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NYC Jan 24 2017 Risk Night diBartolomeo & Kreuser

January 24

| $35 - $60

“Reconciliation of Default Risk and Spread Risk in Fixed Income”,

Dan diBartolomeo, President, Northfield Information Services

&

“Bursting the Bubble Myth”,

Prof. Dr. Jérôme Kreuser, CEO/Founder RisKontroller Global LLC, Senior Researcher ETH Zurich Risk Center, in collaboration with Prof. Didier Sornette

Permalink: http://newyork.qwafafew.org/event/nyc-jan-24-2017-risk-night-dibartolomeo-kreuser

Venue:  Bourbon Street Bar and Grill, 346 W 46th Street, between 8th and 9th Avenues, New York, NY 10036

http://www.bourbonny.com/contact    accessible 42nd Street, Port Authority (A, C, E lines)

 

RSVP to nyc@qwafafew.org In text body, please provide the name, phone number, email, and membership/affiliation status for each attendee.
Agenda

5:30- 6:10 Registration, Networking, and Refreshments
6:10 – 6:15 Chapter Business – Mike Carty, Chapter President

6:15 – 6:55 “Reconciliation of Default Risk and Spread Risk in Fixed Income”, Dan diBartolomeo, President, Northfield Information Services

 

There are two conflicting concepts of what credit risk actually is. The classic definition has to do with the likelihood that a given fixed income instrument will default (Probability of Default, PD), and the expected severity of economic loss in the event of a default (Loss Given Default, or LGD). In this view the focus is on the “tail risk” (negative skew in the return distribution) associated with a singular default event. Many fixed income market participants prefer to think of a given fixed income instrument as offering a credit related yield spread above a comparable duration riskless instrument. These investors think of credit risk as the volatility of the credit yield spread and related impact on the market value of an instrument (conditional on the duration). Even more chaste, some fixed income participants simply use at “duration time spread” (DTS) as a market implied measure of risk. If investors are not risk-neutral, the credit spread will compensate investors for their expected loss (PD*LGD), plus provide a risk premium to induce risk averse investors to hold these instruments. These concepts of credit risk are not equivalent because credit spreads can change over time both because of changes in expected loss, and separately because aggregate investor risk aversion can change, forcing a change in the risk premium (incremental yield) which fixed income borrowers must pay. In this presentation we will review the relevant approaches to credit risk, and illustrate how to reconcile the three views in order to satisfy the default risk concerns of “buy and hold” investors, while simultaneously explaining yield spread volatility for investors who are more concerned with controlling variation in period to period returns.

 

 

6:55 – 7:10     Refreshment and Networking Break

 

7:10 – 7:55 “Bursting the Bubble Myth”, Prof. Dr. Jérôme Kreuser, CEO/Founder RisKontroller Global LLC, Senior Researcher ETH Zurich Risk Center, in collaboration with Prof. Didier Sornette

Risk is back. Animal spirits are running amok. It is time to burst the myth that bubbles cannot be identified or controlled before they smack us. It is a myth that (most) tail is risk is not “predictable”. By predictable I mean it can be estimated in size, probability, and timing with a probability greater than chance. To that end we propose a dynamic Rational Expectations (RE) bubble model of prices defined as a geometric Brownian motion model combined with separate crash (and rally) discrete jump distributions. By assuming that crashes tend to efficiently bring back excess bubble prices close to a “normal” (or fundamental value), the RE condition implies that the excess risk premium of the risky asset exposed to crashes is an increasing function of the bubble mispricing via its effect on the crash amplitude: hence, the larger the bubble price, the larger its subsequent growth rate. This positive feedback of price on return is the archetype of super-exponential price dynamics that has been previously proposed as a general definition of bubbles. The bubble model naturally induces a Kelly optimization. We then estimate never before observed bubbles by reversing the RE condition and computing the probability of a crash based upon accelerating returns even generating finite-time singularities. We discuss empirical results.

 

8:15 Adjournment

 

 

RSVP to nyc@qwafafew.org In text body, please provide the name, phone number, email, and membership/affiliation status for each attendee.

