Peter Carr Brooklyn Quant Experience (BQE) Lecture Series: Florian Bourgey & Fabrice Fiol

Lecture / Panel
For NYU Community

Peter Carr BQE Seminar Series

This event will take place in person and online. 

Meeting ID: 961 2014 6651
Password: PCBQE425


This talk will begin at 4:30 pm.

Florian Bourgey

Quantitative Researcher, Bloomberg

Florian BourgeyTitle

Smile Dynamics in Rough Volatility Models


We investigate the dynamic characteristics of various stochastic and rough volatility models, including classical examples like the 2-factor Bergomi model, rough Bergomi model, Heston, and rough Heston. Specifically, we focus on the dynamics of option-implied volatilities induced by these models. While recent literature has extensively analyzed the static properties of some models, such as their calibration power or the term structure of ATM skews, their dynamic properties have received less attention. We examine the Skew-Stickiness Ratio (SSR) introduced by Bergomi as an indicator of joint spot price and implied volatility dynamics. Using different estimators, primarily Monte Carlo-based, we compare the results with empirical market SSR for large stock indices. This comparison sheds light on the suitability of certain modeling choices.


Florian Bourgey is a quantitative researcher on the Quantitative Research team in the Office of the CTO at Bloomberg in New York. Florian's research focuses on Monte Carlo simulations, stochastic approximations, climate risk, volatility modeling, and machine learning. He holds a Ph.D. in applied mathematics from Ecole Polytechnique


This talk will begin at 5:30 pm.

Fabrice Fiol

Managing Director, Head of Risk Management, Kuvare Asset Management

Fabrice FiolTitle

Enterprise Risk Management & Stress Testing: The Road Ahead


In this talk, Fabrice Fiol will explore the various functions which are overseen by Enterprise Risk Management (ERM) teams and how ERM  has gained traction in recent years.

He will also address current macro-economic environment, financial markets including public/private investments and the challenges ahead.

Finally, he will touch on recent crisis and address how stress testing techniques can evolve to tackle new asset classes or emerging risks.


Fabrice Fiol joined Kuvare Asset Management in 2022 as Managing Director, Head of Risk Management.

Kuvare Asset Management partners with institutional investors and borrowers to deploy capital through a solutions-oriented approach.
Fabrice Fiol was previously a Managing Director and Deputy Head of the Enterprise Risk Management Societe Generale Americas division. In this capacity, he co-managed a team responsible for risk appetite statement and reporting, risk identification, enterprise wide stress testing, and governance including regulatory oversight for the Americas. He was previously in charge of the market risk cross-asset team overseeing regional limit framework, Market Risk Stress Testing, and various regulatory market risk initiatives. 

He joined Societe Generale NY in 2009. Prior to SG, Fiol was a Senior Vice President at Natixis-NY in charge of Trading Risk Management on a U.S Agency MBS portfolio.  Prior to Natixis, he was a Vice President at the reinsurance company SwissRe where he developed pricing analytics and later joined the U.S Rates Derivative Desk trading.

He has co-authored an article in the RMA Journal in 2017 “Risk Appetite: How Banks are responding to risk in a new regulatory environment” and published  “Enterprise risk management: Towards a comprehensive yet practical enterprise risk function” in the Journal of Risk Management in Financial Institutions (Volume 12- 2019).

Fabrice Fiol  is a lecturer in the Columbia University SPS Enterprise Risk Management Program. He graduated with a master’s degree from ENSAE (National School of Statistics and Economics).