Translating machine learning concepts in risk management functions

Workshop

November 4th: Translating machine learning concepts in risk management and trading functions

 

Led by:

Ken Perry, founder, Slashrisk, adjunct professor, NYU Tandon School of Engineering 
Terry Benzschawel, founder, Benzschawel Scientific LLC
Arthur Rabatin, head of risk technology, BNY Mellon

08:20

Registration and breakfast

9.00

Machine learning models

  • Introduction to machine learning in finance
  • Neural networks - intro and some history
  • The perceptron, back propagation and regularization
  • Some financial applications
    - Detecting credit card fraud
    - Selecting mutual funds
    - Trading US Treasury bonds
  • Interpreting neural network decisions
  • Deep learning neural networks

Terry Benzschawel, founder, Benzschawel Scientific LLC

10:30

Morning break

11:00

Machine learning for trading

  • Neural Network for trading US Treasury bonds
  • Trading US$/Mexican peso
  • Beating corporate bond benchmarks
  • Predicting market moves from trading patterns
  • Deep learning models
    - Introduction to deep learning
    - Predicting corporate bond price changes
    - Market making in high yield corporate bonds
    - Predicting market moves using sentiment data

Terry Benzschawel, founder, Benzschawel Scientific LLC

12:30

Lunch

1:30

Natural language processing as part of the quant process

  • Why is text data interesting?
  • Why is text different? Challenges and solutions
  • Classical machine learning methods for dealing with text
  • Deep Learning methods for dealing with text word embedding’s
    - Convolutional Neural Networks
    - Recursive Neural Networks
    - The importance of attention

Ken Perry, founder, Slashrisk, adjunct professor, NYU Tandon School of Engineering

3:00

Afternoon break

3:30

Machine learning in risk management

  • ML applications in risk management
  • Analyze large amounts of data while maintaining granularity of analysis
  • Tools to optimize and accelerate model risk management
  • Reporting requirements within financial services
  • Pre-trade risk controls and best execution analysis
  • Data privacy, security and governance laws

5:00

End of the forum.