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:
- 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
- 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
- Hedge fund risk measures and fund of hedge fund risk
budgeting - the latest from University of Chicago's Financial Mathematics
Lecturer Jack Mosevich.
- New tools for risk analysis, including
downloadable workbooks/add-ins - Prism Analytics founder Barry
450 North Cityfront Drive
how to reach Gleacher Center
University of Chicago GSB
Illinois Securities Department
5:30 PM - 6:00 PM: Sponsor tables review
6:00 PM - 7:00 PM: Round 1
7:00 PM - 8:00 PM: Round 2 of Presentations
- 9:00 PM: Cash Bar Reception
Please register by 2/09/05
If having difficulties registering online, please contact Global
Chair Kathy Graham at firstname.lastname@example.org or
call her at 630.466.7095. For further information and bios, visit
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).
With FOUR 1-hour simultaneous presentations presented twice so that you can attend
your choice of 2, pick from topics on:
- 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?
- CORPORATE & PERSONAL
LIABILITY, DOCUMENT PRODUCTION & PRIVILEGE: The Director of Illinois
Securities Department TANYA SOLOV along with 2 speakers to be announced
** 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
** 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.
- 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
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
be extended beyond tracking error and information ratios?
NEW TOOLS FOR RISK ANALYSIS: Value at Risk with Extreme Value Analysis
Marginal Variance Decomposition (PMVD): Barry Feldman, founder
of Prism Analytics, describes: ** What are the limitations of standard
** 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
PMVD, a new method of variance decomposition, work? How does it
variance decomposition methods? Attendees at this session will
also be given the tools to download (1) an Excel workbook with 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.
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.
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