mscf speaker series mscf speaker series
dear mr . kaminsky , i have included the web page of the list of confirmed
speakers , most of them are people i worked with as a fixed income bond
options trader . ? having you as a speaker would ? give a chance to the mscf
students to gain insight in an area ( commodities ) and in a field
( research ) ? in which many are ? interested .
official invitation
?
?
?
the first event is next friday !
?
first event :
august 11 , 2000
10 : 30 to 12 : 30 a . m . fast lab
david hartney & jerry hanweck
vice president , futures and option sales ?
j . p . morgan
n . b .
there will be free caps and a copy of the treasury bond basis . priority will
be given to mscf students .
?
? ?
price and hedging volatility contracts
september 1 , 2000
dmitry pugachevsky
deutsche bank
dmitry pugachesky is a director with otc derivatives research of deutsche
bank , where his research is primarily focussed on credit derivatives . prior
to joining deutsche bank , dmitry worked for six years with global analytics
group of bankers trust . there he developed models for emerging markets ,
interest rates , and equity derivatives and also participated in actual
trading and structuring of interest rate options . he received his phd in
applied mathematics from carnegie mellon university specializing in control
theory for stochastic processes . he has published several papers on
modelling in emerging markets and on valuation for passport options .
a measurement framework for bank liquidity risk
september 15 , 2000
raymond cote
vice president , finrad inc . nbc
raymond cote is vice president , financial engineering at finrad inc . , a
montreal - based consulting firm offering financial management solutions that
combine advisory and systems development services to & corporations and
financial institutions .
abstract :
liquidity risk , as opposed to credit and market risks , has received little
attention in professional or academic journals . we argue that analyzing bank
liquidity risk can be viewed as a variation of credit risk analysis . after
introducing some concepts and definitions , the presentation defines a
framework allowing to measure a bank ' s structural liquidity risk . it then
shows that combining the framework with modern credit risk measurement tools
leads to a liquidity risk var measure . the presentation then offers
concluding comments on the integration of the liquidity risk measurement
framework within enterprise - wide risk management .
swaps , spreads and bonds
september 29 , 2000
chris leonard
senior trader
fixed income arbitrage ?
october 27 , 2000
chuck mchugh
vice president , nbc - new york
fund management and market efficiency
november 10 , 2000
andrea lee
portfolio manager , freiss associates
pierre - philippe ste - marie
- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
http : / / pstemarie . homestead . com
mscf speaker series
mscf speaker series
dear mr . kaminsky , i have included the web page of the list of confirmed
speakers , most of them are people i worked with as a fixed income bond
options trader . ? having you as a speaker would ? give a chance to the mscf
students to gain insight in an area ( commodities ) and in a field
( research ) ? in which many are ? interested .
official invitation
?
?
?
the first event is next friday !
?
first event :
august 11 , 2000
10 : 30 to 12 : 30 a . m . fast lab
david hartney & jerry hanweck
vice president , futures and option sales ?
j . p . morgan
n . b .
there will be free caps and a copy of the treasury bond basis . priority will
be given to mscf students .
?
? ?
price and hedging volatility contracts
september 1 , 2000
dmitry pugachevsky
deutsche bank
dmitry pugachesky is a director with otc derivatives research of deutsche
bank , where his research is primarily focussed on credit derivatives . prior
to joining deutsche bank , dmitry worked for six years with global analytics
group of bankers trust . there he developed models for emerging markets ,
interest rates , and equity derivatives and also participated in actual
trading and structuring of interest rate options . he received his phd in
applied mathematics from carnegie mellon university specializing in control
theory for stochastic processes . he has published several papers on
modelling in emerging markets and on valuation for passport options .
a measurement framework for bank liquidity risk
september 15 , 2000
raymond cote
vice president , finrad inc . nbc
raymond cote is vice president , financial engineering at finrad inc . , a
montreal - based consulting firm offering financial management solutions that
combine advisory and systems development services to & corporations and
financial institutions .
abstract :
liquidity risk , as opposed to credit and market risks , has received little
attention in professional or academic journals . we argue that analyzing bank
liquidity risk can be viewed as a variation of credit risk analysis . after
introducing some concepts and definitions , the presentation defines a
framework allowing to measure a bank ' s structural liquidity risk . it then
shows that combining the framework with modern credit risk measurement tools
leads to a liquidity risk var measure . the presentation then offers
concluding comments on the integration of the liquidity risk measurement
framework within enterprise - wide risk management .
swaps , spreads and bonds
september 29 , 2000
chris leonard
senior trader
fixed income arbitrage ?
october 27 , 2000
chuck mchugh
vice president , nbc - new york
fund management and market efficiency
november 10 , 2000
andrea lee
portfolio manager , freiss associates
pierre - philippe ste - marie
- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
http : / / pstemarie . homestead . com