Advancing the Field of Quantitative Finance
formerly the IAFE

Event: 2009 Annual Conference
Date: June 24, 2009
Time: 8AM Registration; Program runs from 9AM - 6:00PM
Location:
PricewaterhouseCoopers
300 Madison Avenue (at 42nd Street)
New York City

The International Association of Financial Engineers presents

Nobel Prize winner Robert Engle and IAFE Financial Engineer of the Year Bob Litterman at:

The 2009 IAFE Annual Conference

PricewaterhouseCoopers
300 Madison Avenue (42nd Street)
June 24th, 2009

The IAFE Annual Conference, now in its 17th year, attracts approximately 250 middle and senior level practitioners  from the banking, asset management, insurance, institutional investor,  and alternative investment communities. Attendees in the past have come from, Goldman Sachs, JPMorgan, Caxton Associates, Pacific Alternative Asset Management Corporation, the Federal Reserve Bank of New York and many others.  Please see below for program details and information on how to register.

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This year’s keynote speech will be given by the 2008 IAFE/SunGard Financial Engineer of the Year Winner, Bob Litterman, Goldman Sachs.

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This year’s opening speech will be given by Robert F. Engle, Michael Armellino Professor of Finance, New York University, Stern School of Business, 2003 Nobel Prize recipient in economics, and Director, Volatility Institute.

Program Agenda

8:00 am

Registration

Coffee & Light Breakfast 

8:45 am

IAFE Annual General Membership Meeting 

9:00 am

Opening Remarks

Richard Lindsey, CEO, Callcott Group. & IAFE Chairman 

9:15 am

Opening Speech: Long Run Skewness and Systematic Risk

Financial Risk Management has generally focused on short run risks rather than long run risks and arguably this is an important component of the current financial crisis.  Econometric approaches to measuring long run risk are investigated by testing for measures of long run skewness associated with asymmetric volatility models. This skewness in a market factor leads to default correlations even far in the future.   Investors concerned about long run risks can hedge exposure as in the  ICAPM.  Such hedging will affect asset prices and can be tested directly with volatility models.  Using estimates from VLAB, evidence is found for several types of hedge portfolios including volatility, long bonds, term spread, credit spread and gold.

Robert F. Engle, Michael Armellino Professor of Finance, New York University, Stern School of Business, 2003 Nobel Prize recipient in economics, and Director, Volatility Institute. 

Robert Engle was awarded the 2003 Nobel Prize in Economics for his research on the concept of autoregressive conditional heteroskedasticity (ARCH).   He developed this method for statistical modeling of time-varying volatility and demonstrated that these techniques accurately capture the properties of many time series. Professor Engle shared the prize with Clive W. J. Granger of the University of California at San Diego.


Professor Engle is an expert in time series analysis with a long-standing interest in the analysis of financial markets. His ARCH model and its generalizations have become indispensable tools not only for researchers, but also for analysts of financial markets, who use them in asset pricing and in evaluating portfolio risk. His research has also produced such innovative statistical methods as cointegration, common features, autoregressive conditional duration (ACD),  CAViaR and now dynamic conditional correlation (DCC) models.


Before joining NYU Stern in 2000, Professor Engle was Chancellor's Associates Professor and Economics Department Chair at the University of California, San Diego, and Associate Professor of Economics at the Massachusetts Institute of Technology. He received his bachelor of science in physics from Williams College and his master of science in physics and doctor of philosophy in economics from Cornell University.  Born in Syracuse, NY ,he grew  up in Media, Pennsylvania, spent 25 years in San Diego, and now lives in New York. 

