We are very grateful to our guest speakers for giving us valuable time.
It is our guests decision on whether to provide us with their topics and slides and when.
Below are the list of lecturers with tentative titles (which may change) together with a brief biography of the speaker. The experts all have important jobs. Their circumstances may change. This list below may be changed without prior notice.
This module is run jointly between CCFEA and the Essex Business School. Please note that although the two modules share the same lectures, the assessments are different.
We are very grateful to our guest speakers for giving us valuable time.
It is our guests decision on whether to provide us with their topics and slides and when.
Lecture 1: Friday 20 January 2017
Guy Sears has spent 28 years working in and advising on financial services regulation. During 2016, he was the interim CEO of the UK’s Investment Association, a Board member of EFAMA, Chair of the Joint Money Laundering Steering Group, and Chair of the international regulatory working group of the IIFA, the global funds trade association grouping. He had been a director of a division of the IMA/IA since 2007 and has made several appearances before Parliamentary committees, including on Brexit and Northern Rock. A solicitor by profession, previous roles included the conduct of litigation for the SIB before becoming head of market conduct at the SIB/FSA. He has been a full board member of a commodity derivative broker and brought in Jersey’s investment business regulation.
Host: Professor Neil Kellard, EBS
Lecture 2: Friday 22 January 2017
Laurence Wormald was appointed as Head of Research for APT, now part of Fidelity National Information Services (FIS), in July 2008. In his position Laurence oversees a risk research team in London which helps to support more than 200 institutional clients of the investment risk system APT. FIS has over 55,000 employees with offices in more than 70 cities.
Before joining FIS, Laurence was for two years the chief risk officer at a proprietary trading business (Austin Friars Capital) of Deutsche Bank Global Markets in London.
He has acted as a consultant to major financial and government institutions including the Monetary Analysis Area at the Bank of England (2001-2004) and the Research Directorate-General at the ECB (1999-2001)
Laurence was educated at Cambridge University and University of California. He started his career in quant finance after serving as a professor of theoretical physics at UC Santa Cruz and at the Air Force University of Egypt.
Laurence has spoken publicly about finance, economics and risk on many occasions and has been interviewed on broadcast TV including BBC Newsnight, CNBC, Fox Business, Bloomberg TV & Radio and Sky News, and in the Financial Times, Daily Telegraph, Wall Street Journal and other newspapers and websites.
Laurence acts as an Advisory Board member of the quantitative Investment Research organization Inquire UK, and was a past chair of the City Associates Board at CCFEA, the Centre for Computational Finance and Economic Agents at the University of Essex.
He has published a number of academic papers and book chapters on risk and quantitative finance, including:
Host: Edward Tsang, CCFEA
Lecture 3: Friday 03 February 2017
This talk is about money.
What exactly is money? What is quantitative easing? How does it impact the economy?
What is crypto currency? Why has crypto currency emerged? What are the potential impacts?
Publications:
Host: Edward Tsang, CCFEA
Lecture 4: Friday 10 February 2017
Giovanni is with Auriel Capital Ltd, a UK-based portfolio manager of equity market neutral systematic strategies whose long-term core alpha is derived from ESG insights, complemented by shorter-term tactical signals. Previously he co-founded and managed FGS Capital, a systematic and low-latency portfolio manager. Up until 2002 he was Associate Director of hedge funds at First Quadrant's UK office, where he set up and was the portfolio manager of its Pan European long/short equity market neutral portfolios, and was responsible for hedge fund business. Prior to that he was a tenured Research Fellow with the Economics Department of the University of Bologna in Italy, and he has held appointments with BARRA International and Eastern Group Plc. Giovanni is a Research Committee member of Inquire Europe.
Slides / Paper by Kellard et al
Host: Edward Tsang, CCFEA
Lecture 5: Friday 17 February 2017
Having graduated Warwick University with a degree in Economics and Politics, Gaelle started her career with Ernst & Young in 1997, working in risk management consultancy for non-financial services for 5 years. She then went on to set up the risk department at F&C just before moving to Jupiter Asset Management where she stayed for 6 years heading up the risk department covering all risk types. Following 2 years at Threadneedle, Gaelle joined Invesco in September 2011 and is Chief Risk Officer for the EMEA business.
Based in Henley-on-Thames, Dilek joined Invesco in November 2013, and in January 2017 she has joined the investment team focusing on the Multi Asset portfolios.
