Advancing the Field of Quantitative Finance
formerly the IAFE

Event: The Society of Quantitative Analysts Presents: Model Risk, Quants, and the Law
Date: Thursday, April 26, 2012
Location:
Credit Suisse Auditorium
11 Madison Avenue
New York, NY

The International Association of Financial Engineers is pleased to endorse

SQA Presents:

Model Risk, Quants, and the Law

April 26, 2012

3:30 PM - 8:30 PM

Credit Suisse Auditorium
11 Madison Avenue
New York, NY

Moderator:
Viktor Ziskin

Head of Modeling and Risk Analytics at Capco
Quantitative Lead on the Independent Compliance Consultant at AXA Rosenberg

Panelists:
• Glen Barrentine, special counsel at Cadwalader, Wickersham & Taft LLP
• Jeremy Baskin, Global CEO of AXA Rosenberg
• Chyhe Becker, Assistant Director, Litigation Support, Division of Risk, Strategy, and Financial Innovation of the SEC
• Carlo V. di Florio, Director of the SEC's Office of Compliance Inspections and Examinations (OCIE)
• Ari Gabinet, general counsel at OppenheimerFunds, former head of the Philadelphia office of the SEC

•Robert C. Jones, CIO and Chairman of System Two Advisors, Chairman of Arwen Advisors, founder and former head of the Global Quantitative Equity Group at Goldman Sachs Asset Management
• Randall R. Lee, partner-in-charge and founding partner of WilmerHale, former head of the Los Angeles office of the SEC
• Barry Schachter, Chief Risk Officer, Woodbine Capital Advisors LP

Event Schedule:
3:30pm Registration & Refreshments
4:00pm Program, with short breaks between each panel session
7:45pm Cocktails & hors d'oeuvres, networking reception


Regulatory scrutiny of model-driven asset managers has stepped up since the crisis with marked increase in the frequency and severity of enforcement actions and fines. The highest profile case to-date has been the one brought against AXA Rosenberg on charges of failing to properly correct and disclose a coding error in its investment model. The potentially far-reaching implications of the order have forced managers who rely on quantitative strategies to reassess their oversight and controls. How can we put effective procedures in place without unduly hampering the research and investment processes?

The SQA has put together a program where senior regulators and distinguished investment professionals will describe the evolving standards and discuss how they are responding to them. Our three sequential discussion panels will cover:

Broad regulatory trends and their potential impact on quantitative managers:
• Main issues raised by the AXA enforcement;
• Reasons for and directions of current regulatory focus on quantitative funds;
• Parallels with traditional managers;
• Responsibilities of qualified investors


Conceptual structures that inform the control, compliance and governance functions of asset managers and the unique challenges of a quantitative setting:
• Oversight of the quant processes (and the role of Compliance);
• The regulatory meaning of "risk";
• Model governance and independent controls;
• Error management policies
• Cultural issues including communications between quants and non-quants, "tone at the top" and "culture of compliance"


Particular challenges raised by implementation of regulatory standards in a quantitative context:

• Many of these standards are derived from practice and there is less precedent to guide quantitative managers;
• The specific nuances and lack of comparable precedents require a considerable amount of additional thought and guidance;
• Prime examples include "Fiduciary Duty", "Record-keeping" and "Disclosures".