrastructure (2007-08) and the Security and Prosperity Partnership for North America, SPP (2005-06).

Gerónimo holds a Masters in Public Administration from Harvard Kennedy School of Government and a BA in Economics from Instituto Tecnológico Autónomo de México.

Jaime has 15 years of experience in the financial sector in Latin America, Europe and theMiddle East. Before founding Beel, Jaime worked for Santander for 7 years, acting as Head of FinancialInvestors Group in Mexico from 2016 to 2018 and involved in the largest infrastructure transactions in the country. Prior to moving to Mexico, he also led the group of Sovereign Wealth Funds and Government Related Entities in the Middle East representative office atAbu Dhabi.

Previously, Jaime worked at the executive M&A team of Morgan Stanley in London, where he focused on energy and infrastructure and closed 12 private M&A, and capital and debt market deals across EMEA. From 2003 to 2006, he was a consultant at Roland Berger Strategy Consultants, with a focus on strategy, corporate finance, turnaround and due diligence projects in Western Europe. Jaime holds a bachelor degree in Finance from CUNEF, Madrid, and an MBA from Wharton, where he was awarded a full-tuition scholarship by Roland Berger.

GERÓNIMO GUTIÉRREZMANAGING PARTNERBEEL INFRASTRUCTURE PARTNERS

JAIME FALCONESPARTNERBEEL INFRASTRUCTURE PARTNERS

Aniceto has 14 years of experience in the international financial sector, with a focus on the origination, structuring and financial closure of infrastructure and energy projects in Latin America. Before founding Beel, Aniceto led the Fundamental Risks department at CitiBanamex Afore, where he was responsible for the origination, closing, and monitoring of a US$10bn portfolio, including 55+ private equity and debt funds, as well as co-investments.

Previously, Aniceto was based in Washington DC for 10 years, where he was a senior investment officer in the infrastructure department at the Inter-American Investment Corporation, part of the Inter-American Development Bank Group.

In Washington DC, he also worked for the International Finance Corporation, and the Spanish Economic and Commercial Office in the USA.

Aniceto holds the Chartered Financial Analyst certification, as well as a Masters in Finance degree from George Washington University in Washington, USA, an international MBA from the Center of Studies for Economy and Trade in Spain, and a Professional Certificate in Strategic Decision and Risk Management from Stanford University. He holds a Bachelor of Business Administration from both the University of Hertfordshire, UK, and the University of Malaga, Spain.

Alejandra is a lawyer with over 10 years of experience working in corporate, financing, restructuring and capital markets transactions focused in Latin America. Before joining the Beel team, Alejandra worked as an associate at Cleary Gottlieb Steen &Hamilton LLP, a New York law firm with one of the largest Latin-American corporate practices (2013-2018).

While working at Cleary, Alejandra led and participated in transnational securities issues, such as the USD$6 billion green bond offering and FIBRA E offering issued to fund the construction of the Mexico City international airport in Texcoco, as well as a number of equity and bond offerings of Latin American issuers governed by New York law.

Before working in New York, Alejandra worked as a Mexican lawyer with the law firms Lopez-Velarde Heftye y Soria, S.C. (2008-2010) and Mijares, Angoitia, Cortes y Fuentes, S.C. (2010-2012), participating in a number of acquisition, investment and financing transactions, and offerings of securities, including the USD$20 billion acquisition of Grupo Modelo by Anheuser Busch InBev.

Alejandra holds a bachelor degree in Laws from the Instituto Tecnológico Autónomo de México (ITAM), México, and a LL.M. focused on Banking and Financial Law from the Boston University School of Law, Massachusetts, USA. Alejandra is a licensed attorney in Mexico since 2008 and a lawyer in New York since 2016.

ANICETO HUERTASPARTNERBEEL INFRASTRUCTURE PARTNERS

ALEJANDRA MELGOZALEGAL DIRECTORBEEL INFRASTRUCTURE PARTNERS

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OBJECTIVE:

Train participants in financial instruments for State Banks, that contribute to leverage funds for infrastructure projects, and foster both development and knowledge of this sector in the country.

COURSE DESCRIPTION:

This program will provide theoretical and practical tools required to deepen the stakeholders’knowledge and skills in the infrastructure sector, in connection with financial instruments available for leveraging funds for infrastructure and energy projects.

Prior to joining Beel, Diego was a Corporate Finance and M&A consultant at Deloitte Mexico, where he participated in M&A sell-side mandates in the energy and manufacturing industry.

