Quant Congress USA

 

Dear Sir/Madam,  

As a specially selected contact of Raphael Douady, you are eligible to a 50% discount for his post-congress seminar on July 16, 2009:

 

Market risk techniques for today's stress conditions

Dr Raphael Douady, Mathematician, C.N.R.S. (French national centre for scientific research) Founder & Head of Research, Riskdata S.A.

 

Raphael's seminar will cover:

Extreme risk assessment

  • Extreme risk: not just the 'Fat Tails'
  • How to unveil hidden risks, the St Petersburg paradox and how to prevent it
  • Data issues: too many, too few? How to cope with missing data and asynchronous series 
  • Nonlinearities and 'optional' behaviour: did you write a put without noticing?
  • Can we measure illiquidity and its consequences? 
  • How to implement nonlinear factor modeling 
  • Stress tests: evaluate the true impact of anticipated crises

Portfolio Construction under Extreme Risk

  • Why is my portfolio more skewed than its components?
  • Correlation breaks: the role of alternative betas and their interactions 
  • Order of magnitude of the impact: models that work, models that miss the point 
  • Stress testing in illiquid markets
  • Using quant techniques to detect the next fraud and the next blow-up 
  • How to build a portfolio that resist crises: extreme risk budgeting 
  • How to turn a risk management system into Alpha generation

Raphael Douady is a French mathematician, specialised in financial mathematics and chaos theory.

 

With more than fifteen years experience in the banking industry (risk management, option models, trading strategies) and twenty years research in pure and applied mathematics, Dr Douady is renowned for his highly sophisticated quantitative solutions and statistical analysis.

 

His most recent research topic is Hedge Funds risks, for which he has developed especially suited powerful nonlinear statistical models.

 

Raphael Douady is one of the founders of Riskdata, a market-leading provider of risk management tools for investors, asset managers, hedge funds, fund of funds, and pension funds.

 

The Main Congress

 

The seminar takes place after Quant Congress USA, the USA's leading quantitative finance event on July 14-15, in New York.

 

'Quant Congress USA is the most exciting and informative yearly conference on current research in derivatives. I look forward to it every year.'    Robert Jarrow, Professor of Finance and Economics, Johnson Graduate School of Management, CORNELL UNIVERSITY

 

If you wish to register for the main congress please contact Christopher Lynas at christopher.lynas@incisivemedia.com for a package deal.

 

Don't delay register for your place now.

 

 

Yours Faithfully,

 

 

 

Esha Khanna
Conference Producer
Risk Events
 Book now

50% discount courtesy of Raphael Douady:

To book online: Simply click on register now, scroll down and follow the link for online booking.    Enter the code 'Raphael50' in the VIP booking code box.    Then please complete your details. We will deduct the 50% before invoicing you.

Or call: +1 (212) 457 9400 and customer services will register you in just 3 minutes!

Main Conference Highlights

bulletWim Schoutens of Catholic University of Leuven explains new variations of implied volatility

bulletQuestion the assumptions and predictions of existing models with Emanuel Derman of Columbia University and Prisma Capital Partners

bulletLearn the new regulatory approaches on the Capital Requirements

bulletLearn new recovery rate estimation procedures and pricing models for distressed debt from Robert Jarrow of Johnson School of Management, Cornel University

bulletMichael Pykhtin of Bank of America will present new models for counterparty credit exposure in the presence of margin agreements