Webinar FaIR Deep Learning in Finance: From Implementation to Regulation – Replay

Last modification: 10/01/2021

Replay AI-based Asset & Risk Management - 27 September 2021

The ILB FaIR webinar took place on 27 September, in partnership with EDF, ACPR and The Alan Turing Institute. AI computation of trading and hedging strategies has opened up new opportunities, including the ability to solve high-dimensional problems, management of constraints (liquidity, transaction costs, proxy hedging), and a more flexible choice of the criterion to be optimised. In this session, we will present the latest improvements to these methods and their operational use.

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Replay Generative Methods for Simulations and Risk Management - 28 September 2021

Generative methods (GANs, VAEs, etc.) applied to time series simulations allow the model to be updated in a flexible way without having to spend time designing a new stochastic model. However, the direct application of generative adversarial networks (GANs) to time series is not straightforward. We present recent advances in time series generation and discuss the issues they raise.

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Replay Confidence and Regulation of AI-based Algorithms - 29 September 2021

AI brings many improvements to the financial sector: faster and more flexible, AI algorithms tend to provide better forecasts, simulations or internal controls. However, there is a lack of confidence when it comes to the industrial implementation of AI: insufficient unit testing, lack of theoretical guarantees, data sensitivity. We will discuss how to increase the explainability and trust in AI algorithms, both from the regulators’ and the industry’s perspective.

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Day 1 – AI-based Asset & Risk Management
Monday 27/09 (9:00-12:30 AM CET) 

Arnulf Jentzen (University of Münster & The Chinese University of Hong Kong)
Title: Convergence analysis for gradient descent optimization methods in the training of ReLU neural networks – get the slides


Josef Teichmann (ETH Zurich)
Title: Deep Asset Liability Management – get the slides


Joseph Mikael (EDF – Senior Research Engineer)
Title: A Quick Overview of EDF’s AI Research and Applications in Finance Related Activities – get the slides


Day 2 – Generative Methods for Simulations and Risk Management
Tuesday 28/09 (9:00 – 12:30 AM CET)

Lukasz Szpruch (University of Edinburgh & Alan Turing Institute)
Title: Neural SDEs and their Offsprings in Risk Management – get the slides


Blanka Horvath (King’s College & Technical University of Munich & Alan Turing Institute)
Title: Kernel Methods in Generative Modelling – get the slides


Edmond Lezmi (Amundi, Head of Multi-Asset Quantitative Research)
Title: Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks – get the paper


Day 3 – Confidence and Regulation of AI-based Algorithms
Wednesday 29/09 (9-12:30 AM CET)

Jean-Michel Loubes (Université Toulouse Paul Sabatier)
Title: What solutions can be Provided Using Mathematical Tools? – get the slides


Stéphane Crépey (Université de Paris)
Title: Darwinian Model Risk and Reverse Stress Testing – get the slides


Olivier Fliche (ACPR – Head of Fintech/Innovation department)
Title: Gouvernance of AI Algorithms in the Financial Sector – get the slides