New events
QWAFAFEW-NYC
2011 November 29 5:30PM Midtown: Barry Feldman on “Stability – A New Dimension of Equity Style” and Dan diBartolomeo on “Five Easy Steps to Fixing the Credit Ratings Agencies”
Abstract: Russell’s new defensive and dynamic indexes identify a new dimension of equity style Russell calls Stability. Russell has just launched global Stability indexes. This presentation will describe Stability, compare defensive and dynamic to the traditional growth and value styles using U.S. and global data, and consider the need for a new dimension of equity style.
Abstract: One of the largest contributing factors to the Global Financial Crisis of 2008-2009 was the huge number of fixed income instruments with very high ratings (e.g. AAA) that were either severely downgraded or went into actual default. Rather than try to fix the ratings “business,” we believe the appropriate immediate course of action is to simply put in place some basic rules that would ensure that credit ratings as currently available would be a sufficiently competent metric of creditworthiness. Investors don’t need to fix the rating business or related regulations. They simply need the ratings to be done with sufficient quality so as to be meaningful measures of economic risks borne by lenders. In this regard we have a series of five suggestions.
Details at: http://www.quaffers.org/
Thalesians — London
2011 November 30 7:30PM Boryana Racheva-Iotova on “Myths and Realities — Why Many Investment Managers Are Hesitant to Implement Fat-Tailed Risk Models”.
Abstract: It’s fact that “Black Swans” and “Fat-tails” are among the key buzz words since late 2008 and even more so recently. It’s also fact that there is hesitation for many on adopting risk and portfolio management approaches that better capture the tail risk. We explore the question “Why?” Clearly people in different roles from Quants to CEO’s have different views and thought processes. Some are very clear and well grounded but others are closer to myths. This talk will try to demystify what is behind those concerns and provide both quantitative views and a common-sense inventory on how these stand up as we head into 2012.
More details at: Thaleisan events
Thalesians — San Francisco
2011 November 30 7:00PM Peter Shepard on “2nd Order Risk”.
Abstract: Financial models play a critical role in the investment process, but we sometimes forget that they are just that: models. There is always a gap between the model and the true behavior of the markets. In addition to the uncertainty captured by a model, “first order risk”, there is additional risk due to uncertainty of the model itself, “second order risk”. We show that this additional source of risk is often much larger than would be expected, and we can begin to forecast this risk like more traditional sources of uncertainty.
More details at: http://www.thalesians.com/finance/index.php?title=Events/Seminars/Seminar53
Stern School of Business Webinar
2011 December 5 11:00AM U.S. Eastern time Robert Engle on “Global Systemic Risk Rankings: A Wake-up Call”.
The webinar will discuss the recently released ‘NYU Stern Global Systemic Risk Rankings’ and their role in deciding how to regulate ‘too-systemic-to-fail’ institutions to avoid the next crisis. The global ratings complement the NYU Stern Systemic Risk Rankings (released in April 2010) that tracks the largest U.S. financial institutions and the risk they bring to the financial system.
See details at: Stern School webinar page.
Thalesians — London
2011 December 7 at 7:00PM Saeed Amen on “What Drives Gold?” plus festive dinner.
Abstract: The price action in gold has many drivers. We discuss the various factors which impact gold, including its relationship with rates and FX. We also look at the composition of end user demand for gold. We analyse how gold trades with respect to risk sentiment and its relationship with market risk events. As well as looking at the historical behavior of gold, we also outline our view on gold for the coming year and we discuss our forecasts.
Menu:
- Yorkshire puddings filled with beef and horseradish
- Open salmon sandwich served on brown bread and cream cheese
- Spicy cajun chicken chunks
- Filo pastry king prawns
- Mini sausages in honey and mustard sauce
- Mince pies and Christmas pudding
Vegetarian Options:
- Bruschetta (v) – Substitute for one of the above
- Christmas salad of mixed leaves, julian carrots, poached pears and walnuts (v)
More details at: Thalesian events
Thalesians — New York
2011 December 8 at 6PM Adrian Zymolka on “Constraint Attribution — Mastering Constraints for Better Portfolio Construction”.
Abstract: Using constraints in portfolio construction causes deviations from the classical mean-variance portfolio, which are referred to as unrealized alpha, opportunity costs, or implementation inefficiency. Various measures like the transfer coefficient attempt to quantify such effects.
