2024-10-07 - 2024-10-11
Team d-fine
d-fine, Frankfurt am Main
In our lecture series we examine the transformative impact of disruptive events and crises across critical industries, through the lens of quantitative analysis. Specific topics are the following:
• “Quantitative Model Buildingin a Complex World”: In recent years, mathematical modeling of complex systems greatly increased such as business and economics as well as humanities and social sciences and the applied sciences. In particular, physicists and mathematicians are well prepared for such modelling tasks through their studies. The transfer of known model approaches into new contexts is an essential part of the work. The talk provides a cursory overview by examples.
• “Avoiding the Overload: How Quantitative Methods Are Applied to Optimize Power Grid Utilization”: We discuss the increasing load on the electrical grid caused by the energy transition and show how quantitative methods like optimization and machine learning techniques enable optimal usage of power grids in the face of these rising demands.
• “The Power of Derivatives: Using Complex Trades to Navigate the Energy Crisis”: In this talk we explain how complex instruments such as power purchase agreements (PPAs) are used to support the energy transition. We explore advanced modelling techniques for forecasting energy prices and for assessing the economic impact of energy derivatives.
• “When Hedge Funds Go Wild: the End of Credit Suisse and the (R)evolution of Counter-party Credit Risk Regulation”: We investigate the impact of the Archegos default and the subsequent changes in market standards of measuring and regulating counterparty credit risk, highlighting the importance of quantitative analysis for financial stability.
• “Micro-Mobility Transformation: Business Case or Policy Nightmare? Leveraging Mobility Data for Urban Planning”: This talk explores the dual nature of micro-mobility innovations as both promising business opportunities and significant policy challenges for cities. We will actively examine how mobility data can enhance business models and contribute to more effective urban planning.
Participants will gain valuable insights into how quantitative methods drive efficiency, optimize resource allocation, and support strategic decision-making amid disruptive changes. Join us to learn about harnessing the power of data and models to navigate turbulent times. And join us to get some insights into d-fine (in the 2nd half of the presentation on Monday).
Agenda:
• Monday, 07.10.2024, 14:00 - 16:00: Dr Oliver Hein, “Quantitative Model Building in a Complex World”
• Monday, 07.10.2024, 16:00 - 17:00: Nadja Schuster, “defining d-fine”
• Tuesday, 08.10.2024, 14:00 - 17:00: Dr Mischa Gerstenlauer, “Avoiding the Overload: How Quantitative Methods Are Applied to Optimize Power Grid Utilization”
• Wednesday, 09.10.2024, 14:00 -17:00: Dr Christian Kappen, “The Power of Derivatives: Using Complex Trades to Navigate the Energy Crisis”
• Thursday, 10.10.2024,14:00 - 17:00: Dr Holger Plank, “When Hedge Funds Go Wild: The End of Credit Suisse and the (R)evolution of Counterparty Credit Risk Regulation”
• Friday, 11.10.2024, 14:00 - 17:00: Dr Lisa Löbling, Dr Marc Rebholz, “Micro-Mobility Transformation: Business Case or Policy Nightmare? Leveraging Mobility Data for Urban Planning”
Monday, 07.10.2024, 14:00 - 16:00
• Title: Quantitative Model Building in a Complex World
• Speaker: Dr Oliver Hein
• Short CV:
Dr Oliver Hein is one of the Partners at d-fine. Oliver specialises in strategic treasury and quantitative steering questions. He is responsible for d-fine’s theme cluster Business Control Banking comprising the topics Accounting, Asset Liability Management, Compliance, Financial Controlling, Liquidity, and Regulatory Reporting.
His latest projects focus on the development of dynamic balance sheet models, which are essential for the adequate controlling and steering of banks and corporate treasuries in volatile and faste volving markets.
Dr Hein studied chemistry and mathematics at the TU Braunschweig and earned PhDs in theoretical chemistry (quantum chemistry of disordered solids) and mathematics (computer-assisted algebraic description of non-linear time series).
Monday, 07.10.2024, 16:00 - 17:00
• Title: defining d-fine
• Speaker: Nadja Schuster
• Short CV:
Nadja Schuster is a Partner at d-fine. She has over 15 years of working experience in consulting covering the digital transformation of the public sector and risk management at banks. Her work includes the implementation of new regulatory initiatives and enabling clients to use data more extensively and effectively in decision-making processes.
