Advancing the Field of Quantitative Finance
formerly the IAFE

Event: Lessons from the Subprime Market:
Implosion and its Consequences
Date: November 10, 2008
Time: 5:30 Registration, 6:00 Program Begins, 7:30 Reception
Pricewaterhouse Coopers
300 Madison Avenue (at 42nd Street)
New York

The International Association of Financial Engineers is pleased to invite you to

Lessons from the Subprime Market:
Implosion and its Consequences

A Credit Risk Committee Event

November 10, 2008

300 Madison Avenue (at 42nd Street)
New York

Sponsored by
DSTi’s Askari Risk Solutions

Michel Crouhy, Natixis
David Rowe, SunGard & IAFE Board Member
Til Schuerman, Federal Reserve Bank of New York

Event Description:

There is plenty of blame to go around in the current crisis. At it's root, however, has been a failure to focus on some fundamental principles.

- One is a failure to recognize the unavoidable uncertainty surrounding estimates deep in the tail of distributions based on limited data.

- Another is a lack of structural imagination in assessing the likely consequences of contingent events such as a general fall in housing prices.

- A third is failure to consider how the success of some innovations alters the environment in ways that undermine the continuation of that success.

- A fourth is failure to consider what alternate means of valuation exist for various products if liquidity evaporates and how effective these alternate valuation methods are likely to be.

An serious consequence of these combined failures is a situation where the fair value of a significant portion of bank assets is in doubt and where this doubt translates directly into uncertainty about the level of bank capital.