Within the infrastructure and energy sector, Diego performed many valuations for wind andphotovoltaic projects, as well as financial evaluations to social infrastructure PPP projects, such as hospitals and government facilities. Previously, he worked at Mercedes-Benz Financial Services USA, as a Data Analyst, performing statistics models, databases, and budget analysis. Diego obtained his Bachelor of Science in Economics and Finance from Point Park University (Pittsburgh, Pa), where he obtained a scholarship to represent the varsity golf team.

DIEGO ORTÍZINVESTMENT ASSOCIATEBEEL INFRASTRUCTURE PARTNERS

TOPICS:

Day I

1. Opening Session a) Infrastructure Development in Mexico. b) Macroeconomic and Political Aspects. c) Current situation of the market: - The need of private market in infrastructure development. º The impact of reforms and the need of public-private partnerships (PPP). º High levels of government indebtedness and poor appetite for higher taxes have kept low levels of public expenditure. - Major access through capital markets. d) Mexican pension fund managers (AFOREs) overview; initiatives of the National Commission for the Pension System (CONSAR) seek to change the investment paradigm to a long-term approach. e) Experience of the North American Development Bank; difficulties and opportunities in the infrastructure project financing from the development bank perspective.

2. Introduction to financing infrastructure and renewable energy projects a) Concept and main characteristics of “Project Finance”. b) Traditional sectors and new sectors. c) Basic differences with corporate finance. d) Evolution and types of financing. e) Advantages of structured finance.

3. Project Finance at length a) Requirements, bankability and feasibility. b) Sectors prone to using Project Finance. c) Standard project stages. d) Funding sources. e) Term Sheet description; key concepts. - DSCR and LLCR nature. - Covenants. - Cash Sweeps. f) Financial structure and debt dimensioning. g) Stakeholders. h) Contractual relationships. i) Risks and risk mitigation. j) Costs. k) Case study.

Day II

1. A stable and strong legal framework is key to attract private investment. a) Description of the energy reform fundamentals and the public-private partnership law. b) Reassurance for creditor. - Strong protection laws through immovable collateral. - Modernization of the legal framework that governs movable collateral (equipment, inventory, accounts receivable). º Guarantee or security trusts and pledged collaterals. - Description of the Commercial Bankruptcy Law.

2. Financial modeling, how to analyze a project?

3. Key aspects of financial modeling. a) Best practices. b) Cash flow as key element of the analysis. c) Dimensioning debt. d) Covenants implementation in the financial model. e) Waterfall payments. f) Project evaluation.

4. Case study: Design of a model for dimensioning debt and measuring profitability.

5. The role of financial markets in infrastructure financing and financial aspects. a) New products. b) Investment instruments. c) Development of: - Private Finance Market (private placements). - Capital Market (Project Bonds, CKDs [Capital Development Certificates], CERPIs [Investment Project Certificates] and Fibra E [Energy and Infrastructure Investment Trust]). d) Second-tier banking and available products.

6. Key aspects of standard contracts in Project Finance.

7. Legal framework.

8. Case study: Review of a standard contract..

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IFRS 9: Implementation and Interpretation

Regulation Workshops

OBJECTIVES:

• Permeate the participants on the implications of IFRS 9, from a perspective that includes the Risk Manager and the maker of financial information.

• Learn about this new accounting standards applicable to financial instruments, including the three sections already approved: Classification & Measurement, Impairment and hedge accounting.

• Understand what a business model is for the purposes of this standard, as well as the implications of a radical change of “incurred loss “to” expected loss, as the basis for impairment.

• Realign accounting with the risk management that is carried out in reality.• Addressing tools used in the efforts of transition to this new standard and that will be

applied from 2018.• Addressing the aspects associated with this accounting standard.

Nicolás Olea Zazueta is the Partner in charge of Financial Risk Management, a Risk Consulting unit within the Advisory Practice at KPMG Cárdenas Dosal, SC., the Mexican member Firm of KPMG International, a nearly 130,000 Global network of professionals in 157 countries, providing Assurance, Tax & Legal and Advisory Services to a wide diversity of Industries.

He leads one of the most complete Risk Consulting services boutiques, with a team of nearly 100 professionals located in Mexico City and Monterrey, along with other four Partners specializing in a wide diversity of services targeted mostly to the Financial Services Industry in Mexico and the Latin American Region.

