The MS QCF Program
Experience Quantitative Finance - QCF DAY 2007
A Day of Connections and Education About the Quantitative and Computational Finance Community
| Location: | Global Learning and Conference Center, Georgia Tech, Atlanta |
| Date: | March 30, 2007 |
| Sponsored by: | The Quantitative and Computational Finance Program at Georgia Tech |
Registration is required for attendance. Currently registration is closed. Please see the section on Registration for more information.
Schedule
Presentations
QCF Poster Displays/Poster Session
One-on-One Discussions
Directions and Accommodations
Registration Closed - Please see note below
About QCF Day 2007
Schedule
Schedule subject to change.
| 8:30 | Dr. Robert Kertz | Welcome |
| 8:35-9:20 | Dr. Thomas Hurd, McMaster University | Hybrid models of credit risk - the best of both worlds? |
| 9:30-10:15 | Dr. David Li, Barclays Capital | An Overview on Credit Portfolio modeling |
| 10:15-10:45 | BREAK | |
| 10:45-11:30 | Dr. Yang Liu, MSCI Barra | Macroeconomic Factors in a Fundamental World |
| 11:40-12:25 | Dr. Sandeep Jain, UBS Investment Bank | Pricing Callable Libor Exotics in Market Models Using Continuous Lattices |
| 12:25-1:15 | LUNCH | |
| 1:15-2:00 | Dr. Larry Li, Deutsche Bank | Value-added quantitative approach to structuring commodity transactions |
| 2:10-2:55 | Mr. Krzysztof Wolyniec, Sempra Commodities | Change of Measure Techniques in Commodity Structured Products |
| 2:55-3:20 | BREAK | |
| 3:20-4:05 | Dr. Yimin Yang, SunTrust Banks | FIN 46 Off-balance Sheet Securitization Modeling and Loss Distribution of Non-homogeneous Credit Portfolio |
| 4:15-5:00 | Dr. Rob Stubbs, Axioma | A Fair and Effective Method of Rebalancing Multiple Accounts Simultaneously |
| 5:00 | Closing Remarks |
Presentations
Presentations on how different aspects of Quantitative and Computational Finance are used by different organizations in the Southeast Region and beyond.
List of Speakers (alphabetical)
| Speaker | Company | Title |
|---|---|---|
| Dr. Thomas Hurd | McMaster University, Department of Mathematics and Statistics | Professor |
| Dr. Sandeep Jain | UBS Investment Bank | Executive Director |
| Dr. David Li | Barclays Capital | |
| Dr. Larry Li | Deutsche Bank - Global Markets | Vice President |
| Dr. Yang Liu | MSCI Barra | Senior Research Associate |
| Dr. Rob Stubbs | Axioma, Inc. | Vice President, Research |
| Mr. Krzysztof Wolyniec | Sempra Commodities | Managing Director |
| Dr. Yimin Yang | SunTrust Bank | Group Vice President |
QCF Poster Displays and Poster Session
Poster Displays may be set up and a Poster Session will be scheduled for individuals and teams to present results from papers, projects and reports on Quantitative and Computational Finance.
An Invitation to ParticipateOne-on-One Discussions
QCF Day is an opportunity to experience Quantitative and Computational Finance. The Presentations, QCF Poster Displays, and informal conversations facilitate this involvement and learning. Plenty of time will be available for one-on-one discussions with practitioners, students, and novices.
Directions and Accommodations
Please visit the QCF Day Directions Page for information about directions to and accommodations for QCF Day 2007.
Registration
Registration has been closed due to limitations of the venue. If you would like to be notified if this situation changes, please send a note to Harry Sharp.
Information About the QCF Day Speakers
Dr. Thomas Hurd
McMaster University
After undergraduate studies in his native land, Canada, Professor Hurd spent six years doing graduate and postdoctoral research in mathematical physics at Oxford, research he continued at several Canadian universities. In the new millenium he has devoted himself to a second research career in financial mathematics, in which subject he has written papers on incomplete markets, utility theory, optimal investment, interest rate models and credit risk. On the teaching side, Professor Hurd founded www.phimac.org, the financial mathematics lab at McMaster University, and has supervised numerous research students as part of that activity. He is currently working to initiate a new coursework MSc program in financial mathematics at McMaster.
Title of Talk: Hybrid models of credit risk - the best of both worlds?
Abstract: The classic problem of credit risk is the pricing of the bonds issued by medium and large firms, and the valuation of their associated derivative securities. Two competing approaches to credit risk, namely the structural models and the intensity-based models, can be reconciled in various ways. In this talk, we shall review the basic requirements for modeling credit risk, and examine the pros and cons of various established methods. In the end we will arrive at some simple hybrid models that combine the attractive features of both approaches.
