Practitioners’ Seminar 2025

The seminar takes place in the Spring of 2025, Tuesdays and Thursdays, 7:40 pm — 8:55 pm.

Location: 312 Mathematics Building
For directions, please see Directions to Campus and Morningside Campus Map.

Organizer: Jaehyuk Choi

Schedule of Presentations

Scroll down for the Schedule of Past Presentations.

Tuesday, March 4, 2025

Title: Large Language Models (LLMs) in Finance

Speaker: Miquel Noguer i Alonso, PhD

Miquel Noguer i Alonso is a seasoned financial professional and academic with over 30 years of experience in the industry. He is the Founder of the Artificial Intelligence Finance Institute and Head of Development at Global AI. His career includes roles such as Executive Director at UBS AG and CIO for Andbank. He has served on the European Investment Committee UBS for a decade and is on the advisory board of FDP Institute and CFA NY.

As an academic, he has been teaching AI, Big Data, and Fintech at NYU Courant Institute, NYU Tandon, Columbia University, and ESADE. He pioneered the first Fintech and Big Data course at the London Business School in 2017. He has authored 100 papers on Artificial Intelligence an Finance and recently published the book Artificial Intelligence in Finance with Risk Books, Quantitative Portfolio Optimization for Wiley Finance and Large Language Models for Springer.

He holds an MBA and a Degree in Business Administration from ESADE, a PhD in Quantitative Finance from UNED, and other prestigious certifications. His research interests include asset allocation, machine learning, algorithmic trading, and Fintech.

Abstract:

Large Language Models (LLMs) are transforming the financial industry by enhancing decision-making, automating analysis, and optimizing workflows. These AI-driven models, such as GPT-4, BloombergGPT, and FinBERT, offer significant advantages in risk management, quantitative finance, asset allocation, and regulatory compliance. Below are some key areas where LLMs are making an impact in finance.

Mr Noguer will be covering 5 papers written about LLMs in Finance.

Thursday, March 6, 2025

Title: A Practitioner’s View on Model Risk Management (Quantitative Concepts to Real-World Governance)

Speaker: Max Samadov, SAS Institute

Max is a seasoned risk analytics leader with over 15 years of experience guiding global financial institutions through transformative regulatory, AI/ML, and data-driven initiatives. As a North American Head of Risk at SAS Customer Advisory, Max oversees a high-performing team responsible for delivering enterprise-wide risk solutions. A former product manager at IBM Algorithmics, Max led the development of Basel II/III-compliant offerings adopted by major banks worldwide. Max combines deep industry expertise with a customer-centric approach, his passion for translating quantitative concepts into real-world governance makes him a sought-after speaker at conferences and executive forums alike. Max holds MEng degrees in Data Analytics from Cornell University, MA in Public Relations from Ball State University and BSc in Economics from Donetsk National University and holds FRM certification from GARP.

Abstract:

This session introduces the fundamental principles and practical realities of Model Risk Management (MRM), highlighting how inadequate model governance can lead to catastrophic outcomes in financial markets. We will explore significant historical failures, review key regulatory frameworks (including SR 11-7 and E-23), and discuss best-practice structures such as the “three lines of defense.” Roles and responsibilities within MRM—encompassing model owners, validators, model risk managers, and internal auditors—will be examined, emphasizing the critical interplay of quantitative rigor and corporate governance. We will also address the emerging importance of AI governance, given the rise of machine learning models. Finally, the session concludes with a demonstration of how software solutions operationalize model governance, showcasing features like model inventories, model cards, performance monitoring, assessment workflows, and reporting capabilities.

Tuesday, March 11, 2025

Title: Investor Composition and the Liquidity Component in the U.S. Corporate Bond Market

Speaker: Haiyue Yu, Princeton University Bendheim Center for Finance

Abstract:

Thursday, March 13, 2025

Title:

Speaker: Ilia Bouchouev, Ph.D., Pentathlon Investments, LLC

Abstract:

Tuesday, March 18, 2025 – SPRING BREAK

Thursday, March 20, 2025 – SPRING BREAK

Tuesday, March 25, 2025

Title: Pricing and Valuation of TBAs without a Prepayment Model

Her areas of interest include quantitative research, systematic trading, and AI-powered portfolio optimization.

