MFE Events

Black 76: 40 Years Later

Date: 15 FEBRUARY 2017, WEDNESDAY
Time: 5.00PM – 6.00PM
Venue: Seminar Room Level 1,
21 Heng Mui Keng Terrance
I³ Building, Singapore 119613 [map]

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Black 76: 40 Years Later

Suiunbek

Dr. Suiunbek Ibraev
Head of Market Risk Quants
OCBC Bank

Dr. Ibraev has more than 15 years of investment banking experience. He worked in Frankfurt, London and Singapore as a front office quant in Dresdner Kleinwort, Commerzbank, VTB Capital, ANZ specialising in interest rates and foreign exchange exotics. Models developed by Dr. Ibraev had been used for real time pricing, hedging and risk management. He is in charge of analytics and market price control in market risk management department at OCBC Bank. Dr. Ibraev oversees model validation and risk methodologies, e.g. VaR and CRE. He holds PhD in Global Optimisation from University of Wuppertal, Germany.

Overview

  • Financial Markets
  • Empirical distribution
  • Log-normal approximation
  • Industrial usage
  • Going beyond log-normal
  • Log-normal: too early to retire

 

For enquiries, please contact: Yati Kum , 6516 4595, rmink@nus.edu.sg