Nicolás earned an Accountancy degree and a Master in Science degree in Information Systems, both from the Instituto Tecnológico y de Estudios Superiores de Monterrey (ITESM or Monterrey Tech-Monterrey Campus) and did joined KPMG on September 1999 after having worked on Corporate Financial Planning developing computer-based financial models and simulations at CEMEX Headquarters in Monterrey Mexico during the 80´s, then held assetbased financing positions at Banco Español de Crédito (Banesto, now part of Santander) and afterwards worked in Chicago at REFCO, the US third largest Derivatives Clearing & Settlement Company during the 90´s, then came back to Mexico at the BMV (Stock Exchange) to pioneer the launching of MexDer, the Mexican Derivatives Market, the first self-regulated market in Mexico.

During the last 15 years at KPMG, Nicolás has been involved in a wide diversity of audit, regulatory and advisory engagements, targeted at the Financial Services Industry. He specialices in Financial Instruments –including derivatives- accounting under the different accounting standards worldwide: IFRS & US GAAP.

He has conducted extensive training within KPMG Latin America Firms network on Derivatives, Exposure & Risk Management and has been trained by KPMG on IFRS´s Financial Instruments Topics as a Trainer, since year 2000.

He is a member of the Mexico City Public Accounting Chapter since 1999, also a member of the Financial Instruments Committee of the CINIF (Mexican Board of Accounting Compliance) since 2005 and before that, on the Accounting Principles Commission.

NICOLÁS OLEA PARTNER IN CHARGEKPMG

TOPICS:

An Overview of IFRS (International Financial Reporting Standard) # 9 and why it time to replace IAS 39.

The three sections of IFRS 9:

1) Classification and Measurement of Financial Assets and Liabilities. a) The categories of current assets and liabilities (IAS 39) V.S. new introduced by IFRS 9. b) Fair Value Through P&L (FVTPL) is now the Default Category. c) Fair Value Through Other Comprehensive Income (FVTOCI). d) Amortized Cost. e) Testing business model and the tests associated with the Contract Flows (SPPI Testing). f) No separation of Embedded Derivatives for financial assets, but feasible for financial liabilities. g) Inter-categories Reclassifications. h) DVA in financial liabilities and the need to recognize these effects in other comprehensive income (OCI). i) Nexus between IFRS 9 and IFRS 13 (Fair Value Measurement) and Fair Value hierarchy (Levels I, II & III), based on the level of observability of inputs. j) Tools to address section C & M: iRADAR and Loan Analyzer.

2) Impairment of financial assets (Impairment). a) Expected Loss approach following IFRS 9. b) The three stages (or buckets): - Step 1: Theory and practice of expected loss to 12 months. - Step 2: Reviewing detail of “lifetime expected losses.” - Step 3: Non performing loans. c) Accounting for Stage 1, 2 and 3, How does the basis of accrual of interest change? d) Featured Topics: Evaluation of collective losses vs. individual. e) Reasonable value and deterioration. f) G-CLAS (Global Credit Loss Accounting Solution) a tool to address the challenge of IFRS 9.

3) Hedge Accounting. a) Eligible to be covered items and hedging instruments. b) The DNA of IAS 39 remains, but there are changes regarding: evidence of effectiveness, thresholds for effectiveness, Risk drilling, documentation and more. c) Hedge accounting relationships. d) Hedges added exhibitions. e) No allowance to de-designate hedging relationships. f) Hedging with options and how volatility is minimized changes in the extrinsic value entailed under IAS39. g) Transaction-based vs. Time-based hedging with options.

WEDNESDAY JUNE 19 & THURSDAY JUNE 20 DURATION: 14 HOURSUP CAMPUS SANTA FE

Hansel is the Director of the Financial Risk Management area within the Consulting division of KPMG. He has more than 10 years of experience in the financial and consulting sector, his professional career includes hedging accounting activities, financial risk management, valuation of derivative financial instruments and business valuation.

During his professional career he has participated in consulting projects on accounting, hedging, validation of financial risk measurement models, hedging strategies with derivative instruments, valuation of derivative instruments, as well as business valuation.

Some of the companies for which he has provided these services are: Banco Santander, Grupo Financiero Banorte, CEMEX, Cervecería Cuauhtémoc Moctezuma, ALFA, VITRO, Vector Casa de Bolsa, BASE Casa de Bolsa, Banregio, Afirme, GISSA, Xignux, GE, Home Depot, Axtel, Minera Autlán, Casas GEO, among others.

