Agenda - October 20:
9:00 Continental Breakfast
9:30 Welcome
Alan Karr, Director NISS and Professor of Statistics and Biostatistics, University of North Carolina at Chapel Hill
Mark Levonian, Senior Deputy Comptroller, Economics, OCC
9:45 Market Risk
Peter Carr, Director of the Masters in Math Finance program at NYU's Courant Institute and Head of Quantitative Financial Research at Bloomberg LP
10:35 Systemic Risk
Til Schuermann, Head of Financial Intermediation Function, Federal Reserve Bank of New York
11:20 Market View of Systemic Risk
Topic: Overcrowding and leverage in the markets and systemic risk
Rick Bookstaber, formerly Manager of Quantitative Equity Fund at FrontPoint Partners, Risk Manager at Moore Capital Management., Managing Director for firm-wide risk management at Salomon Brothers
12:10 Lunch
1:15 Market and Systemic Risk
Andrew Lo, Harris & Harris Group Professor, Sloan School of Management at MIT Director, MIT Laboratory for Financial Engineering
2:00 Systemic Risk
Andrew Kuritzkes, Senior Partner at Oliver Wyman. Formerly Vice Chairman of Oliver, Wyman & Company
2:45 Statistical View of Systemic Risk
S.J. Koopman,, Professor of Econometrics, Vrije Universiteit Amsterdam
3:30 Break
4:00 Panel Discussion - Intersection of Market Risk, Systemic Risk & Statistics
Panelists: Michael Sullivan, (Moderator) Director, Market Risk Analysis Division, OCC; Richard Davis, Professor of Statistics, Columbia University; Akhtarur Siddique, Enterprise Risk Analysis Division, OCC; Jianqing Fan, Frederick L. Moore Professor of Finance, Princeton University; Bonnie K. Ray, Manager, Risk Analytics, IBM, TJ Watson Research Center.
5:15 Discussion of Wednesday's Agenda
5:30 Adjourn
Day 2 - October 21 - by pre-registration only
8:30 Continental Breakfast
9:00 Speakers' Round Table: Synthesis and Directions
10:15 Charge to Writing Groups - "Focusing the Challenges for Next Generation Models"
(1=Overview, 2&3=Market Risk Modeling, 4&5=Systemic Risk Modeling)
10:30 Break
10:45 Writing Groups
12:30 Lunch
1:30 Writing Groups
3:00 Break
3:30 Group Progress Presentations
5:00 Adjourn
Hotel Information:
A block of rooms has been reserved at the Residence Inn by Marriott Capitol. The single rate is $233.00/night. Please call 202-484-8280 to book your room. The cut-off date is September 30, 2009.
Event Type
- NISS Hosted