10:30 am

Mid-Morning Break 

11:00 am

Panel Discussion – The Successes and Failures of Financial Engineering

Peter Niculescu, Partner and Head of Fixed Income Advisory, Capital Market Risk Advisors, and former EVP and Head of Capital Markets, Fannie Mae

Bennett Golub, Vice-Chair and CRO, Blackrock

Peter Carr, Head of Quantitative Financial Research, Bloomberg LP

Moderated by: Richard Lindsey, CEO, Callcott Group. & IAFE Chairman

 

12:15 pm

Lunch 

1:15 pm

Keynote Speech: Investing in the Context of General Equilibrium

Robert Litterman, Goldman Sachs & 2008 IAFE/SunGard Financial Engineer of the Year

Bob Litterman will address the significance of tackling asset allocation by employing a general equilibrium, rather than a partial equilibrium, approach. It’s a question of what comes first: In partial equilibrium, we start with assumptions about the market and then optimize our portfolio holding those assumptions unchanged. In general equilibrium, all investors start by having a concern about how each will behave, and that is taken into account as they think about the markets. Bob discusses how a standard asset allocation framework may not be appropriate for governments, central banks and sovereign wealth funds-- investors of greater collective size and differing investment objectives from the private investor. Furthermore, Bob anecdotally draws from recent market events to show that the general equilibrium approach is all the more significant in the currently unstable and turbulent economic environment.

Robert Litterman is an advisory director and chairman of the Quantitative Investment Strategies group of Goldman Sachs Asset Management. He is the co-developer, along with the late Fischer Black, of the Black-Litterman Global Asset Allocation Model, a key tool in the Investment Management Division’s asset allocation process. Prior to moving to the Investment Management Division, Bob was head of the firm wide Risk Department. Preceding his time in the Operations, Technology & Finance Division, he spent eight years in the Fixed Income Division’s research department, where he was co-director. Before joining the firm in 1986, Bob was an assistant vice president in the Research Department of the Federal Reserve Bank of Minneapolis and an assistant professor in the Economics Department at the Massachusetts Institute of Technology. Bob is a member of the board of the World Wildlife Fund. He earned a BS in Human Biology from Stanford University in 1973 and a PhD in Economics from the University of Minnesota in 1980. 

2:30 pm

Mid-Afternoon Break

2:45 pm

IAFE Liquidity Risk Paper

Richard Lindsey, CEO, Callcott Group & IAFE Chairman

Roy Henriksson, CIO, Advanced Portfolio Management, & Co-Chair, IAFE Liquidity Risk Committee

Andrew Davidson, President, Andrew Davidson & Company & IAFE Advisory Board Member

Chester Spatt, Pamela R. and Kenneth B. Dunn Professor of Finance, Carnegie Mellon University

 

Financial engineering can foster risk diversification and make markets more efficient, but innovations can also be destabilizing if they change the liquidity in the market.  The upcoming IAFE research paper will explore the role of  liquidity and its positive and reduce the negative effects on market innovation. In this session we will discuss the effects of securitization, counterparty risk, clearance and settlement systems, and other manifestations of liquidity.

 

4:00 pm

Risk Governance

Perspectives of a Director and Chair of a Risk Committee, a CEO and two corporate governance experts, and an advisor to boards including Fannie Mae, Citigroup, Merrill, and GM. Explanation of technical concepts to the board and the role that the board should be playing in risk management.

 

Mark Anson, CEO, Nuveen Investments, former CIO, CalPERS, member of SEC’s Investor Advisory Committee, & IAFE Board Member

Robert Joffe, Partner, and Former Presiding Partner, Cravath, Swaine & Moore LLP.

David R. Koenig, Chief Executive Officer, The Governance Fund, LLC

Ruth Whaley, Director at Nuclear Electric Insurance Ltd and Cambridge in America, and Former Chief Risk Officer, MBIA, Inc.

 

Moderated by: Leslie Rahl, Founder and Managing Partner, Capital Market Risk Advisors, Member of Board of Directors, CIBC, & IAFE Board Member

 

5:15 pm

Reception 

Sponsors

Standard & Poor's Compustat

Haas School of Business at the University of California--Berkeley

DST Global Solutions

 

Media Sponsor

AllAboutAlpha.com


Sponsorships are available - for more details contact David Jaffe, Executive Director, IAFE at 646-736-0705

 

Registration

Attendance at the annual conference is free for IAFE members, and costs $150 for non-members.

Registration for this event is closed.

For more information on IAFE membership, plese click here.