Written on 01 June 2017.
In early May 2017; the Global Derivatives Conference entitled “How to Survive & Thrive in the New Era for Quant Finance” took place in Barcelona.
Professor Riccardo Rebonato (EDHEC Business School) gave a talk about smart-beta in fixed income, and about stress testing with Bayesian nets. Rodney Hoskinson, PhD (2016), was invited to give a presentation in the Interest Rate Modelling stream on “Why it’s time to swap to switching interest and default rate models”. Rodney Hoskinson is currently the manager of KVA desk quantitative analysis in Fixed Income, Currencies and Commodities at National Australia Bank.