Advancing the Field of Quantitative Finance
formerly the IAFE


Event: Macrofinancial Risk Forum
Date: November 3
Time: 5:30 pm Registration begins, 6 pm Program begins
Goldman Sachs
180 Maiden Lane


Macrofinancial Risk Forum

A forum discussion of financial engineering frameworks for sovereign credit risk structure and risk in economies.

Panelists will include:
Dale Gray, Moodys and MfRisk
George Handjinicolaou, Etolian Capital
Erwin Martens, TIAA-CREF
Cheryl Rathbun, Citigroup

Sponsored by Moodys and MfRisk.

This panel discussion will focus on applications of modern financial engineering tools to analyze sovereign credit risk and risk in both developed and emerging market economies. The program will begin with a brief introduction based on Dale Gray's recent paper, co-authored with Robert Merton, on a new framework for analyzing macrofinancial risk, and results from Moodys-MfRisk models.

Discussion topics will include:

  • A practitioner's perspective of applications for portfolio credit risk analysis and risk management.
  • Potential applications for trading (such as relative value and sovereign capital structure arbitrage.)
  • The advantages of having risk exposure measures and market value balance sheets for the government, major financial and corporate sectors to supplement traditional macroeconomic income accounts.
  • Implications for new strategies for risk mitigation, risk transfer, and policy design at the sovereign level.
  • How a contingent claims approach for valuing sovereign liabilities and convertibility risk relates to political and other risks.

A cocktail reception will follow the event.

This is a free event.