Managing Director, Head of Liquidity Research
Stefano Pasquali, Managing Director, Head of Liquidity Research, BLACKROCK
Stefano Pasquali Managing Director, is the Head of Liquidity Research Group at BlackRock Solutions. As Head of Liquidity Research, Mr. Pasquali is responsible for market liquidity modelling both at the security and portfolio level, as well as estimating portfolio liquidity risk profiles. His responsibilities include defining cross asset class models, leveraging available trade data and developing innovative machine learning based approaches to better estimate market liquidity. Mr. Pasquali is heavily involved in developing methodologies to estimate funding liquidity and better estimate funds flows. These models include: the cost of position or portfolio liquidation, time to liquidation, redemption estimation, and investor behavior modelling utilizing a big data approach. Stefano is a member of the Government Relations Steering Committee within BlackRock.
Previous to Blackrock, Mr. Pasquali oversaw product development and research for Bloomberg's liquidity solution, introducing a big data approach to their financial analytics. His team designed and implemented models to estimate liquidity and risk across different asset classes with a particular focus on OTC markets. Before this he lead business development and research for fixed income evaluated pricing.
Mr. Pasquali has more than 15 years of experience examining and implementing innovative approaches to calculating risk and market impact. He regularly speaks at industry events about the complexity and challenges of liquidity evaluation ̶ particularly in the OTC marketplace. His approach to risk and liquidity evaluation is strongly influenced by over 20 years of experience working with big data, data mining, machine learning and data base management.
Prior to moving to New York in 2010, Mr. Pasquali held senior positions at several European banks and asset management firms where he oversaw risk management, portfolio risk analysis, model development and risk management committees. These accomplishments include the construction of a risk management process for a global asset management firm with over 100 Billion AUM. This involved driving projects from data acquisition and normalization to model development and portfolio management support.
Mr. Pasquali, a strong believer in academic contribution to the industry, has engaged in various conversations and collaborations with universities from the US, UK, and Italy. He also participates as a supervisor in the Experiential Learning Program and Masters of Quantitative Finance Program based at Rutgers University, along with tutoring students in research activities.
Before his career in finance, Mr. Pasquali was a researcher in Theoretical and Computational Physics (in particular Monte Carlo Simulation, Solid State physics, Environment Science, Acoustic Optimization). Originally from Carrara (Tuscany, Italy), he grew up in Parma. Mr. Pasquali is a graduate of Parma University and holds a master's degree in Theoretical Physics, as well as research fellowships in Computational Physics at Parma University and Reading University (UK).
Managing Director, Head of Credit Capital and Ratings Analytics
Sven Sandow is the Global Head of Credit Risk Analytics at Morgan Stanley. During his 20-year career in the financial industry, Sven has worked in various quantitative modeling, risk management, and capital management capacities. Prior to Morgan Stanley, he worked at Merrill Lynch and Standard & Poor's. Before he joined the financial industry Sven worked as a physicist at the Virginia Polytechnic Institute and the Weizmann Institute of Science. He has been an active researcher in physics, finance, and machine learning. His research has been published in academic journals, and he coauthored a book on learning from data. Sven holds a Ph.D. in physics from the Martin-Luther-Universität Halle-Wittenberg in Germany.
Managing Director, Chief Risk Officer
MARINER INVESTMENT GROUP
Mr. Green is the Chief Risk Officer of Mariner Investment Group. Mariner is a New York-based hedge fund manager founded in 1992. Mariner and its associated advisers have approximately $11 billion in assets under management, covering single and multi-strategy hedge funds and other alternative investment products. Mr. Green serves on the Investment Committee and is involved in all aspects of the investment process, including asset allocation, portfolio construction, hedge management and trading. Mr. Green started his career at McKinsey & Co. and earned his Ph.D. in Theoretical Physics from Yale University in 2001.
Managing Director, Counterparty Portfolio Management
BANK OF AMERICA MERRILL LYNCH
Tomo Kodama is currently a Managing Director in the Counterparty Portfolio Management Group at Bank of America Merrill Lynch, which deals with firm wide XVA. The Risk Optimization Desk, which Tomo manages, focuses on MVA and on XVA Optimization.
Tomo chaired the SIMM Risk Classification and Methodology Committee which developed the ISDA SIMM model, a standard initial margin model for the uncleared derivatives market. Currently, Tomo serves as chair for the ISDA SIMM Governance Forum and industry chair for ISDA's WGMR Oversight Committee.
