Advancing the Field of Quantitative Finance
formerly the IAFE


Event: Alternative Investing: The Beginning of the End or the End of the Beginning-- London
Date: November 9
Time: 9:00 am - 6:00pm
Merrill Lynch Financial Centre
2 King Edward Street
London, EC1A 1HQ


Alternative Investing: The Beginning of the End or the End of the Beginning?

Wednesday, 9th November 2005
8am breakfast, 9am sessions start, cocktails 6pm
Hosted by Merrill Lynch, London

For the benefit of our members, the IAFE and AIMA invite you to attend this inaugural private event.

This high-level event offers an opportunity for industry leaders to discuss specific issues that will affect the future of our industry. With space for only 200 people, the forum is designed to create lively discussion through which we can identify collectively the way ahead.

8 am Registration/Breakfast

9 am Opening Remarks:
Giovanni Beliossi, Managing Partner, FGS Capital & IAFE Board Member

9:10 am Conference Host Opening Remarks:
Edward Platt, Managing Director, European Head of Equity Finance, Merrill Lynch

9:15 am Keynote Speech: The Distribution of Portfolio Value

Oldrich Vasicek, 2004 IAFE/SunGard Financial Engineer of the Year

Under some assumptions, the distribution of the losses on a loan portfolio converges with increasing portfolio size to a limiting distribution, whose form is explicitly given. The limiting distribution also applies to the changes in the portfolio value due to credit migration. This distribution can be used to structure portfolio derivatives (such as CDOs). The corresponding risk neutral probability distribution, needed for pricing portfolio derivatives, is provided.

10:15 am The Critique of Pure Alpha – A View on the Future of Asset Management,
Alexander Ineichen,UBS

11:15 am Morning Break

11:45 am The Present and Future of Alternative Investment at PGGM,
Peter-Jan de Koning, Senior Portfolio Manager, Absolute Return Strategies, PGGM Investments.
Introduction and Q&A moderated by: Edward Platt, Managing Director, European Head of Equity Finance, Merrill Lynch

12:45 pm Morning Wrap-up, David Jaffe, Director, IAFE

12:50 pm Lunch

2:15 pm Florence Lombard, Executive Director, AIMA

2:20 pm The Global View of Regulation,
Iain Cullen, Partner, Simmons & Simmons, & Legal Counsel AIMA
Charles Fishkin, Director, Office of Risk Assessment, Securities Exchange Commission (Invited)
Chris Rexworthy,Financial Services Authority (Invited)
Moderator: Gay Huey Evans, President, Tribeca Global Management, Europe

3:20 pm AIMA & IAFE Valuation Panel

Presentation and Discussion around the AIMA Asset Pricing and Valuation Study & IAFE Valuation Concepts Paper

Introduction by: Leon Metzger, Vice-Chairman, Paloma Partners & IRC Steering Group Member, IAFE
Segun Aganga, Managing Director, Goldman Sachs & Chairman, AIMA Research Committee
Olwyn Alexander, Partner, PricewaterHouseCoopers
Kieran Conroy, Managing Director, CITCO
Luke Ellis, Managing Director, Financial Risk Management

4:20 pm Afternoon Break

4:45 pm Insurance and Real Estate – The Next Frontier?

Moderator: Roger Urwin, Global Head of Investment Consulting, Watson Wyatt
Richard Lewy, Chairman, Atrium Underwriting
Rick Montgomerie, Director,MV Reinsurance Advisors Ltd.
Iain Reid, CEO & CIO, Protego Real Estate

5:45 pm Closing Remarks

5:50 pm Wine & Cheese Reception