Quantitative Finance: Market Crisis
Thursday, April 17, 2008
Presented by Quantitative Finance Discussion Group
Endorsed by the INTERNATIONAL ASSOCIATION OF FINANCIAL ENGINEERS (IAFE)
As Washington continues to debate details of a stimulus package and the Federal Reserve toys with interest rates, join this meeting to learn more about America's recent market difficulties brought on by the subprime mortgage crisis.
Moderator: Emanuel Derman; Columbia University
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James Grant, Editor, Grant's Interest Rate Observer
Quantitative finance has had its day in the sun. Its limitations are all too apparent. Why not let the historians try their hand at risk control?
August 2007 Quantitative Equity Turbulence: An Unknown Unknown Becomes a Known Unknown
Brian T. Hayes; Lehman Brothers Alternative Investment Management
Hedge funds that use quantitative models to buy and sell stocks (quant equity funds) endured a turbulent August 2007, with many funds experiencing large losses. We study the holdings of a set of quant equity funds to gain insight into this event. An update on developments since August will also be discussed
The Subprime Mortgage Meltdown of 2007: Anatomy of a Market Failure
Kenneth Posner, Morgan Stanley
The US enjoyed extraordinarily strong housing fundamentals during the period 2001-2006, and almost no-one expected the good times to last. But the complete shut-down of the non-traditional mortgage market and the associated spike in loss and foreclosure rates to historically unprecedented levels caught the financial markets by surprise. In this talk, we'll explore the drivers of volatility in risky mortgage performance in order to understand the shockingly fat tail of this distribution