Before joining d-fine, Mrs Schuster worked as a Market Risk Manager at DZ BANK. She studied Mathematics at TU Darmstadt and Universidad de Salamanca. She also holds an Executive MBA from Mannheim Business School.
Tuesday, 8.10.2024, 14:00 - 17:00
• Title: Avoiding the Overload: How Quantitative Methods Are Applied to Optimize Power Grid Utilization
• Speaker: Dr Mischa Gerstenlauer
• Short CV:
Dr Mischa Gerstenlauer is a Senior Manager at d-fine and has been part of the company for over 10 years. Mischa specializes in the energy industry, particularly in transmission and distribution system operators and utility companies. The topics of his projects are primarily in asset management (the optimal management of the power grid and power plants) and energy system modelling for planning the future energy system over the coming decades. In this context, digitalization and data-driven decisions and processes always play a crucial role.
Before starting at d-fine, Mischa studied and earned a PhD in physics at the University of Heidelberg.
Wednesday, 09.10.2024, 14:00 - 17:00
• Title: The Power of Derivatives: Using Complex Trades to Navigate the Energy Crisis
• Speaker: Dr Christian Kappen
• Short CV:
Christian Kappen is a Senior Manager at d-fine with more than 11 years of experience in quantitative finance. He has a track record in derivatives pricing & hedging, counterparty credit risk modelling, model validation, and banking supervision, with clients both in the banking and in the energy sector.
Before joining d-fine, Christian worked as a researcher in pure mathematics (arithmetic algebraic geometry): at the MIT, the University of Münster and the University of Duisburg-Essen. He holds a PhD in mathematics (University of Münster) and an MSc in mathematical finance (Oxford University).
Thursday, 10.10.2024, 14:00 - 17:00
• Title: When Hedge Funds Go Wild: The End of Credit Suisse and the (R)evolution of Counterparty Credit Risk Regulation
• Speaker: Dr Holger Plank
• Short CV:
Holger Plank is a Partner at d-fine and is responsible for d-fine’s expertise in designing and implementing pricing platforms and dedicated valuation infrastructure for banks, asset managers,(re-)insurance companies and other clients. Many of his projects deal with the question of how to expose complex and computationally extensive pricing functionality centralised in pricing libraries to various stakeholders within an organisation which require different use cases and SLAs. In recent times, cloud-based implementations have moved into focus on the technical side.
Holger is also heading d-fine's competence team for quantitative CCR and XVA and has been working on XVA-related projects for a significant portion of the last ten years. Earlier in his consulting career, he worked as a financial engineer on almost all asset classes including IR, FX, inflation, equity and commodities, but also contributed to various market risk and front office projects. He holds both MSc and PhD degrees in Mathematics (University of Regensburg) and an MSc in Mathematical Finance (Oxford University).
Friday, 11.10.2024, 14:00 - 17:00
• Title: Micro-Mobility Transformation: Business Case or Policy Nightmare? Leveraging Mobility Data for Urban Planning
• Speaker: Dr Lisa Löbling
• Short CV:
Dr Lisa Löbling is a Manager at d-fine. She specialised in the field of mobility and transportation and gained expertise in this sector through various projects ranging from business analysis and strategy development, data and process analytics to the application of optimisation and operationalisation of intelligent forecasting.
A key aspect of her professional experience involves working in cross-functional teams with clients in the road, rail, and air transport industry on the success fulimplementation of data analytics solutions, encompassing the establishment of robust data warehouses, development of data processing routines, and creation of user-friendly analysis tools such as dashboards.
• Speaker: Dr Marc Rebholz
• Short CV:
Marc Rebholz is a Consultant at d-fine. He has professional experience in the banking sector with a focus on trading systems and EU market regulation (which aims at preventing future financial crises). He enjoys working at the intersection between technical and operating departments, wheredata is being used to streamline day-to-day business.
Before joining d-fine, he did his PhD at Heidelberg University and worked as a researcher at the MPIK in Heidelberg studying ultrafast quantum dynamics.