 

 

Admission Fees: Use Paypal Link by clicking here or type the URL: https://qwafafew.wordpress.com/meeting-admission-nyc/

or bring Check or Cash to the door on the night of the event after you RSVP.

 

$35 for paid-up QWAFAFEW members (any chapter);

$40 for CQA members, SQA members, CQFs, CAIAs, CTHFAs, and sustaining (paid) PRMIA members, full-time students, those between positions, FWA members, IAFE, MTA members and members of any CFA Society;

$50 for members of PRMIA (free members), GARP, and/or members of any Quant-affiliated Linked-In group;

$60 for all other RSVPs;

 

Unless paid through PayPal, $10 late-fee applies to those not RSVP’d by Noon of the day of the event.

 

 

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Memberships:

 

12-month membership dues of $120 available at the door (Use Paypal Link: https://qwafafew.wordpress.com/purchase-qwafafew-nyc-chapter-membership/  or bring Check or Cash to the door on the night of the event after you RSVP), and attend this meeting for free.

 

Student membership available for $60 (first meeting is free) or Transitional membership available for $80 (1st meeting free) Paypal Link:      https://qwafafew.wordpress.com/qwafafew-paypal-buttons-regional-meetings/

 

 

Biographies:

 

Dan diBartolomeo, President, Northfield Information Services

Dan is President and Founder of Northfield Information Services, Inc. Based in Boston since 1986, Northfield develops quantitative models of financial markets. The firm’s clients include nearly three hundred financial institutions in twenty countries. Dan is a Visiting Professor at the CARISMA research center of Brunel University in London. In addition, he serves on the Board of Directors of the Chicago Quantitative Alliance and the advisory board of the International Association of Financial Engineers. He is also an active member of the Financial Management Association, and “QWAFAFEW”. He has been admitted as an expert witness in US federal courts for litigation matters regarding investment management practices and derivatives.

Mr. diBartolomeo is a director of the American Computer Foundation, and formerly served on the industry liaison committee of the Department of Statistics and Actuarial Sciences at New Jersey Institute of Technology. He continues his several years of service as a judge in the Moscowitz Prize competition, given by the University of California at Berkeley for excellence in academic research on socially responsible investing.

Dan has a long list of more than thirty publications including books, book chapters and research papers in professional journals such as Financial Analyst Journal, Quantitative Finance and Journal of Investing. Mr. diBartolomeo has also written extensively for the CFA Research Foundation. His most recent publication is “Risk Management for Public Pension Funds: Still Trying to Not Waste the Crisis” (with John Minahan) which was published in Investments and Wealth Monitor, in September 2014.

 

 

 

 Prof. Dr. Jérôme Kreuser, CEO/Founder RisKontroller Global LLC, Senior Researcher ETH Zurich Risk Center

CEO/Founder RisKontroller Global LLC | Senior Researcher ETH Zurich Risk Center | 24 years at the World Bank in several positions developing risk management and financial models including one of the first optimization models under uncertainty for risk analysis applied in the real world in 1977 | International Reserves Management Advisor for the IMF | Guest Professor University of Illinois teaching Stochastic Programming Models in Finance | The Swiss RisKontrol Group GmbH developing ALM models for Norway’s SWF, Reserve Bank of India, and Central Bank of Colombia | Developed ALM models for Reinsurance | Lectured at the Center Gerzensee of the Swiss National Bank, FLAR in Columbia, the Central Bank of Peru, the Central Bank of Jordan, and many international workshops | George Washington University Adjunct Full Professor of Operations Research | Ph.D. in Mathematical Programming/Numerical Analysis and a Masters and B.A. with Honors in Mathematics – University of Wisconsin.