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Dr. Sandeep Jain
UBS Investment Bank
Dr. Jain is the lead quantitative analyst in Fixed Income, Rates &
Currencies division at UBS Investment Bank. He is responsible for model
development for structured hybrid products spanning rates, credit, FX,
commodities and equities. He has over 12 years of experience as a
practitioner in derivatives modeling. Prior to joining UBS, Dr. Jain
held similar positions at Wachovia Bank, Merrill Lynch and Standard &
Poor's. He has also served as adjunct professor of financial engineering
at the Financial Engineering Institute at Polytechnic University,
Brooklyn. Dr. Jain holds a Ph.D. in Applied Mathematics from
Polytechnic University, Brooklyn, New York.
Title of Talk: Pricing Callable Libor Exotics in Market Models Using Continuous
Lattices
Abstract: Increased complexities in structured products necessitate employing complex models to adequately risk manage such products. To this end, Libor market models with extended features to model skews and smiles have become fairly standard. So far, Monte Carlo simulation techniques seem to be the only viable tool for pricing such products in these models. However, by nature, the day-to-day PNL explanatory using Monte Carlo techniques is quite unsatisfactory. Moreover, convergence is quite poor, especially if the underlying processes have jumps. Here, we present the "Continuous Lattice" technique to price a class of Callable Libor Exotics (CLEs) in the extended market model framework. This class consists of trades where the hold value can be adequately expressed as a function of a finite set of observables. Some advantages of this technique over Monte Carlo are: (i) It naturally lends itself to obtaining stable Greeks, eliminates price randomness observed in Monte Carlo, thereby resulting in cleaner PNL explanatory. (ii) The approach is fairly process independent. Processes with jumps and stochastic volatility are handled just as easily. (iii) The exercise boundary is transparent in terms of key observables. We present details of our approach taking Bermudan Swaptions as an example.
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Dr. David Li
Barclays Capital
David Li is Head of Quantitative Analytics in the Credit Derivatives
Group at Barclays Capital in New York. He has led Barclays Capital
quantitative development efforts to support the global credit derivative
trading business. He has achieved broad recognition in the industry for
his groundbreaking work on pricing portfolio credit derivatives, such as
CDOs, using copula functions. David has previously worked at Citigroup,
AXA Financial, The RiskMetrics Group and CIBC. David has a PhD degree in
statistics and Master's degrees in economics, finance and actuarial
science. He is an associate of the Society of Actuaries and an
Associate Editor of the North American Actuarial Journal.
Title of Talk: An Overview on Credit Portfolio modeling
Abstract: Some fundamental issues in credit portfolio modeling around default correlation are covered in this talk. I first provide an overview about the copula function approach to credit portfolio modeling. Its drawbacks and various extensions are then discussed. I'll show how to incorporate covariance structure of spreads into the basic framework using risk transfer model. Finally I'll present some initial thoughts on ABS correlation modeling.
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Dr. Larry (Chengjun) Li
Deutsche Bank - Global Markets
Larry Li is currently leading the front office Quant effort for the Global Markets/Commodities business for Deutsche Bank. In this capacity, he builds infrastructure/models/tools to support commodities trading/structuring/sales & marketing, as well as heavily involved in structuring commodity deals for the bank. He has strong academic background and extensive industry experience in both Quantitative Research and Risk Management areas. Before joining Deutsche Bank, he was VP of the Risk Management Group at Constellation Energy.
Prior to the works in the energy industry, he worked as a risk manager for Scotia Capital Market of Bank of Nova Scotia until early 2000. Larry has addressed practitioners as well as academia at both energy and finance conferences and training courses. He holds a Ph.D. in finance, an M.A. in economics from the University of Toronto, an M.S. and B.S. in mathematics from Shandong University.
Title of Talk: Value-added quantitative approach to structuring
commodity transactions
Abstract: In the real world of financial industry, quantitative structuring has become more and more important in the ever competitive deal-making process for investment banks. It has emerged as a critical component of structuring desks which bridge trading, sales, and investment banking together. This talk aims at shedding light on what quantitative structuring is as a relatively new discipline, and show how to apply quantitative and financial modeling to structure commodity transactions. Examples of electricity, natural gas, oil related commodity transactions are used for illustration.
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Dr. Yang Liu
MSCI Barra
Dr. Liu is a Sr. Research Associate at MSCI Barra. Yang joined Barra in
2006 and currently works in the Equity Risk Modeling Group. She is
involved in building macroeconomic factor models and single-country
multi-factor equity models. For the two years prior to joining MSCI
Barra, Yang was an Assistant Professor of Finance at California
Polytechnic State University.