Axioma developed a novel methodology – called Constraint Attribution – to consistently allocate these deviations to individual constraints. Besides identifying the largest obstacles for increasing implementation efficiency, such attribution gives portfolio managers deeper insights into and thus greater control over their portfolio construction process. This talk introduces the methodology and discusses results for exemplary strategies.
More details at: Thalesian events
Thalesians — San Francisco
2011 December 14 at 7:00PM Farshid Jamshidian on “An Overview of Interest-Rate Derivatives Modeling”.
Abstract: The presentation reviews interest-rate modeling since its advent in the mid 70s, with particular focus on fixed-income derivatives and their valuation. We highlight the crucial role played by practitioners in the evolution of modeling to the present day. As we argue, the major theoretical advances were incited by traders needs and insistence on model compatibility with liquid instruments. The Gaussian, BDT, HJM, and Libor Market Models are discussed in some detail and many other models remarked on. We conclude with some outstanding issues of great practical importance that still defy a satisfactory theoretical solution.
More details at: Thalesian events
University of Washington on-line
Starting 2012 January 03 Guy Yollin teaching “Financial Data Analysis and Modeling with R”.
Details at: http://www.pce.uw.edu/courses/financial-data-analysis.html
Introduction to R
2012 January 25 at Imperial College.
A one-day introduction to the free statistical programming language R, including the fundamentals of the language, elementary data handling and statistical analysis, production of graphics and programming.
The course is run over 1 full day, 10am – 5pm (participants are required to arrive at 9.45am in order that the course starts promptly).
Details at: http://www3.imperial.ac.uk/stathelp/courses/rcourses/introductiontor
Quantitative Asset and Risk Management Workshop
2012 February 9-10 in Venice.
Details at: http://www.quant.it/community/default_en.asp
Statistical Analysis Using R
2012 February 22 at Imperial College.
The course will outline the implementation of the main statistical tests and statistical modelling procedures in the R statistical programming language.
The analyses described will include:
- t-tests and non-parametric procedures (eg the Mann-Whitney test)
- 1-way and 2-way Analysis of Variance
- Linear and Multiple Regression
- Analysis of Covariance
Features include the use of extractor functions and graphical procedures to aid interpretation of results and allow assessment of adequacy of model assumptions.
Please note that a basic knowledge and experience of R is required to complete this course.
Details at: http://www3.imperial.ac.uk/stathelp/courses/rcourses/statisticalanalysisusingr
Previously announced
14-10 club
2011 December 01 speakers are Lord Robert May and Professor Ray Goldstein.
More details at the 14-10 club website.
LondonR
2011 December 06. Details at http://www.londonr.org/
Talks will include Richard Saldanha on “Practical Optimisation”.
News Analytics Workshop
The workshop will be held 2011 December 7-8 in London.
More information is at:
http://www.optirisk-systems.com/events/news-analytics-applied-to-trading.asp
London Quant Group
The annual general meeting will be held 2011 December 8 at 6:00PM. This will be followed by Anders Pettersen talking about the economics of art. It is permitted to go to one or the other or both.
More information will eventually appear on http://www.lqg.org.uk/
Computational and Financial Econometrics
2011 December 17-19 at the University of London. Details at http://www.cfe-csda.org/cfe11/
Patrick Burns will be talking on “Portfolio optimization inside out”.
Abstract: The usual approach to portfolio optimization is to focus on the utility and to consider the constraints as a minor addition. In this talk we start with the constraints, satisfy them, and only then inspect the utility. We get entirely different pictures coming from this direction. This gives us new insight into the optimization process. In particular it suggests a framework for thinking about how to improve the selection of constraints.
14-10 club
2012 January 12 speakers are Vladimir Piterbarg and Charles Emmerson.
More details at the 14-10 club website.
14-10 club
2012 February 02 speakers are Paul Wilmott and Professor Joao Magueijo.
More details at the 14-10 club website.
14-10 club
2012 March 01 speakers are Professor Tim Palmer and Sonia Schulenburg.
More details at the 14-10 club website.
Forecasting Financial Markets
The conference will be held 2012 May 23-25 in Marseille. Abstracts are accepted until 2012 February 10.
The home page is http://www.ffm-conference.com/
UseR! 2012
2012 June 12-15 at Vanderbilt University, Nashville Tennessee. Details at http://biostat.mc.vanderbilt.edu/wiki/Main/UseR-2012
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