Abstract:

Financial markets are shaped not only by fundamentals but also by investor sentiment, emotions, and market narratives. Traditional trading models rely on price and volume data, yet market psychology—driven by behavioral biases such as loss aversion and herding behavior—often creates inefficiencies that can be quantified and exploited using AI-driven techniques.

In this talk, we explore how Natural Language Processing (NLP) and deep learning can enhance sentiment-based market predictions and improve trading strategies. Key discussion points include:

• How FinBERT, LSTMs, and transformer-based models extract sentiment from financial news, earnings reports, and FOMC statements.

• Empirical backtesting results showing the impact of sentiment signals on market prediction accuracy.

• The role of social media sentiment in driving asset price volatility and its implications for trading strategies.

By combining behavioral finance, NLP, and deep learning, this session will demonstrate how sentiment-driven models can detect market shifts ahead of price movements, offering traders and portfolio managers a quantitative edge in volatile markets.

Past Presentations

Tuesday, January 21, 2025

Title: Navigating the Currents: Key Aspects of Oil and Gas Trading

Speaker: Samvel Gevorkyan, Freepoint, Energy and Commodity Markets

Samvel Gevorkyan is a quantitative researcher at Freepoint Commodities. He is managing a systematic book, trading crude oil and natural gas and has been building algorithmic strategies and analytics for the past 6 years.

Abstract:

We are going to give a brief introduction to commodities markets, walk through the main components of Supply and Demand, and consider some aspects of systematic strategy design in order to extract risk premia based on physical as well as financial drivers. We will attempt to look at energy futures markets through the eyes of discretionary macro portfolio managers, CTA funds, and relative value strategists to gain insights into the movement of capital.

Thursday, January 23, 2025

Title: The Business of Trading

Speaker: Albert An, CEO Tower Research

Albert An joined Tower in 2016 as Head of Trading Supervision and subsequently assumed the role of Chief Technology Officer before becoming Chief Executive Officer in 2019. Prior to joining Tower, he was Co-Head of Electronic Volatility Trading and Retail Market Making at UBS. Before UBS, he held various senior electronic trading roles, including Head of Automated Market Making at Credit Suisse and Head of Automated Market Making at Merrill Lynch. He started his career at Wolverine Trading where he was a Principal and co-founder of their European trading business. He graduated from The University of Chicago with a BA in Economics and earned a MSc in Mathematical Trading and Finance from the University of London.

Abstract:

The talk discusses various aspects of trading business followed by questions and answers.

Tuesday, January 28, 2025

Title: Overview of MBS Market and Trading

Speaker: Margaret Lu, Portfolio Manager, Wells Fargo

Ms. Lu is currently senior portfolio manager at Wells Fargo bank, managing and trading for its investment portfolio with a focus on MBS and Treasuries. She also executes MBS related trades for the mortgage servicing portfolio of the bank. U.S. mortgage market and Treasury market currently have $12trillion and $28trillion outstanding securities respectively. Being one of the largest banks by asset size, Wells Fargo’s investment portfolio is also one of the largest in the nation, which consists of primarily MBS and Treasuries. Ms. Lu’s responsiblity includes relative value analysis, security selection to optimize income and regulatory measures, trade execution and market monitoring. Prior to Wells, Ms. Lu was head of securitized products risk management at the Chief Investment Office at JPMorgan where she managed the market risk of MBS, and non-agency RMBS, CMBS and CLOs for the investment portfolio at JPM. Ms. Lu started her career in securitization of CLOs backed by middle market loans and broadly syndicated loans at Merrill Lynch and Natixis. Ms. Lu has a master’s degree in Physics from City University of New York and received training in Financial Engineering from the FAME (Financial Asset Management and Engineering) program offered by Swiss Finance Institute at University of Lausanne. She is a graduate of the MAFN program.