Yang earned a BS in accounting from Tsinghua University, a MS in
economics and a PhD in finance from University of Washington.
Title of Talk: Macroeconomic Factors in a Fundamental World
Abstract: There are three established approaches to factor modeling of equity markets: fundamental, macro-economic, and statistical. In this lecture, we give a brief overview of these approaches and then analyze the relationship between the first two. We demonstrate how the macroeconomic perspective can be extracted from a fundamental factor model. Our study provides new insights into the sources of common factor portfolio risk.
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Dr. Robert Stubbs
Vice President, Research - Axioma, Inc.
Dr. Robert Stubbs is Vice President, Research at Axioma, Inc. Stubbs joined
Axioma in 2000 and is currently the head of research at Axioma. He is
responsible for leading the research team in the design of optimization
modeling and algorithmic development for portfolio construction, the
development of factor risk models for equities, and the development of other
analytical tools that are incorporated into Axioma's products and services.
Before joining Axioma, Stubbs was an Optimization Software Developer for
LINDO Systems, Inc., where he worked on developing and maintaining the
algorithmic components of LINDO products. Stubbs earned a Ph.D. in
Industrial Engineering and Management Science and a Master of Science degree
in Industrial Engineering and Management Science from Northwestern
University, and a Bachelor of Science degree in Applied Mathematics from
Auburn University.
Title of Talk: A Fair and Effective Method of Rebalancing Multiple Accounts Simultaneously
Abstract: When portfolios of many clients are individually rebalanced, the resulting trades are typically pooled together and executed simultaneously. Unfortunately, the combined trading of many individually optimized portfolios can be far from optimal. Since market-impact costs and liquidity often depend nonlinearly on the total number of shares traded, the optimal trade for a single client in isolation can be very different from the optimal trade when many clients trade the same stock. The solution is to rebalance all accounts together such that each is aware of the aggregate impact on trading costs. But, this leads to fairness issues with respect to the allocation of trades amongst the accounts. We describe a methodology for solving the multi-account rebalancing problem that addresses the fairness of trading amongst all participating accounts. Additionally, we show the financial benefits to each account participating in the multiple-account rebalancing.
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Dr. Yimin Yang
SunTrust Banks, Inc.
Yimin Yang received his Ph.D in mathematics from University of Chicago in 1992. Before started his career in the financial industry, he taught and conducted academic research at University of Minnesota for over 7 years. His prior employment included hedge fund quantitative analyst with EBF & Associates, and senior manager and chief " quant " with PNC Financial Services Group. He joined SunTrust in 2005, and has since managed a quantitative team for credit risk management. His current interests are loss distribution of credit portfolio, credit deterioration, and correlation products. His other degrees include MS in Computer Information Networking from Carnegie Mellon University, MS from the Chinese Academy of Sciences, and BS from Beijing University.
Title of Talk: FIN 46 Off-balance Sheet Securitization Modeling and Loss Distribution of Non-homogeneous Credit Portfolio
Abstract: We will start with FIN 46 requirements for Off-balance sheet asset securitization. FIN 46 is an interpretation issued by the Financial Accounting Standards Board (FASB) for financial firms to consolidate balance sheets. Due to different understanding and treatment to credit loss, the financial industry has encountered great difficult in implementing FIN 46. We will discuss credit risk from accountant's perspective and model the loss as a two-tranche securitization. To understand its loss distribution, we will use Vasicek's homogeneous portfolio as a base-model and extend it to handle much more general situations.
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Mr. Krzysztof Wolyniec
Sempra Commodities
Krzysztof Wolyniec is the Managing Director of the Front Office quant
group at Sempra Commodities based in Stamford, CT. His group is
responsible for modeling, valuation and hedging of variety of structured
products in oil, power and natural gas. Before Sempra, Krzysztof was the
Director of Research at Mirant. Krzysztof holds graduate degrees in
Physics and Management Science. He has published extensively on
commodities modeling, including two books: "Energy and Power Risk
Management" by Wiley (with A. Eydeland, now in second edition) and
"Commodities Risk Management" by Risk publications.
Title of Talk: Change of Measure Techniques in Commodity Structured Products
Abstract: In this talk, we will talk about applications of change of probability measure techniques in valuation commodity structured products. Topics include:
- Nature of risk management in commodity derivatives
- Risk measures and risk measure estimation
- Interaction of estimation and valuation problems
- Minimal representation and change-of-numeraire techniques
- Examples of valuation and joint estimation for minimal representations