Department of Mathematics

The financial math quant symposium at the Florida State University is a twenty four years old tradition to provide our students with guidance on the new trends in the quantitative finance and the success stories from some senior quants and including some of our alumni. Although the main goal of the quant symposium is to serve our own students, we welcome all interested students to attend.

Program

Friday, 2 December 2022

Reception

2:30pm-3:00pm, 204B Love Building

Welcome and Announcements

By Sam Huckaba, the Dean of the College of Arts and Sciences and Washington Mio, the Chair of the Department of Mathematics

4:15pm-4:30pm, 101 Love Building

Friday Talk

Zhiqiu Li, Quantitative Analyst at Wells Fargo, Charlotte (PhD FSU 2020)

Title: Counterparty Credit Risk for Risk Participation Swaps

Abstract: A Risk Participation Swap (RPS) is an agreement by which a bank hedges/offsets a portion or all of the credit risk arising from an over-the-counter (OTC) derivatives transaction with one of its counterparties. These agreements allow banks to continue to trade with their counterparties by staying within approved exposure limits with these counterparties. In this talk, we will discuss how the counterparty credit risk for risk participation swaps is measured from a quantitative modeling perspective.

4:30pm-5:15pm, 101 Love Building

Reception

5:30pm, Chemistry Building Lobby

Saturday, 3 December 2022

Breakfast

9:00am-9:30am, 101 Love Building

Introduction of Saturday Speakers

9:30am, 101 Love Building

Saturday Talks

Zailei Cheng, Vice President at Citi, Tampa (Ph.D. FSU 2018)

Title: Introduction to Market Risk

Abstract: Market risks are growing due to volatility, securitization and increased trading. In this talk we will introduce the concept of market risk, focusing on value at risk (VaR) measure. VaR is a statistical technique used to measure the amount of potential loss that could happen in an investment portfolio over a specified period of time. Approaches to calculate Value-at-Risk are discussed.

9:30am-10:15am, 101 Love Building

Yuan Cheng, SVP, Market Risk Analytics, Citigroup (Ex.)

Title: LIBOR Transition for Market Risk

Abstract: The transition from LIBOR to new alternate risk-free rates will bring considerable challenges for financial institutions in many areas. One typical challenge is how to handle this transition properly in market risk. For example, how to appropriately capture the new ARRs and ARRs linked basis risk in VaR or SVaR calculation, whether any existing risk convention will be changed when Libor discontinues in market, etc. Therefore, how to address these challenges and prepare for this transition becomes one of the most interesting topics in financial institutions.

10:15am-11:00am, 101 Love Building

Break

11:00am-11:15am, 101 Love Building

Job Panel

11:15am-12:00pm, 101 Love Building

Acknowledgement:

Department of Mathematics, Florida State University

College of Arts and Sciences, Florida State University