Advancing the Field of Quantitative Finance
formerly the IAFE

Events

Event: Liquidity Risk, Systemic Risk, and Market Risk
Date: April 25, 2007
Time:
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
 
Location:
Goldman Sachs
180 Maiden Lane
New York City

Presenters:

Roy Henriksson
Advanced Portfolio Management

Steve Allen
New York University

Discussants:

Tobias Adrian
New York Federal Reserve Bank

John Breit
Merrill Lynch

Moderator:

David K. A. Mordecai
Risk Economics Ltd

 

Description:
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