mscf speaker series mscf speaker series
official invitation
?
?
it is with great pride that i announce the next event in the speaker series .
next friday we will have the honor to host a conference given by mr . vince
kaminski ? managing director research at enron corp .
?
the next event in the
student speaker series is :
friday , november 3 , 2000
11 : 30 a . m . to 12 : 30 p . m . fast lab
[ image ] vince kaminski
managing director , research .
enron corp .
tentative student speaker series schedule 2000 - 2001
the following is a tentative schedule of the mscf student speaker series for
the 2000 - 2001 academic year . all events take place from 11 : 30 a . m . to 12 : 30
p . m . in the fast lab ( gsia 229 ) unless otherwise noted . updates are soon to
follow .
volatility curve and bond basis
august 11 , 2000
david hartney & jerry hanweck
vice president , futures and option sales j . p . morgan
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 .
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 .
the impact of electronic trading on the uses of quantitative research in
equity options
september 22 , 2000
scott morris
hull group , quantitative research department
quantitative research in investment management
october 6 , 2000
raman srivastava & anna bulkovshteyn
assistant vice president , & fixed income , quantitative analysts , putman
investments
[ image ]
tba
november 3 , 2000
vince kaminski
managing director , research .
enron corp .
fund management and market efficiency
november 10 , 2000
andrea dalton
researcher , friess associates
( advisor to the brandywine funds ) .
tba
november 17 , 2000
jeff keifer & deb
aep
tutorial on bridge
november 24 , 2000
pierre ste - marie & punit rawal
mscf students
a corporate risk management framework
december 8 , 2000
darin aprati & brian moore
mcdonald ' s
[ image ] math speaker series schedule 2000 - 2001
[ image ] speaker series student committee
[ image ] previous speakers
?
pierre - philippe ste - marie
- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
[ image ] http : / / pstemarie . homestead . com
mscf speaker series
mscf speaker series
official invitation
?
?
it is with great pride that i announce the next event in the speaker series .
next friday we will have the honor to host a conference given by mr . vince
kaminski ? managing director research at enron corp .
?
the next event in the
student speaker series is :
friday , november 3 , 2000
11 : 30 a . m . to 12 : 30 p . m . fast lab
[ image ] vince kaminski
managing director , research .
enron corp .
tentative student speaker series schedule 2000 - 2001
the following is a tentative schedule of the mscf student speaker series for
the 2000 - 2001 academic year . all events take place from 11 : 30 a . m . to 12 : 30
p . m . in the fast lab ( gsia 229 ) unless otherwise noted . updates are soon to
follow .
volatility curve and bond basis
august 11 , 2000
david hartney & jerry hanweck
vice president , futures and option sales j . p . morgan
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 .
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 .
the impact of electronic trading on the uses of quantitative research in
equity options
september 22 , 2000
scott morris
hull group , quantitative research department
quantitative research in investment management
october 6 , 2000
raman srivastava & anna bulkovshteyn
assistant vice president , & fixed income , quantitative analysts , putman
investments
[ image ]
tba
november 3 , 2000
vince kaminski
managing director , research .
enron corp .
fund management and market efficiency
november 10 , 2000
andrea dalton
researcher , friess associates
( advisor to the brandywine funds ) .
tba
november 17 , 2000
jeff keifer & deb
aep
tutorial on bridge
november 24 , 2000
pierre ste - marie & punit rawal
mscf students
a corporate risk management framework
december 8 , 2000
darin aprati & brian moore
mcdonald ' s
[ image ] math speaker series schedule 2000 - 2001
[ image ] speaker series student committee
[ image ] previous speakers
?
pierre - philippe ste - marie
- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
[ image ] http : / / pstemarie . homestead . com