Advancing the Field of Quantitative Finance
formerly the IAFE


Event: Liquidity Risk Buffers
Date: December 11, 2007
Time: 5:30 Registration, 6:00 Program Begins, 7:30 Reception
Merrill Lynch
South Tower Cafeteria on 3rd Floor
2 World Financial Center
225 Liberty Street
New York

The Liquidity Risk Committee of the International Association of Financial Engineers presents

Liquidity Risk Buffers: Lessons From 2007

A Panel Discussion For Students
Interested in a Career in Quantitative Finance

A Special Reception with Recruiters will follow the Panel Discussion


Roy Henriksson
CIO, Advanced Portfolio Management

Michael Johannes
Roger Murray Associate Professor of Finance, Columbia Business School

Chester Spatt
Mellon Bank Professor of Finance Tepper School of Business, Carnegie Mellon University and Former Chief Economist, Securities and Exchange Commission


Across a wide range of markets, liquidity has severely deteriorated in 2007. This deterioration has fluctuated over the course of the year and has been more severe in some markets than others. In some markets, liquidity has improved relatively quickly, while in other markets, trading has virtually ceased to exist, even in the face of dramatic price reductions.

  • What were the triggers that brought about this sudden and severe decline in liquidity?
  • What were the similarities and differences from past liquidity events?
  • What could have been done to prevent this liquidity event?
  • What is the appropriate role of regulators?


Hosted By:
Merrill Lynch