Dilek joined Invesco Perpetual as a Senior Risk Analyst in the Independent Risk Function where she worked as a lead investment risk analyst. She was responsible for risk oversight and monitoring activities for all funds managed within Europe, including the multi asset portfolios. Dilek holds a first degree in Economics and a Masters degree in Finance and Accounting. In 2013, Dilek was awarded a PhD in Finance from the University of Essex, where she worked on various projects covering risk management and derivatives while also teaching both postgraduate and undergraduate students.
Slides are emailed to students in these modules (not to be further distributed)
Host: Edward Tsang, CCFEA
Lecture 6: Friday 24 February 2017
Slides are emailed to students in these modules (not to be further distributed)
Host: Edward Tsang, CCFEA
Lecture 7: Friday 03 March 2017
Richard Olsen is a pioneer of market micro-structure; he wrote and co-authored many scientific papers, a book on high frequency finance. Richard's unorthodox but compelling ideas have made him an opinion leader. His goal is "to create tools of finance that are as slick and elegant as the most sophisticated tools of technology." Richard holds a Licentiate in Law from the University of Zurich, a Masters in Economics from Oxford University and a PhD from the University of Zurich and worked as a researcher and foreign exchange dealer before founding his first company, Olsen & Associates in 1985. He has launched Lykke Corp to build a global marketplace for all asset classes and instruments with immediate settlement and second-by-second interest payments using the blockchain technology.
In this talk, he will tell us his vision in Lykke. He will tell us the concept behind Lykke, current activities and how everyone could contribute to build it up.
Host: Edward Tsang, CCFEA
Lecture 8: Friday 10 March 2017
Slides are not available for distribution
Related reading: Goldman Sachs' lessons from the 'quant quake', Financial Times, 9th March 2017 (subscription required)
Host: Edward Tsang, CCFEA
Lecture 9: Friday 17 March 2017
Reading:
Paper by Stuart Snaith, Neil Kellard and Norzalina Ahmad,
Open outcry versus electronic trading: tests of market efficiency on crude palm oil futures
Lecture 10: Friday 24 March 2017
Barrie Moore is a founding partner and investment Director of Bond Capital Partners. He is responsible for fund raising, deal sourcing and execution, investment appraisal and is a member of the Investment Committee.
Barrie has had 30+ years of experience in mezzanine finance, private equity and leveraged debt especially for small/medium sized businesses. Previously, he was a Director at Close Brothers Growth Capital, a Managing Director at ABN Amro Mezzanine Finance, and a Director and Head of Mezzanine Finance at NatWest Markets and County NatWest. He has extensive experience in fund raising, investment execution, transaction sourcing and general investment management. He has served as a Member of the Investment Committees for ABN Amro Mezzanine Finance, Close Brothers and NatWest Markets. He has invested in more than 50 companies and has raised in excess of £300 million of funds.
Barrie holds a BA in Economics (2:1) from the University of Essex and a PG Dip in Financial Strategy from the Saïd Business School, University of Oxford.
Host: Professor Neil Kellard, EBS
The following lecture has been cancelled due to unavailability of Dr Acerbi.
The course supervisors would like to acknowledge Dr Acerbi's continuous support, hence this record is kept here.
Carlo Acerbi currently works in the MSCI Geneva office as a
risk researcher. His main areas of interest in finance are risk
management and derivatives pricing.
In the past Dr Acerbi worked as a Risk Manager and as a Financial
Engineer for some Italian major banks, and as a senior expert in the
risk practice of McKinsey & Co.
Dr Acerbi received a PhD in Theoretical Physics from the International
School for Advanced Studies (SISSA - ISAS), Trieste, Italy, before
turning to Finance in 1997.
He is the author of several papers in renowned international journals,
focusing in particular on the theoretical foundations of financial risk
and the extension of portfolio theory to illiquid markets. He has taught
“advanced derivatives” at Bocconi University, Milan and is currently an
Executive Fellow of the Essex Business School (UK), and a honorary
professor of the Corvinus University, Budapest.
He has been for years a member of the board of ‘The Journal of Risk’.
Reference:
On backtesting Expected Shortfall (and backtesting more in general)
Carlo Acerbi
Executive Director, MSCI
Host: Edward Tsang, CCFEA
Sports trading markets are becoming ever more like financial markets whilst financial markets are becoming more like gambling dens. Are they really that different?
James Butler is the inventor of the EDDIE forecasting system at University of Essex. After working as a technology consultant for Reuters, in The City, James now works as a sports trading author, educator and consultant. His latest publication, Betfair Trading Techniques, extols the virtues of algorithmic-trading and computational methods for optimising trading models on betting exchanges, an environment that is ever more like a financial market.
Website: Betfair Pro Trader
Publications:
Host: Edward Tsang, CCFEA
