Advancing the Field of Quantitative Finance
formerly the IAFE

Event: Why Do Things Keep Blowing Up?
Date: September 18, 2008
Time: 5:00 Registration
5:30-6:30 Event
Location:
PricewaterhouseCoopers
300 Madison Avenue (at 42nd Street)
New York

Description:

International Association of Financial Engineers presents

An IAFE Members Only Event
Tutorial Series

Why Do Things Keep Blowing Up?

Thursday, September 18, 2008
5:00 Registration and Coffee Reception
5:30-6:30 Event

PricewaterhouseCoopers
300 Madison Avenue (at 42nd Street)
New York

Tutorial led by

Richard Lindsey, CEO, Callcott Group
& IAFE Chairman

Looking at the recent incidence of failures in the financial arena – ranging from Enron, to Amaranth, to Societe General’s Kervile, to sub-prime, to the current credit crisis – we could be forgiven for thinking that we are witnessing failure on parade. While the causes of these failures are hard to pinpoint, often they have something to do with how we utilize the data we have available – particularly how we estimate the volatility of returns associated with a given product. In this session, we will look at how to incorporate rare events into our volatility estimates.