Advancing the Field of Quantitative Finance
formerly the IAFE


Event: 2005 Liquidity Risk Symposium
Date: December 1 - December 1
Time: 9:00 am
The Reuters Building
3 Times Square
New York, NY


Fall 2005 Liquidity Risk Symposium

Panels will include:
Episodic Liquidity Crises
presented by Miguel Lobo of Columbia and Duke, with discussant Robert Almgren, Bank of America

Market Liquidity & Funding Liquidity
presented by Lasse Pedersen of NYU, with discussant David KA Mordecai of Risk Economics Limited, Inc. and LRC Committee Co-Chair

Predatory Trading
presented by Markus Brunnermeier of Princeton, with discussant Til Schuermann of the Fed and Columbia

Public Provision of Private Liquidity
presented by Z. Wang of the Fed, with discussant Roy Henriksson of APM Capital and LRC Committee Co-Chair

Liquidity risk, a universal and ubiquitous risk, is viewed as the underlying driver of market bubbles and crashes, credit crises and financial contagion. At this event leading researchers in the field will present state of the art research from the emergent literature on liquidity phenomenon and their effects on markets and financial institutions. Senior industry practitioners and regulators will be present to discuss relevant practical applications and implications of these findings. Topics will include: liquidity crises, relationship between access to funding and market liquidity, strategic and predatory trading and its market impact, as well as the role of government agencies in providing a liquidity safety net.

Sponsored by JPMorgan.

Hosted by Reuters.

Thursday, December 1, 2005
9:00 Registration
9:45 Morning Sessions
12:00 1:45 Break for Lunch (not provided)
1:45 4:00 Afternoon Sessions
4:00-5:00 Coffee Reception at Reuters