Advancing the Field of Quantitative Finance
formerly the IAFE

Publications / Papers and Presentation Library

The IAQF is an abundant resource for cutting-edge research and white papers on timely issues in quantitative finance and risk management.

Listed here are all of the IAQF's recent white papers, issued by our area-specific working groups. Presentations from our meetings are also available, as well as links to other relevant documents that might be of interest to our members.

IAQF Papers

Policy Perspectives on OTC Derivatives Market Infrastructure
March 2010

Policy Issues Facing the Market for Credit Derivatives

Does a Central Clearing Counterparty Reduce Counterparty Risk?
March 2009

Observations on Risk Management Practices during the Recent Market Turbulence
March 2008

Valuing Credit Derivative Using an Implied Copula Approach
November 2006

Valuation Concepts for Investment Companies and Financial Institutions and Their Stakeholders
June 2004

Valuation Concepts for Investment Companies and Financial Institutions and Their Stakeholders
IAQF Investor Risk Committee
November 21, 2003

IAQF Operational Risk Committee White Paper: Operational Risk & Insurance
September 23, 2003

IAQF Operational Risk Committee White Paper: Operational Risk Management for the Buy Side
November 2002

IAQF Operational Risk Committee White Paper: Operational Risk at a Crossroads
May 30, 2002

IAQF Operational Risk Committee White Paper: Evaluating Operational Risk Controls
November 2001

IAQF Investor Risk Committee Consensus Document: Findings on Hedge Fund Transparancy and Disclosure
July 27, 2001

IAQF Investor Risk Committee Consensus Document: Findings on Hedge Fund Transparancy and Disclosure October 12, 2000

IAQF Presentations

March 2014 IAQF/Thalesians Seminar Series
Presentation by Speaker Ciamac Moallemi

April 2014 IAQF/Thalesians Seminar Series
Presentation by Speaker Allan Malz

May 2014 IAQF/Thalesians Seminar Series
Presentation by Speaker Peter Carr
Variable Volatility & Financial Failure by Peter Carr
 

2011 Events
CCR Workshop
January 25, 2011
Dan Rosen 1
Dan Rosen 2
Eduardo Canabarro
Michael Pykhtin

2010 Events
2010 IAQF Conference
June 18, 2010
Mark Flannery
David Martin
Conrad Voldstad
Andrew Lo
John Hull
Richard Roll

The StressVar: A New Risk Concept for Superior Fund Allocation
March 3, 2010
Riskdata Workshop

2009 Events
Retooling Risk Management: How Practitioners Have Changed Things Since the Crisis Started
December 1, 2009
Sebastion Ceria
Antonio Baldaque

Risk Based Valuation
November 10, 2009
David Shimko

Algorithmic Trading: A Buy-Side Perspective
May 27, 2009
Petter Kolm

Credit Derivatives Markets: Policy Issues
April 28, 2009
Darrell Duffie

Extracting Information about the Stock Market's Return Forecasts and Risk Preferences from the Risk Neutral Probability Distribution
April 20, 2009
Stephen Figlewski

Economics of Estimated Future Receivables and Payables of OTC Derivatives
March 24, 2009
David Lamb
Charles Monet
Evan Picoult

2007 Events
Intelligent Commodity Investing: A Book Panel
June 11, 2007
Mark Shore
Colin Waugh
Ken Armstead
George Dowd
Hilary Till

2007 Annual Conference: From Quant to Riches
May 21, 2007
Andrew Lo The Psychology of Trading
Mark Anson Top Ten Hedge Fund Quotes
Andrew Weisman Top Ten Hedge Fund Quotes

Liquidity Risk, Systemic Risk, and Market Risk
April 25, 2007
Roy Henriksson
Steve Allen
Tobias Adrian

Hedge Fund Attributions
February 15, 2007
Jacqueline Meziani
Fabrice Rouah
Mark Shore
Hilary Till

