Day 2, July 18, New York

Registration and breakfast

8:30 Opening remarks: Mauro Cesa, Technical Editor, RISK

9:00 Keynote address:

Erozan Kurtas, Head of Group Monitoring HFT, SEC

9:40 Plenary: Managing risks in a risk-on/risk-off environment

  • The natural frequencies of an investment universe
  • Measuring risk concentration towards natural frequencies
  • Risk concentration in a risk-on/risk-off regime
  • Managing risk is not only about limiting its amount, but also controlling how this amount is concentrated around the natural frequencies of the investment universe.

Marcos López de Prado, Head of Quantitative Trading, HESS ENERGY TRADING COMPANY

10:20 Morning break
 

Stream 4

Portfolio and risk management

Stream 5

Derivatives pricing and modeling

10:50

Chairman's opening remarks:

Chairman's opening remarks:

11:00

Asset allocation and security selection for bank portfolios under Basel III capital regime

  • Overview of US Fixed Income outlook
  • Asset allocation within the bank's overall ALM framework
  • Portfolio optimization on the "efficient frontier"
  • Security selection based on Yield vs Capital Efficiency under new capital rules

Ahmet Yetis, Director, BLACKROCK

Kunal Khara, Director, BLACKROCK

Advances in the equity to credit universe

  • Modeling default
  • Joint calibration of vanilla options and CDS
  • Hybrid equity to credit instruments: convertible and exchangeable bonds
  • The collapse of the bond floor
  • The link between equity and credit: deterministic or stochastic?
  • Hedging in the equity to credit universe

Pedro Ferreira, External Product Manager, ITO33

11:40

Risk factor based strategic asset allocation

David X. Li, Managing Director, AIG ASSET MANAGEMENT

Systemic risk in quantitative risk management

  • Stability of banking system in current market conditions  
  • Quant function as an entity
  • Hedging against systemic risk

Speaker to be confirmed

12:20

Factor-based diversification management

  • Effective number of bets
  • Traditional risk parity versus Diversification distribution
  • Minimum-torsion bets
  • Factor-based diversification frontier

Attilio Meucci, Chief Risk Officer, KEPOS CAPITAL

Bermudan swaptions: Old and new perspectives

  • Valuation models and calibrations - an overview
  • Behavior of embedded optionality in cancellable swaps
  • Optimal exercise: does it exist? Looking for marginal value by adding exercise dates
  • Risk profile, hedging, and market incompleteness
  • Effects of credit and funding risks

Christopher Nolle, Managing Director, Head NY Quant, NATIXIS

1:00 Lunch

 

 

Stream 6: Energy

2:00

Market reaction to price changes and fat-tailed returns

  • Price-momentum strategies, herding effects and their impact on the distribution of asset returns
  • Alternative framework for fat-tail events and asset price dynamics based on investor behaviour
  • Quantifying extreme asset returns. From theory to practice

Jorge R. Sobehart, Managing Director, Credit and Operational Risk Analytics, CITI

Robust hedging and volatility strategies in granger-caused markets

  • Information flows and granger causation in commodity markets
  • Robust hedging strategies in high volatility environments
  • Convergence trading as a volatility position
  • Granger-causation and minimally optimal dynamic spread strategies

Krzysztof Wolyniec, Managing Partner, MILLWRIGHT CAPITAL MANAGEMENT

2:40

Pricing methodologies and trading strategies

  • Perpetual and bounded-expiry types of timer options
  • Trading volatility using timer options
  • Pricing and hedging of timer options
  • Analyzing risk exposures of timer options

Roger Lee, Professor of Finance, CHICAGO UNIVERSITY

Pseudo-analytic solutions for spread options

 

Joao Neves, Director of Quantitative Analysis, CALPINE

3:20 Afternoon break

3:40 Afternoon keynote: Close out risk evaluation: combining market and liquidity risk in margin calculations and application to central clearing

Marco Avellaneda, Professor of Mathematics, NEW YORK UNIVERSITY and Risk Awards 2010: Quant of the Year  

4:20 Executive address: Nonlinear martingales in two price economies

  • Equilibrium in two price economies
  • Nonlinear expectations for continuous time two price economies
  • Introduction to measure distortions
  • The discounted variance gamma model
  • Valuation of insurance loss processes

Dilip Madan, Professor of Finance, ROBERT H. SMITH SCHOOL OF BUSINESS, UNIVERSITY OF MARYLAND

5:10 Closing remarks: Mauro Cesa, Technical Editor, RISK

End of conference

 

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