Advancing the Field of Quantitative Finance
formerly the IAFE


Event: IAFE Investor Risk Committee Forum on Valuation
Date: February 6
Time: 8:15 am to 12:30 pm
Goldman Sachs
32 Old Slip

Description: Recent events in the traditional and alternative asset management business have put valuation at the center of attention in the investment community. Current regulatory developments have also highlighted the importance of proper internal valuation procedures for portfolios of assets. Following the paper it released in November on valuations concepts, the Investor Risk Committee (IRC) of the IAFE is pleased to host this free half-day seminar to explore valuation issues and their implications for investment management.

Please use the following link to view the IAFE Paper on Valuation Concepts.

8:15 – 9
Registration & Coffee

9 – 10.30
Introduction: Editing the IAFE Valuation Concepts White Paper
Leon Metzger, Paloma Partners and Chair of the IAFE Advisory Board

Valuation & Transparency: The Challenges of Implementation and Execution

Chair: Tanya Styblo Beder, Caxton Associates, and US Chair of the Investor Risk Committee
Panel: Carolyn Jackson, Allen & Overy and IAFE Advisory Board Member
Andrew Lo, MIT and AlphaSimplex Group, and IAFE Senior Fellow
Leo Lueb, PGGM, and IRC Steering Group Member
Maarten Nederlof, K2 Advisors, and IRC Steering Group Member
David Rowe, SunGard Trading & Risk Systems, and IAFE Board Member

This session will focus on the implementation and execution of issues arising from the valuation proposals recently put forward by the IRC. Current implementation practices diverge geographically and by business type. Will current differences persist, or will we see best practice procedures prevail? Panelists will comment on the IRC's proposals and discuss their experiences with transparency and valuation.

10.30 - 11
Coffee Break kindly sponsored by SunGard's Reech

11 – 12.30
The Way Forward: Will Structures of Responsibility Change as Investment Funds Head Towards Institutionalization?

Chair: Luke Ellis, Financial Risk Management
Panel: John Budzyna, Ernst & Young
Donna Howe, Angelo Gordon
Richard Perry, Simmons & Simmons
Leslie Rahl, Capital Market Risk Advisors and IAFE Board Member
Bill Ullman, Bear Stearns

Prime brokers, administrators, and auditors as well as managers of investment funds and fund of funds are parties to the valuation process. This session will examine the current roles and respective responsibilities of these parties in the valuation process. Panelists will discuss existing and possible requirements in a financial world that moves towards institutionalization. The panel will also debate the role of the off-shore industry's current as well as the possible implications of regulation.