2006 Events
Hedging Credit Spread and Default Risks in CDO Tranches
November 1, 2006
Jean-Paul Laurent
Video Available For Members

Why Should Hedge Funds Care About Operational Risk?
September 20, 2006
Summary Available Here

2006 Annual Conference: Financial Markets: Innovation or Revolution?
May 24, 2006
Risk Panel
Alternatives Panel
Phelim Boyle: Keynote Speech
Stability Panel

Separating Alpha and Beta Drivers
May 8, 2006
Mark Anson

Valuing Correlation-Dependent Credit Derivatives: Implying Copulas from Market Data
May 2, 2006
Dr. John Hull

2005 Events
A Simple GARCH Approach to Default Correlations
March 2, 2005
Dr. Robert Engle, the Michael Armellino Professor of Finance at NYU Stern School of Business and recipient of the 2003 Nobel Prize in Economics

2004 Events
2004 IAQF Annual Conference
June 3, 2004
Keynote Speech: The Price For Bearing Default Risk
Darrell Duffie, James Irwin Miller Professor of Finance, Stanford University and IAQF Senior Fellow

Asset Allocation Panel
Martin L. Leibowitz, Managing Director, Morgan Stanley
The β-Plus Measure in Asset Allocation

Presentation by Edgar J. Sullivan, Managing Director, Absolute Return Strategies, General Motors Asset Management

Alpha, Beta, Shmalpha Panel
Presentation by Leslie Rahl, President, Capital Market Risk Advisors & IAQF Board Member
Presentation by Cliff Asness, Managing and Founding Principal, AQR Capital Management, LLC

Andrew Weisman, Managing Partner, Strativarius Capital Management
Alpha Hedging: An Introduction

Post FAS 133: The Move To Fair Value Accounting
May 13, 2004
Presentation by Ira G. Kawaller, President, Kawaller & Company, LLC

2003 Events
Macrofinancial Risk Forum
November 3, 2003
Dale Gray, President, MFRisk; Senior Consultant, MfRisk-Moody's project
"A New Macrofinancial Risk Framework."

Also of interest, "A New Framework for Analyzing and Managing Macrofinancial Risks of an Economy" by Dale Gray, Zvi Bodie and Robert Merton.

2003 Annual Conference
Van Harlow, President & CEO
"Staying the Course: The impact of investment style consistency and Alpha Persistency on Mutual Fund Performances"

Jonathan Ingersoll, Adrian C. Israel Professor of Int'l Trade & Finance, Yale University; IAQF Senior Fellow
"Sharpened Sharpes"

Eric Knight, Managing Director, Knight Vinke Asset Management
"Institutional Shareholder Activism: An Alternative to Traditional Value-Based Investing"

Massoud Mussavian & Michael de Lathauwer
Equity Derivatives Research in Europe, Goldman Sachs International
"Trends and Uses of Equity Derivatives"

Stephen A. Ross, Franco Modigliani Professor of Finance & Economics, MIT; IAQF Senior Fellow
"The Role of Hedge Funds in Institutional Porfolios"

Richard Sandor, Chairman and CEO, Chicago Climate Exchange
"Convergence of Enviornmental and Financial Markets"

Insurance Risk: State of the Industry and Key Issues
April 21, 2003
Dave Ingram, Consulting Actuary, Insurance Risk Management Practice, Milliman USA

Robert Riegel, Managing Director, Life & Health Insurance Team, Moody´s Investors Service

From our April 2003 Monthly Meeting
Steve Figlewski, Professor of Finance, NYU Stern School of Business and IAQF Board Member
Assessing the Risk in Risk Assessments

From our March 2003 Monthly Meeting
John Hull, Maple Financial Professor of Derivatives and Risk Management at the Joseph L. Rotman School of Management, University of Toronto and IAQF Senior Fellow
CDS Spreads, Volatility Skews, and the Assessment of Credit Quality