Abstract:

An overview of U.S. mortgage market, the historical evolution of the market. The building bricks of MBS trading – the TBA security, including how it’s created, what are the key analytics measures used to gauge the relative value, and how it’s traded, in particular, how the TBA is rolled as dollar roll. Dollar rolls provide fundamental liquidity to MBS market and are crucial measures of market condition. We will look into how the dollar rolls are valued and traded. In addition, the session will explain how the market differentiates the value of MBS pools based on the variation of the mortgage loans’ characteristics, that is, how specified pools are valued and traded, as well as how to determine the relative value of such pools.

Thursday, January 30, 2025

Title: Investment Banking case example. Cruise line sector.

Speaker: Filo Fiorani, Managing Director, Bank of America

Filo Fiorani is a Managing Director in Real Estate, Gaming & Lodging Investment Banking at Bank of America.

Abstract:

The Cruise line sector was one of the most impacted during covid. We present the investment banking perspective to help it survive, and describe the situation of the sector today.

Tuesday, February 4, 2025

Title: MAFN Town Hall Meeting

Speaker: Jaehyuk Choi, Columbia University

Thursday, February 6, 2025

Title: Drawdown Betas and Portfolio Optimization

Speaker: Stan Uryasev, Stony Brook University

Stan Uryasev is Professor and Frey Family Endowed Chair of Quantitative Finance at the Stony Brook University. He received his M.S. in Applied Mathematics from the Moscow Institute of Physics and Technology (MIPT), Russia, in 1979 and Ph.D. in Applied Mathematics from the Glushkov Institute of Cybernetics, Kiev, Ukraine in 1983. From 1979 to 1987 he held a research position at the Glushkov Institute. From 1988 to 1992 he was a Research Scholar at the International Institute for Applied System Analysis, Luxenburg, Austria. From 1992 to 1998 he held the Scientist position at the Risk and Reliability Group, Brookhaven National Laboratory, Upton, NY. From 1998 to 2019 he was the George and Rolande Willis Endowed Professor at the University of Florida, and the director of the Risk Management and Financial Engineering Lab. His research is focused on efficient computer modeling and optimization techniques and their applications in finance and DOD projects. He published four books (two monographs and two edited volumes) and more than 130 research papers. He is a co-inventor of the Conditional Value-at-Risk and the Conditional Drawdown-at-Risk optimization methodologies. He developed optimization software in risk management area, including Drawdown and Credit Risk minimization. His joint paper with Prof. Rockafellar on Optimization of Conditional Value-At-Risk in The Journal of Risk, Vol. 2, No. 3, 2000 is among the 100 most cited papers in Finance. Many risk management/optimization packages implemented the approach suggested in this paper (MATLAB implemented a toolbox). Stan Uryasev is a frequent speaker at academic and professional conferences. He has delivered seminars on the topics of risk management and stochastic optimization. He is on the editorial board of a number of research journals and is Editor Emeritus and Chairman of the Editorial Board of the Journal of Risk.

Abstract:

