February 2020

Some Financial Applications of Machine Learning
Terry Benzschawel, Founder and Principal
Benzschawel Scientific, LL

When: Tuesday, February 11, 2020, 6pm – 8:30pm
No catering at this meeting
Deloitte has generously made this meeting space available for the meeting.

Place: Deloitte
Room: Gotham A, 39th Floor
1221 Avenue of the Americas (6th Avenue)
New York, NY
Between 48th and 49th Streets in Midtown Manhattan

In this talk, Terry will present an overview of neural networks and several applications that he has developed over the years. That is, he begins by describing artificial neurons, their activation functions, and error back propagation. This is followed by a discussion of why neural networks work, and a description of early applications of neural networks for detecting fraudulent credit card transactions and predicting which clients will give up their credit cards. He next describes several methods for interpreting neural network decisions (i.e., demystifying the “black box”). This is followed by applications in bond trading including networks used to trade US Treasury bonds, predicting market moves from investor trading patterns, and predicting corporate bond spread moves. Finally, he discusses using sentiment data to predict corporate bond market moves and conclude with a brief discussion of how artificial intelligence/machine learning is transforming bond markets.
Speaker Bio:
Terry Benzschawel recently started his own firm after 30 years as a quant on Wall Street. The firm specializes in financial education, advanced model development, and systematic trading. Before that, Terry was a Managing Director in Citigroup's Institutional Clients Business, heading the Quantitative Credit Trading group.

Terry received a Ph.D. in Experimental Psychology from Indiana University (1980) and his B.A. (with Distinction) from the University of Wisconsin (1975). Terry has done post-doctoral fellowships in Optometry, Ophthalmology, and engineering prior to embarking on a career in finance.

Terry began his financial career in 1988 at Chase Manhattan Bank, building genetic algorithms to predict corporate bankruptcy. In 1990, he moved to Citibank and trained a neural network to detect fraud on credit card transactions. In 1992 he was hired by Salomon's Fixed Income Arbitrage Group to build models for proprietary fixed income trading. In 1998, he moved to Citi’s Fixed Income Strategy department as a credit strategist with a focus on client-oriented solutions across all credit markets where he worked in related roles since then.

Terry is a frequent speaker at industry conferences and events and has lectured on credit modelling at major universities and government institutions. In addition, he has published over a dozen articles in refereed journals and has authored two books: CREDIT MODELING: FACTS, THEORIES AND APPLICATIONS and CREDIT MODELING: ADVANCED TOPICS.