Hansel gives talks on hedge accounting (NIF C-10, FASB 133, FASB 157, IAS 39, IFRS7 and IFRS 9), valuation of derivative instruments, business valuation (NIF C-15, IAS 36 and FASB 144).

Hansel holds a Master of Science in Finance from the Illinois Institute of Technology, a Master’s Degree in Management from the EGADE Campus Monterrey and a Bachelor’s Degree in Public Accounting and Finance from the Technological Institute of Higher Studies of Monterrey (ITESM) Campus Guadalajara.

HANSEL MOSKA PARTNERKPMG

Rubén Haro is a specialist in risk management, and financial and economic analysis, with experience in consulting and auditing important clients of the sector. Currently, he is founding director of Figufin, a financial services consultant firm that attends financial consulting topics to clients of all industries. He was partner of Financial Services and Risk Management in EY, and Risk Strategies and Portfolio Valuation Director in BBVA Bancomer. Ruben has a B.A. in Actuarial Sciences from the Instituto Tecnológico Autónomo de México (ITAM), a PhD in Statistics from the Imperial College London, and he graduated from the improvement of management skills Program D-1 from the IPADE Business School. He is professor of the Masters Degree in Risk Management in the ITAM and of the bachelor´s degree in Applied Mathematics and Computer Sciences in FES Acatlán, UNAM.

RUBÉN HARO FRM CREDIT RISK DIRECTORKPMG

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EXCHANGE SPONSORS

Bolsa de Santiago is Chile´s largest exchange, with a daily trading average of more than U$ 1.5 billion in its debt, equity and derivatives markets. Its strategic focus is to develop the Capital Markets, providing business opportunities for intermediaries, issuers and local and international investors, and to allow intermediaries and clients to trade on reliable and transparent platforms with the highest technological and efficiency standards. Bolsa de Santiago is part of the Latin American Integrated Market (MILA) and the Sustainable Stock Exchanges (SSE). On June 12, 2017, will become a demutualized Exchange.

ROFEX, fundado en 1909, es un mercado de futuros y opciones líder en Argentina que posee un importante foco en la creación de productos innovadores para los intermediarios e inversores. De acuerdo al ranking anual de la Futures Industry Association (FIA) ROFEX se posiciona en el puesto veintitrés a nivel mundial entre los mercados de futuros y opciones, y segundo a nivel latino américa. Su contrato de futuros sobre dólar estadounidense es el sexto más negociado a nivel mundial. ROFEX posee además un fuerte core tecnológico, siendo una de sus metas principales la interacción dinámica y ágil en esa materia con los distintos actores que protagonizan la industria, tanto a nivel local como internacional.

EDUCATIONAL PARTNERSThe Global Association of Risk Professionals (GARP) is a non-partisan association dedicated to advancing the risk profession through education, research and the promotion of best practices. Our globally recognized professional certifications – the Financial Risk Manager (FRM®) and Energy Risk Professional (ERP®), research-based benchmarking initiatives and global risk forums, provide a platform for educating and fostering dialogue about current trends in risk management.

ARPM is an education firm with a mission to set and disseminate the standards for Advanced Risk management and Portfolio Management, across the financial industry: asset management, banking, and insurance.

Eurex Group delivers innovation and excellence across the financial industry’s value spectrum. As a leading global provider we are working with customers, regulators and all our other stakeholders to facilitate an efficient and diverse market, delivering safety and integrity providing maximum benefits to all participants. We adapt to the ever changing environment with a growing portfolio of products from pre- to post-trading. All grounded in robust risk management solutions and proven technology, they help us shaping the future of the financial industry, as we have done for more than ten years now.

CME Group is the world’s leading and most diverse derivatives marketplace, handling 3 billion contracts worth approximately $1 quadrillion annually (on average). The company provides a marketplace for buyers and sellers, bringing together individuals, companies and institutions that need to manage risk or that want to profit by accepting risk.

In the Master of Mathematical Finance (MMF) program of the University of Toronto, students reshape their existing analytical abilities with the help of senior academics in mathematics, computer science, statistics, and engineering who have experience with the tools of mathematical finance.

LEAD SPONSORS

Quantitative Risk Management (QRM) is the world’s premier enterprise risk management consulting firm. QRM develops industry-leading risk management principles, practices, and models, and provides clients with the advice, knowledge, and tools necessary to leverage those innovations into higher risk-adjusted returns. Since 1987, we have partnered with our clients to enhance their ability to measure risk, identify profitable opportunities, and make sound financial decisions. With offices in Chicago, London, and Singapore, QRM has established over 250 long-term engagements with top financial institutions from the banking, finance, and insurance industries worldwide.

