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Statistics in Financial Risk Management - November 7, 2013, Rutgers University

Neville O'Reilly, FSRM - Rutgers University, 848-445-8000, noreilly@stat.rutgers.edu

Thursday, November 7, 2013 from 8:30 AM to 7:00 PM (EST)

Statistics in Financial Risk Management - November 7,...

Ticket Information

Ticket Type Sales End Price Fee Quantity
Rutgers Alumni & Faculty
Please bring your Rutgers Alumni or Faculty Card along with your ticket to the event,
Ended $100.00 $0.00
FSRM Graduates
Graduates of the Financial Statistics and Risk Management Program
Ended $50.00 $0.00
Sponsor Courtesy Discount
Available only to paid up IAFE, QWAFAFEW, GARP and SQA members
Ended $100.00 $0.00

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Event Details

Rutgers “Statistics for Financial Risk Management” Conference 
Wednesday, November 7, 2013, Rutgers Busch Campus
Department of Statistics and BioStatistics

 

The Financial Statistics & Risk Management Program (FSRM) at Rutgers University joins the 2013 International Year of Statistics celebrations by hosting this one day event focused on the statistical facets of risk management. The inauguration of the Rutgers Center of Excellence in Financial Statistics and Risk Management will also take place at the event. The mission of the Center will be to  foster joint research by practitioners and academics into risk management approaches that are robust in the face of inevitable limitations and constraints in model specification and estimation,

The conference features talks and a panel discussion by an international roster of globally distinguished experts.

Program Agenda

8:30 – 9:15: Sign-in & Breakfast

9:15 – 9:30: Welcome Remarks

9:30 – 10:20:  “Cascading Defaults and Systemic Risk of a Banking System” (#FSRMJD)

Jin-Chuan DuanJin-Chuan Duan, Cycle & Carriage Professor of Finance , Business School, National University of Singapore, is also a Professor in the Economics Department.  Duan is known for his work on the GARCH option pricing model and also for directing  public good’ initiative providing free and timely default predictions  for over 60,000 exchange listed corporations globally. Duan is an Academician of the Academia Sinica and has been the Director of The Risk Management Institute since 2007. Prior to his coming to NUS,  Duan held the Manulife Chair Professorship at the Rotman School of Management, University of Toronto.


10:40 – 11:30: “CoVaR in very high dimensions” (#FSRMWH)

WolfgangWolfgang Härdle, Ladislaus von Bortkiewicz Chair of Statistics, School of  Business and Economics, Humboldt-Universität zu Berlin. His research interests are smoothing methods, discrete choice models, statistical modeling of financial markets and computer-aided statistics. His most recent work deals with the modeling of implied volatilities and the statistical analysis of financial riskHe is the author or co-author of over 30 books in the fields of financial risk management, statistics and econometrics. 



 11:30 – 12:20: "Cross-lingual information arbitrage: Mitigating global market inefficiencies" (#FSRMJH). 

 JaJames Hodsonmes Hodson,  Machine Learning and Statistical Inference, Bloomberg L.P. The Machine Learning and Statistical Inference group at Bloomberg L.P. which focuses on creating statistically driven solutions to information asymmetry problems in financial markets, increasing transparency, and helping Bloomberg's global client base of financial professionals to make smarter investment decisions. Before joining Bloomberg in 2010, James developed semantically-driven metrics for the evaluation of Machine Translation performance at Princeton University, and worked on the EuromatrixPlus project in Germany. 


12:20 – 01:20: Lunch
 

01:20 – 01:40: Inauguration of Rutgers Center of Excellence in Financial Statistics & Risk Management (#FSRMCE)
 

1:40 – 2:30: “Market-based Credit Ratings” (#FSRMRT)

Ruey TsayRuey S Tsay, H.G.B. Alexander Professor of Econometrics and Statistics,  Booth School of Business, University of Chicago. Ruey has made fundamental and innovative contributions in univariate and multivariate time series models, outlier detection, volatility modeling, and risk assessment.  He is the author of  the widely used and award winning text book,  Analysis of Financial Time Series. He has delivered invited lectures at the IMF and at events hosted by the central banks of several countries.


2:30 – 3:20: "Taming Black Swans with Statistics" (#FSRMHR)

HolgerHolger Rootzén, Professor of Mathematical Statistics, Chalmers University of Technology, Göteberg, Sweden.  He is an elected member of the Royal Swedish academy of Sciences and an expert in Extreme Value Theory. His research focuses on the  mitigation of the impact of extreme floods, windstorms, and heat waves caused by climate change; on handling risk in finance and insurance; and on using naturalistic driving studies to  prevent car crashes.  Holger leads  a large Wallenberg project, "Big Data and Big Systems".


 
3:40 – 4:30: “Fragility and Precautionary Principles” (#FSRMNT)

NassimNassim N. Taleb,  Former Trader, Distinguished Professor of Risk Engineering at New York University’s Polytechnic Institute. Nassim N. Taleb is a former derivatives trader who became a scholar in 2006. Although he is currently Distinguished Professor of Risk Engineering at New York University’s Polytechnic Institute,  he self-funds his research and operates in the manner of independent scholars. Taleb is the author of The Black Swan (2007–2010) and Antifragile (2012). His works focuses on model error and decision making under opacity, as well as mathematical and philosophical problems with probability, in other words on "what to do in a world we don't understand".


4:30 – 5:30: Moderated Panel Discussion: All Authors:  ”Better Risk Management in an Opaque World ” (#FSRMPN)

5:30 – 7:00:  Reception: Wine and Hors d'Oeuvres 

VENUE: Fiber Optics Auditorium, Rutgers University, 101 Bevier Road, Piscataway, NJ 08854

DIRECTIONS:  Driving and parking directions can be found here. By train from NYC, take the NJ Transit NE Corriodor line train from New York Penn Station  to New Brunswick station. From there take a taxi (recommended, 8 minutes) or a campus bus (multiple stops, longer) to the Auditorium.  The NE Corridor train schedule can be viewed here and taxi driver assist directions from the train station to the auditorium are included with  the Driving and parking directions . 

EVENT WEBSITE: Rutgers FSRM

CONFERENCE HASHTAGS: Use #FSRM13 when conversing about the conference on Twitter. Use individual session hashtags during the event to ask  questions which will be moderated and relayed to the speaker or panel.

SPONSERS:

                                                                            


Have questions about Statistics in Financial Risk Management - November 7, 2013, Rutgers University? Contact Neville O'Reilly, FSRM - Rutgers University, 848-445-8000, noreilly@stat.rutgers.edu

When & Where


Fiber Optics Auditorium, Busch Campus, Rutgers University
101 Bevier Road
Piscataway, NJ 08854

Thursday, November 7, 2013 from 8:30 AM to 7:00 PM (EST)


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