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July 20, 2020

Modelling COVID-19

In today’s episode, Jo Paisley, Co-President of the GARP Risk Institute (GRI), will be speaking with David Kelly, Co-Founder and Managing Director of Quant Foundry. Their conversation focuses on a collaborative endeavour between Quant Foundry and Imperial College London to model the impacts of COVID-19. In addition to the numerous insights around the financial risks being generated by pandemic, there will be direct discussion of how risk professionals can utilise this knowledge to inform their own risk modelling, especially in the context of credit modelling.



Speaker Bio

David Kelly is co-founder and Managing Director of Quant Foundry Limited, a global leader in climate-related corporate credit modelling. David spent over 20 years’ experience in the Investment Banking sector having held a number of senior leadership and technical expert roles in Tier 1 banks such as JPMorgan Chase, Merrill Lynch and Deutsche Bank.

David’s career in banking has covered front office derivative trading, market risk management, model risk management, model validation, risk architecture and counterparty risk. David has been instrumental in the application of Risk Architecture designs for advanced modelling solutions and system changes to requirements under regulatory directives including Basel 2.5, CVA, Stress Testing, IFRS9 and FRTB.

David read Mathematics at Bristol and Part III in Pure Mathematics at Cambridge.


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