The talk discusses a new dynamic portfolio performance risk measure called Expected Regret of Drawdown (ERoD), which is an average of the drawdowns exceeding a specified threshold (e.g., 20%). ERoD is similar to Conditional Drawdown-at-Risk (CDaR) which is the average of some percentage of the largest drawdowns. CDaR and ERoD portfolio optimization problems are equivalent and result in the same set of optimal portfolios. Necessary optimality conditions for ERoD portfolio optimization lead to Capital Asset Pricing Model (CAPM) equations. ERoD Beta, similar to the Standard Beta, relates returns of the securities and those of a market. ERoD Beta is equal to [average losses of a security over time intervals when market is in drawdown exceeding the threshold] divided by [average losses of the market in drawdowns exceeding the threshold]. Therefore, a negative ERoD Beta identifies a security which has positive returns when the market has drawdowns exceeding the threshold. ERoD Beta accounts only for time intervals when the market is in drawdown and conceptually differs from Standard Beta which does not distinguish up and down movements of the market. Moreover, ERoD Beta provides quite different results compared to the Downside Beta based on Lower Semi-deviation. ERoD Beta is conceptually close to CDaR Beta which is based on a percentage of worst case market drawdowns. However, ERoD Beta has some advantage compared to CDaR Beta because the magnitude of the drawdowns is known (e.g., exceeding a 20% threshold), while CDaR Beta is based on a percentage of the largest drawdowns with unknown magnitude. We have built a website reporting CDaR and ERoD Betas for stocks and the SP500 index as an optimal market portfolio. The case study showed that CDaR and ERoD Betas exhibit persistence over time and can be used in risk management and portfolio construction.

Tuesday, February 11, 2025

Title:

Speaker: Alexey Surkov, Deloitte

Abstract:

Thursday, February 13, 2025

Title: Dimensional Analysis in Financial Engineering

Speaker: Jaehyuk Choi (MAFN Program Director), Columbia University

Abstract:

Tuesday, February 18, 2025

Title: Archegos and Credit Suisse, KeyBank

Speaker: Peter Cai

Peter Cai is a seasoned executive and recognized leader in risk management within major financial institutions. Currently, he serves as the Chief Market and Treasury Risk Officer at KeyBank, where he oversees asset liability management risk, interest rate risk, liquidity risk, traded market risk, and counterparty risk. Previously, Peter was the Global Head of Risk Data, Analytics, Reporting, and Technology (DART) at Citi, where he spearheaded critical transformation initiatives and managed teams of risk managers, analysts, quants, engineers, and consultants across all risk disciplines. His extensive experience also includes serving as the Global Head of Asset Liability and Investment Risk at Barclays, Chief Risk Officer at Global Atlantic (formerly Goldman Sachs Reinsurance), and roles in Enterprise and Portfolio Risk Management at Morgan Stanley, as well as Fixed Income Risk Strategist at Lehman Brothers. Peter holds a Ph.D. in Materials Science from Pennsylvania State University and a B.S. in Mathematics and Applied Mechanics from Fudan University in China.

Abstract:

This talk will shine a light on the Archegos failure that ultimately contributed to the downfall of Credit Suisse. First, we will introduce the business, the client, and the products that tie these two together. Then, covering a multiyear period leading up to the disastrous losses in early 2021, the focus will be on market dynamics, risk methodology, risk governance, and ultimately, risk management failure. We will collectively learn a few important lessons from this incident, as well as from other historically prominent headline losses, such as JP Morgan’s London Whale and other situations dating back to the 2008 financial crisis.

Thursday, February 20, 2025

Title: High Frequency Properties of SP500 Index

Speaker: Mikhail Smirnov, Columbia University

Abstract:

Tuesday, February 25, 2025

Title: Recent advances in the SABR model

Speaker: Jaehyuk Choi (MAFN Program Director), Columbia University

Abstract:

Thursday, February 27, 2025

Title: Intro to Interest Rate Derivatives

Speaker: Soumya Mishra, Trader, Bank of New York Mellon

Soumya Mishra is a trader on the Derivatives Desk at BNY within Fixed Income and Markets. She primarily works with interest rate derivatives: swaps, caps, and bermudan options.

Abstract:

A brief history of interest rates and their evolution since 2008 along with current interest rate derivatives and options strategies used to manage risk.

The session will involve learning the basics of trading swaps, caps, floors, listed options, and futures. We’ll touch on the effect of the implied vol surface, convexity, and duration in pricing along with the similarites and differences between these instruments. The lecture will go over how to analyze the risk associated with each of these types of trades and high level components that affect the portfolio as a whole.