Tomo's previous experience includes derivatives trading and structuring, global head of electronic trading and global head of financing risk at Bank of America Merrill Lynch
Andrew Y. Chin
Chief Risk Officer and Head of Quantitative Research
Haibo Chen, Portfolio Manager and Head of Fixed Income Quantitative R&D, PINEBRIDGE INVESTMENTS
Mr. Chen is portfolio manager and head of Fixed Income Quantitative R&D at PineBridge Investments, responsible for fixed income quantitative research and product development across Currencies, Rates, Corporate Credit, Structured Assets, and Emerging Market Debt. He is also a Portfolio Manager in these products. Previously at AllianceBernstein, Mr. Chen was a team leader and managed fixed income alpha, risk, and trading strategy projects that span across fixed income asset classes. Mr. Chen started his career at BlackRock as a mortgage analyst. Mr. Chen holds a doctoral degree in Nuclear Engineering from MIT. He also holds bachelor's degrees in Engineering Physics and Economics from Tsinghua University
Chief Risk Officer, U.S. Broker-Dealer and U.S. & Mexican Swaps Dealers
Rodney Sunada-Wong, Chief Risk Officer, U.S. Broker-Dealer and U.S. & Mexican Swaps Dealers, MORGAN STANLEY
Mr. Sunada-Wong is the Chief Risk Officer for Morgan Stanley's U.S. Institutional Broker-Dealer and its U.S. and Mexican Derivatives Swaps Dealers, overseeing Market, Credit, Operational and Liquidity risk for these legal entities. He strategizes with Business Lines and with Treasury on allocating risk-taking to optimize Regulatory Capital, Initial Margin, liquidity requirements across legal entities. Key projects are enhancing governance and risk infrastructure to meet evolving regulatory challenges related to Recovery Resolution Planning ("RRP"), and the Initial and Variation Margin and Capital requirements promulgated by the FRB/FDIC, CFTC and the SEC.
Mr. Sunada-Wong teaches grad-level courses in Corporate Finance at Columbia University's IEOR school, and in Modeling Securitized Products at NYU's Courant Institute.
Previously, he oversaw market risk for Morgan Stanley's deposit-taking banks, and the Wealth Management and Global Treasury divisions, and before that, for Merrill Lynch's deposit-taking banks. Mr. Sunada-Wong began his risk management career at Commodities Corporation (Goldman Sachs Hedge Fund Strategies) and at Bankers Trust. He received his MBA in Finance from Cornell University's Johnson Graduate School of Management, and his AB from Harvard College.
Jorge R. Sobehart
Managing Director, Risk Architecture
Jorge R. Sobehart is a Managing Director at Citi Risk Architecture (Credit and Operational Risk Analytics) where he is involved in credit risk capital measurement and allocation, stress testing, advanced portfolio loss models for wholesale credit exposures, credit migration and default risk modeling. Previously, he was a member of Moody's Standing Committee on Quantitative Tools and VP senior analyst in Moody's Risk Management Services, where he developed default risk models, early warning tools and model validation metrics and procedures.
During his career, he has worked and acted as a scientific consultant for several prestigious companies and institutions making contributions in different fields, and publishing numerous technical articles and conference papers. He also acted as a referee for many professional journals in risk management, finance, physics, computation and mathematical modeling. Dr. Sobehart has advanced degrees in physics and has postdoctoral experience at the US-Los Alamos National Laboratory.
Global Head, Enterprise Risk Technology
Sandeep is responsible for managing Enterprise Risk, Compliance and Financial Regulatory Reporting Technology at BNY Mellon. In this capacity he is responsible for defining and implementing the technology strategy and architecture for these areas. The functions aggregate and report risk, financial and compliance information across the lines of businesses within the firm. He implemented data sourcing, calculation and aggregation platforms across all major risk domains including credit risk, operational risk, market risk and liquidity risk. He also helped define the data architecture for risk and regulatory reporting, with the goal of ensuring that it could be used at the enterprise level.
Sandeep also oversees other risk related platforms including for operational risk monitoring, credit ratings, economic capital and reserves. In addition, he is responsible for the CCAR strategic technology effort.
Prior to BNY Mellon, he was head of risk technology at JP Morgan Asset Management. In earlier roles he worked at Citigroup and Lehman Brothers in derivatives, FX and margining related areas. While at Citigroup, he also worked on an electronic cash initiative that was an early predecessor to Bitcoin. He has Bachelor's and Master's degrees in Computer Science from Cornell University.
EVP, Head of Risk Architecture
Chief Risk Officer
Chief Risk Officer for the Americas