TELNORM TRADING SOLUTIONS is a leading multi-vendor systems integrator specialized in contact center, trading floors, and security solutions with presence in the U.S and the CALA region. With more than 20 years of experience, Telnorm aims to help clients build business efficiency, combining technology software development and top standards in services and support.

IBM is working with organizations across the financial services industry to use IBM Cloud, AI, big data, RegTech and blockchain technology to address their business challenges. Watson Financial Services merges the cognitive capabilities of Watson and the expertise of Promontory Financial Group to help risk and compliance professionals make more timely and risk-aware decisions, increasing process efficiency and effectiveness, while preserving trust and enhancing shareholder value.

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MEDIA SPONSORS

PAYMENT METHODS

IMPORTANT NOTICE: There will be no reimbursements.

E-mail: [email protected].: +52 (55) 5638 0907 y +52 (55) 5669 4729

Westin Santa Fe HotelJavier Barros Sierra 540 Col. Lomas de Santa Fe, México, CDMX.

JW Marriott Santa Fe Hotel Avenida Santa Fe 160 Col. La Fe Santa Fe, México, CDMX.

REQUIREMENTS1. Come from economic – Administrative Careers 2. Preferably working in Financial Institutions3. Participants should bring a laptop

REGISTRATION

VENUES

1. Bank Transfer in US Dollars BANK: BBVA Bancomer, S.A. ACCOUNT NUMBER: 0121 8000 11 0583 0066 SWIFT: BCMRMXMMBRANCH NUMBER: 0956 BENEFICIARY: RiskMathics S.C.

2. Credit Card: VISA, MASTERCARD or AMERICAN EXPRESS

3. Online paymentwww.riskmathics.com

Universidad Panamericana Campus Santa FeAntonio Dovalí Jaime 75, piso 6, Centro de Ciudad Santa Fe, CDMX.

CO-SPONSORS

LEAD SPONSORS

MUREX provides enterprise-wide, cross-asset financial technology solutions to capital markets players. With more than 45,000 daily users in 65 countries, its cross-function platform, MX.3, supports trading, treasury, risk and post-trade operations—enabling clients to better meet regulatory requirements, manage enterprise-wide risk, and control IT costs.

KPMG For 70 years, KPMG in Mexico has been a multidisciplinary firm providing Audit, Tax and Advisory services.They are high performance professionals working with purpose and passion, shoulder to shoulder alongside our clients, integrating innovative approaches and deep experience to generate reliable results for the benefit of our various stakeholders, through 184 partners and more than 2,800 professionals in 18 offices strategically located in major cities.

PIP Latam is headquartered in Mexico City, PiP is the leading multinational corporation in fair value, providing valuations for local and international markets. Its products include closing price valuations, curves, databases, options tools and customized products including valuation of derivative instruments and structured notes. Risk analytics also provide inputs for calculating financial risks and simulating the performance of instruments in future and stress scenarios. PiP is the official source of valuations for the region, providing a precise and consistent source of timely and auditableinformation of LatAm financial markets.

MATHWORKS, developers of MATLAB®, the language of technical computing, is a programming environment for algorithm development, data analysis, visualization, and numeric computation. Simulink® is a graphical environment for simulation and Model-Based Design of multidomain dynamic and embedded systems. The company produces nearly 100 additional products for specialized tasks such as data analysis and image processing.

BEworks, Founded in 2010, is an unconventional management consulting firm that applies scientific thinking to transform the economy and society. Our team of experts in cognitive and social psychology, neuroscience, and marketing answer our clients most complex business questions, execute disruptive growth strategies, and accelerate innovation. Part of the kyu collective of companies since January 2017, the firm´s client list includes Fortune 500 companies, not-for-profit organizations and government agencies. BEworks was co-founded by Dan Ariely, renowned behavioural scientist, Kelly Peters, the firm´s CEO and BE pioneer, and top marketing scholar Nina Mažar.

