GSB Finance Roundtable Chicago

February 10, 6:00 PM - 8:00 PM

Specialty Finance 4:
Dot.com bust not a bubble, Being investigate do's & don'ts, Hedge fund risk management, New statistical tools

Pick 2 out of the following 4 topics/speakers to attend:

1. Was there a NASDAQ bubble in the late '90's or are there some fundamentally reasonable economic explanations for the technology pricing phenomena known as the 'dot.com bust' - Professor Pietro Veronesi.
2. Corporate & personal liability, document production & privilege: when can someone be held liable for fraudulent activity; if investigated, what documents can be demanded; is lawyer review alway a right/are communications privilege? - Illinois Securities Department Director Tanya Solov & 2 more TBD
3. Hedge fund risk measures and fund of hedge fund risk budgeting - the latest from University of Chicago's Financial Mathematics Lecturer Jack Mosevich.
4. New tools for risk analysis, including downloadable workbooks/add-ins - Prism Analytics founder Barry Feldman.

Where:
Gleacher Center
6th Floor
450 North Cityfront Drive
Chicago, Illinois
Map on how to reach Gleacher Center

Who:
Pietro Veronesi
Professor
University of Chicago GSB

Tanya Solov
Director
Illinois Securities Department

Jack Mosevich
Principal
MetaCryption, Inc.

Barry Feldman
Founder
Prism Analytics

Program:
5:30 PM - 6:00 PM: Sponsor tables review
6:00 PM - 7:00 PM: Round 1 of Presentations
7:00 PM - 8:00 PM: Round 2 of Presentations
8:00 PM - 9:00 PM: Cash Bar Reception

Cost:
No Charge

Registration:
Register Online

E-mail:
hqs1@juno.com

Phone:
630.466.7095

Please register by 2/09/05

If having difficulties registering online, please contact Global Chair Kathy Graham at hqs1@juno.com or call her at 630.466.7095. For further information and bios, visit http://gsb.uchicago.edu/alumni/roundtable-detail.aspx?groupid=457.

Business casual to business attire is appropriate. You need not be a graduate of The University of Chicago to attend although program content minimally requires MBA or equivalent work experience exposure. Guests are welcome provided their attendance is also registered in advance (see REGISTER above).

Questions:
Kathy Graham
630.466.7095
hqs1@juno.com

Event Details:
With FOUR 1-hour simultaneous presentations presented twice so that you can attend your choice of 2, pick from topics on:

1. WAS THERE A NASDAQ BUBBLE IN THE LATE '90s? Back by popular demand, The University of Chicago's PROFESSOR PIETRO VERONESI explores: ** How does uncertainty impact volatility in stock prices? ** Before relegating the late '90s technology pricing phenomena to the "dot-com bust" phase of a bubble category driven by crowd psychology, ARE THERE ANY FUNDAMENTALLY REASONABLE ECONOMIC EXPLANATIONS FOR THOSE CHANGES? ** What are the factors that amplify the effects of uncertainty?
2. CORPORATE & PERSONAL LIABILITY, DOCUMENT PRODUCTION & PRIVILEGE: The Director of Illinois Securities Department TANYA SOLOV along with 2 speakers to be announced soon, discusses: ** When might a corporate officer, general counsel, board member, compliance officer, or supervisor be held liable for a fraudulent activity? ** IF A FIRM IS SUBJECT TO AN INVESTIGATION, WHAT DOCUMENTS MIGHT IT BE EXPECTED TO PRODUCE? ** When does a person have the right to a lawyer review? What, if any, communications are privilege? Note: Questions for this session will be handed to the speakers on note cards to protect identities.
3. HEDGE FUND RISK MEASURES AND FUND OF HEDGE FUND RISK BUDGETING: University of Chicago's Program on Financial Mathematics Lecturer JACK MOSEVICH probes: ** What are the newer ratios that take into account higher moments that reflect risk better than the Sharpe ratio? ** With hedge fund returns not persistent and hedge fund risk persistent, HOW CAN RISK BUDGETING BE APPLIED TO A PORTFOLIO OF HEDGE FUNDS? ** How can risk budgeting be extended beyond tracking error and information ratios?
4. TWO NEW TOOLS FOR RISK ANALYSIS: Value at Risk with Extreme Value Analysis and Proportional Marginal Variance Decomposition (PMVD): Barry Feldman, founder of Prism Analytics, describes: ** What are the limitations of standard value-at-risk (VaR) estimates? ** After explaining the basics of extreme value theory, how credible are extreme value-based VaR performed in Excel? ** What has been the role of variance decomposition in risk assessment, statistics and hedge fund analysis? ** How does PMVD, a new method of variance decomposition, work? How does it compare with other variance decomposition methods? Attendees at this session will also be given the tools to download (1) an Excel workbook with extreme value and extreme value-based value at risk functions and examples of doing extreme value-based value at risk and (2) an Excel add-in for doing PMVD and other statistical analyses and a workbook with examples.

Speaker Profiles:
Pietro Veronesi has been a part of the University of Chicago's teaching faculty since 1997, first as an Assistant Professor of Finance and currently as an Associate Professor of Finance. He has just created a new MBA course entitled "Cases in Financial Risk Management"; which he is teaching at present in addition to an MBA/PhD course on "Fixed Income Asset Pricing" and a PhD course on "Topics in Dynamic Asset Pricing". Professor Veronesi received his PhD in Economics from Harvard University in 1997, graduated with distinction from The London School of Economics with a MSc in Econometrics and Mathematical Economics in 1993, and graduated first in his class from Bocconi University with a Laurea Degree in Economics in 1992. His most recent honor was receiving the 2003 Smith Breeden First Prize for best article in asset pricing in the Journal of Finance.

Tanya Solov currently serves as the Director of the Illinois Securities Department. She was appointed Director in 1999 by Secretary of State Jesse White. Tanya began her career with the Securities Department in 1994 as the Senior Enforcement Attorney, and later served as the Assistant Director for Enforcement. From 1989 to 1994, Tanya was an Assistant Attorney General of Illinois practicing appellate and trial litigation in State and Federal Courts. Prior to her career in government, she was a management consultant at Arthur Andersen & Co. Tanya is currently the Chair of the Broker-Dealer Section of the North American Securities Administrators Association (NASAA).

Jack Mosevich holds a PhD in Mathematics from The University of British Columbia and has dedicated his career to the application of mathematics to financial asset management. Formerly the Head of Risk Management for North America for UBS Global Asset Management and Contego Capital (a fund of funds), Jack is currently in the process of building a consulting business for hedge funds and fund of funds named MetaCryption, Inc. that focuses on state of the art quantitative financial applications. He has also been and continues to be a lecturer in The University of Chicago's Program on Financial Mathematics.

Barry Feldman, Ph.D., CFA is the founder of Prism Analytics and Adjunct Professor of Finance at the Kellstadt Graduate School of Business at DePaul University. Prism licenses and develops software using PMVD and related techniques that Barry developed and patented. Before founding Prism Analytics, Barry was a senior researcher at Ibbotson Associates where he designed and used statistical tools and advanced portfolio optimization methods and conducted research on topics including asset allocation, hedge funds and behavioral finance (his work was just recently mentioned in Bill Barnhart's finance column in The Chicago Tribune). He previously held positions at Scudder Kemper Investments and AT&T. Feldman has spoken widely and written on topics including portfolio construction and risk analysis. He is also a member of the Chicago steering committee of QWAFAFEW, an international network of financial professionals. Barry received an undergraduate degree from MIT and a Ph.D. from the State University of New York at Stonybrook, both in Economics.