Advancing the Field of Quantitative Finance
formerly the IAFE

Event: 2010 Annual Conference
Date: June 18, 2010
Time: 8AM Registration; Program runs from 9AM - 6:00PM
Location:
Goldman Sachs
32 Old Slip
New York City

The International Association of Financial Engineers presents

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The 2010 IAFE Annual Conference

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The Truth About The Crisis or a Crisis of Truth

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June 18th, 2010

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Goldman Sachs

32 Old Slip

New York, NY

The IAFE Annual Conference, now in its 18th 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.

 

Program Agenda

8 am

Registration

Coffee & Light Breakfast

 

8:45 am

IAFE Annual General Membership Meeting

9:00 am

Opening Remarks

Mack Gill, President, SunGard Global Services and IAFE Board member

9:05 am

Should Boards Do More?

Leo Melamed, CME Group & IAFE Senior Fellow

Rosalie Wolf, Botanica Capital
Ann Yerger, Council of Institutional Investors

Moderator:

Leslie Rahl, Founder and Managing Partner, Capital Market Risk Advisors,

IAFE Board of Directors

10:05am

Financial Reform

Mark Flannery, University of Florida

“What To Do About Too Big To Fail”
&
David Martin, AllianceBernstein

"How Regulation and Government Action

Will Shape the Capital Markets Landscape"

&

Conrad P. Voldstad, CEO, ISDA

11:05am

Morning Break

 

11:30 am

Warning: Physics Envy Can Be Hazardous to Your Wealth!

Andrew Lo

Harris & Harris Group Professor, MIT Sloan School of Management & IAFE Senior Fellow
The quantitative aspirations of economists and financial analysts have for many years been based on the belief that it should be possible to build  models of economic systems---and financial markets in particular---that are as predictive as those in physics. While this perspective has led to a number of important breakthroughs in economics, "physics envy" has also created a false sense of mathematical precision in some cases. In this talk, Professor Lo speculates on the origins of physics envy, and describes an alternate perspective of economic behavior based on a new taxonomy of uncertainty.  He will illustrate the relevance of this taxonomy with some concrete examples drawn from both physics and finance, and will conclude by proposing an "uncertainty checklist" with which this taxonomy can be put into practice.

12:40 pm

Lunch

1:40 pm

Credit Ratings and Securitization

John Hull

Professor of Finance, Director, Centre for Finance and Maple Financial Group Chair in Derivatives and Risk Management, Rotman School & IAFE Senior Fellow

  • The derivatives that were created from subprime mortgages
  • The criteria used by rating agencies for structured products
  • How reasonable were the AAA ratings
  • Lessons for the future of structured finance

 

2:50 pm

Mid-Afternoon Break

3:20 pm

Keynote Speech: The Possible Misdiagnosis of a Crisis

Richard Roll

Japan Chair of Finance, UCLA & 2009 IAFE/SunGard Financial Engineer of the Year Winner

 

  • The recent global financial crisis has been blamed on several factors
  • Elementary principles of finance suggest that none of these explanations are likely
  • There is an alternative diagnosis consistent with financial principles
  • The current treatment may be exacerbating the symptoms

 

4:30 pm

High Frequency Trading

James Angel, Georgetown University

Eran Fishler, Pragma

Eric Hess, DirectEdge

Petter Kolm, Courant Institute, NYU

 

5:30 pm

Reception

 

Sponsors

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

 

Registration

Online regsitration has closed.

Onsite registration will be available starting at 8 am June 18th.