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WORKSHOP PRACTITIONERS **FEE LANGUAJE VENUE DURATION

XVAs: Theory and Practice John C. Hull $5,000.00 English Westin 1 hourTrends in the Global Banking Industry Jean Dermine $5,000.00 English Westin 1 hourThe Return of Volatility to the Markets Marco Avellaneda $5,000.00 Spanish Westin 1 hourThe Machine Learning Revolution Marcos López de Prado $5,000.00 English Westin 1 hourvBasel III to IV Alonso Peña $28,000.00 Spanish JW Marriott 14 hoursBehavioral Economics and the Bias of Risk Kelly Peters / Olga Rodríguez /Juan Salcedo $28,000.00 English UP 7 hoursCapital Allocation and Economic Capital Management Suresh Sankaran $28,000.00 English JW Marriott 16 hoursCapital Requirements and Regulatory Margin Claudio Barchiesi / Lona Mozumder English Westin 4 hoursCounterparty Risk and CVA-xVA Alonso Peña $35,000.00 Spanish JW Marriott 16 hoursCybersecurity and Hacking & Penetration Testing Gustavo Santana $25,000.00 Spanish JW Marriott / UP 15 hoursBalance Sheet Risk Management for Insurance Companies Patricio Belauzarán / Román Toledo $25,000.00 Spanish UP 12 hoursAutomated & Innovative Risk Management (Insurance) Rodrigo Aburto $15,000.00 Spanish JW Marriott 7 hoursLiquidity Risk Suresh Sankaran $28,000.00 English JW Marriott 14 hoursMATLAB Day Alex Link $15,000.00 English JW Marriott 7 hoursRisk of Fraud in Financial Institutions Christiams Valle $18,000.00 Spanish UP 16 hoursReputational Risk and Financial Communication Alejandro Osorio $8,000.00 Spanish JW Marriott 4 hoursRisk Culture Gustavo Fuertes $8,000.00 Spanish JW Marriott 4hoursThe ALCO Challenge: The new role of the Asset & Liability Management in the FinTech Frontier Jean Dermine $35,000.00 English JW Marriott 22 hours

12 horasAI, Machine & Deep Learning for Executives Jean-Frederic Breton / Darshan Pungaliya $15,000.00 English UP 4 hoursKVA (Capital Valuation Adjustment) and FVA (Funding Value Adjustment): Pricing and Hedging Giovanni Negrete $15,000.00 Spanish JW Marriott 7 hours

Convertible Bonds and other Hybrid Instruments Izzy Nelken $25,000.00 English UP 14 hoursConvertible Bonds, CoCos and Credit Risk Liber Jaime $25,000.00 Spanish UP 16 hoursDeep Learning with Python José Alatorre $25,000.00 Spanish UP 16 hoursDerivatives and Corporate Finance David Shimko $25,000.00 English JW Marriott 14 hoursEmerging market strategy: Quant approach Andrés Jaime $25,000.00 Spanish Westin 16 hoursEnergy Derivatives: Pricing, Hedging and Trading David Shimko $25,000.00 English JW Marriott 16 hoursEquity Derivatives and Volatility Marco Avellaneda $25,000.00 Spanish Westin 14 hoursLife after LIBOR: The Birth of New Rate Benchmarks Fabio Mercurio $15,000.00 English JW Marriott 7 hoursMachine Learning in Finance John Hull $15,000.00 English Westin 7 hoursStructured Notes: Construction Strategies, Trading, Selling and Hedging Marcelo Rodríguez $25,000.00 Spanish JW Marriott 16 hours

Family Offices: Building, Administration and Operation Luis Seco $25,000.00 Spanish JW Marriott 16 hoursAsset Management with Machine Learning Marcos López de Prado $30,000.00 Spanish UP 14 hoursPortfolio Strategies and Risk Management for Buy Side Chris Martin $15,000.00 English JW Marriott 7 hours

Project FinanceGerónimo Gutiérrez / Jaime Falcones / Aniceto Huertas / Alejandra Melgoza / Diego Ortíz

$38,500.00 Spanish Westin 16 hours

IFRS 9: Implementation and Interpretation Nicolás Olea / Hansel Moska / Rubén Haro $25,000.00 Spanish UP 14 hours

WORKSHOP FEES** IMPORTANT NOTICE: In the case that a participant wishes to attend a workshop and / or conference.

RISK MANAGEMENT WORKSHOPS

KEYNOTE SPEECHES

ASSET AND PORTFOLIO MANAGEMENT WORKSHOPS

REGULATION WORKSHOPS

**For final payment you must add 16% of local tax

FULL-EVENT FEE (4 DAYS): $38,500 MEXICAN PESOS + TAX (16%)

TRADING AND QUANTITATIVE FINANCE WORKSHOPS

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