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Understanding volatility is essential to successful portfolio management. This seminar seeks to deepen our understanding of volatility by bringing together experts in the field to discuss the fundamental causes of volatility including company news, sentiment, economic cycles, war, terrorism and global warming. They will discuss the impact of those factors on financial volatility, the pricing of that risk in the short and long run and how we should respond.
8:00am Registration & Continental Breakfast
8:30am Opening Remarks
Measuring Economic Activity in Real Time
Francis Diebold, Wharton School, University of Pennsylvania
Prof. Francis Diebold will discuss his work on monitoring real-time business conditions as well as links to the financial markets. Click here for a full description of this presentation
When Uncertainty Blows in the Orchard:
Comovement and Equilibrium Volatility Risk Premia
Andrea Buraschi, Imperial College Business School, London
Prof. Andrea Buraschi will discuss what drives the dynamics and cross-section of financial markets volatility. He will present theoretical and empirical work on how volatility is priced and what systematic factors affect the spread between implied and realized volatility. Click here for a full description of this presentation
10:25 Refreshment Break
Equity Volatility Across the Business Cycle
Krag Gregory, VP Equity Derivatives Strategy, Goldman Sachs
Equity Portfolio Risk (Volatility) Estimation Using Market Information and Sentiment
Dan diBartolomeo, President, Northfield Information Services, Inc.
Dan diBartolomeo will present work on using implied volatility, news, sentiment and other information to pick up changes in volatility more quickly than traditional factor models can. Click here for a full description of this presentation
12:00 Lunch
Global Financial Stability and Long Term Risk
Robert F. Engle, New York University, Nobel Laureate in Economics (2003)
Prof. Robert Engle will review the recent financial crisis and existing long-term risks. He will and what can be done to forecast systemic risk, manage it and perhaps even to reduce it. Click here for a full description of this presentation
1:30pm Adjourn
December 11, 2009
8:00am Registration & continental breakfast
8:30am - 1:30pm Program, including lunch
Cost: $300 SQA Member; $450 Non member (includes discounted membership);
$350 Transitional non-member (for those between jobs) includes discounted membership;
$375 Academic non-member, includes discounted membership;
Student Scholarships available (limit 10) $100 net registration fee
Pre-registration Deadline: Monday, December 7th
Location: 32 Old Slip, Goldman Sachs Auditorium, NYC (corner of Front St.)
Cancellation Policy: Cancellations received in writing by 5:00pm Tuesday, December 8th will receive a full event refund. Late cancellations will receive a partial refund reflecting incurred expenses. No shows are ineligible for any refund.
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