Advancing the Field of Quantitative Finance
formerly the IAFE


Event: Liquidity Risk, Systemic Risk, and Market Risk
Date: April 25, 2007
5:30 Registration
6:00PM Viewing Market Risk as Contingent Liquidity Risk (Presented by Steve Allen)
6:30 Discussion/Q&A
6:45 Systemic vs. Liquidity Risk: Some Thoughts (Presented by Roy Henriksson)
7:15 Discussion/Q&A
7:30PM Reception
Goldman Sachs
180 Maiden Lane
New York City


Roy Henriksson
Advanced Portfolio Management

Steve Allen
New York University


Tobias Adrian
New York Federal Reserve Bank

John Breit
Merrill Lynch


David K. A. Mordecai
Risk Economics Ltd


This event will ask the questions:

  • What is systemic risk?
  • What is the relationship between liquidity risk and systemic risk?
  • What is the relationship between market risk and liquidity risk?
  • When and how does volatility increase (decrease) liquidity risk?
  • How does liquidity affect volatility?

The attendancewill be challenged with the following two research agendas:

  1. Parameterizing and measuring liquidity risk
  2. Measuring liquidity premia in terms of the price decomposition of complex instruments