 

 

QWAFAFEW NYC 2017 schedule

Tuesday, January 24th – Dan diBartolomeo, President, Northfield Information Services & Prof. Dr. Jérôme Kreuser, CEO/Founder RisKontroller Global LLC, Senior Researcher ETH Zurich Risk Center

Tuesday, February 21st – Robo-advisors panel & TBA

Tuesday, March 28th – Ronald J Ryan, CFA, CEO, ALM Inc & Matt Moran, VP, Business Development, CBOE

Tuesday, April 25th – TBA

Tuesday, May 23rd – Dick Michaud, President and CEO, New Frontier Advisors & TBA

Tuesday, June 27th- TBA

Tuesday, July 25th – TBA

Tuesday, August 22nd- TBA

Wednesday, September 6th – TBA

Tuesday, September 26th – TBA

Tuesday, October 24th – TBA

Tuesday, November 28th – TBA

 

QWAFAFEW is always soliciting presentation volunteers.  Send a note to qwafafewnyc@outlook.com if you are interested. New York is the primary focus.  However, if you wish to present in Boston, Chicago, Denver, Los Angeles, Philadelphia, Pittsburgh, Princeton, San Francisco or Washington, DC, please include that in your response and that information will be conveyed accordingly to Herb at hblank@qwafafew.org.  As always, presentations must involve research and be educational in manner; while products can be mentioned and touched upon briefly, no product presentations will be accepted.  Disclaimer: Volunteering does not guarantee acceptance.

 

Other Chapter Events 

Tuesday, 17 Jan 2017, Boston QWAFAFEW Meeting, “Solving the Curse of Dimensionality Problem in Multi-Asset Class Risk Models”, Jose Menchero

Estimating a robust risk model risk for a portfolio that spans multiple asset classes is a challenging task due to the “curse of dimensionality” (i.e., the problem of estimating too many relationships from too few observations). While the sample covariance matrix is easily computed, it is susceptible to capturing spurious relationships that make it unsuitable for portfolio construction purposes. In this talk, we present a new approach for constructing risk models that span multiple asset classes. We also discuss the implications for portfolio risk management and portfolio construction.

RSVP to hugh@QWAFAFEW.org

 

Other Upcoming Events of Interest

Thursday, January 19, 2017, SQA January 19th Seminar w/ Mikhail Samonov  www.sqa-us.org

Wednesday, February 8, 2017, ETF Trends Virtual Summit
Bringing together thousands of financial advisors in a renowned, cutting edge virtual setting, the ETF Trends Virtual Summit will address pressing ETF issues, opinions, and investing strategies. This innovative online forum is the ideal platform for professionals throughout the investment world to discuss their distinctive offerings, exchange ideas, and connect with peers without the burdens of cost and traveling.
http://etftrendsvirtual.com/

Thursday, February 16, 2017, SQA February 16th Seminar w/ Marty Leibowitz www.sqa-us.org

Thursday, March 9, 2017, SQA Fuzzy Day Conference www.sqa-us.org

Tuesday, April 4, 2017, 3rd Annual Liquid Alternative Strategies Summit, Convene Conference Center (Times Square), New York City

Thursday, April 27, 2017, Capital Link’s 16th Annual Closed-End Funds and Global ETFs Forum at the Metropolitan Club, NYC  http://www.capitallink.com/

Thursday, June 22, 2017, Capital Link will host its 4th Annual Dissect ETFs Forum at the Metropolitan Club, NYC  http://www.capitallink.com/
Please follow QWAFAFEW on linked in: QWAFAFEW Investment Society linked-in Discussion page. The URL is http://www.linkedin.com/e/gis/59644/530E700BF98A. All worldwide chapter events and related events (along with ETF events, SQA events, etc.) are listed on this page along with active discussions and thought-provoking issues are posted on this page.

 

We are also on Twitter (@QWAFAFEW1) and Facebook (search for QWAFAFEW under groups – less frequently updated). Website  www.qwafafew.org has access to past presentations.  Our programs in Boston, Chicago, Denver, New York City, Metro Los Angelos, Pittsburgh, Philadelphia, Princeton, San Francisco, and Washington, DC are listed along with other useful information.

Details

Date:
January 24
Cost:
$35 - $60
Website:
http://www.qwafafew.org

Organizer

Mike Carty
Phone:
718-846-2125
Email:
cmcarty1@earthlink.net
Website:
www.qwafafew.org

Venue

Bourbon Street Bar and Grill
346 W 46th Street, between 8th and 9th Avenues, New York, NY 10036
New York, 10036 United States
+ Google Map
Phone:
(212) 245-2030
Website:
http://www.bourbonny.com/contact