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The Innovation Centre,
Level 1, 257 Collins Street, Melbourne
Thursday 20 September 2007
Overview:
This one-day event highlighted the scope for developing value-adding investment strategies out of mathematical and statistical techniques and how they can be applied within the financial world and risk management.
The event was targeted towards quantitative investment analysts, risk managers, finance academics, mathematicians, statisticians and those wanting an insight into quantitative modeling.
A total of sixty-six delegates registered for the event. Of those that attended most were from industry. The event was kindly sponsored by Victorian Funds Management Corporation.
Program & Speakers:
Lead speakers included:
- Leo de Bever, Chief Investment Officer, Victorian Funds Management Corporation (VFMC) and
- Pavel Shevchenko, Principal Research Scientist, Leader, Financial Risk Management, Commonwealth Scientific and Industrial Research Organisation (CSIRO
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Thursday 20 September
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| 8:45 - 9:15 |
Registration
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| 9:15 - 10:30 |
Session 1: Two lead speakers
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Leo de Bever, Chief Investment Officer and Head of Investment Strategy, Victorian Funds Management Corporation –
“Managing short-term risk in a short-term world: Why human behaviour often trumps the calculus of risk” |
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Pavel Shevchenko, Principal Research Scientist, Leader, Financial Risk Management, Commonwealth Scientific and Industrial Research Organisation (CSIRO) –
"Bridging to Finance" |
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| 10:30 - 11:00 |
Morning Tea
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| 11:30 - 1:00 |
Session 2 : Practitioners
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Laurence Irlicht, Investment Director, Quantitative Analysis, Victorian Funds Management Corporation –
"Modelling Financial Markets - What Works, What Doesn't and What We Don't Know" |
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Sam Ferraro, Quantitative Analyst, Goldman Sachs JBWere –
"Common Mistakes in Risk Measurement" |
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Volf Frishling, Head of Market Risk Quantitative Support & Validation, National Australia Bank –
"Estimation of High Quantiles in Risk Management" |
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Paul Lajbcygier, Associate Professor, Departments of Accounting and Finance and Econometrics and Business Statistics, Monash University –
"Soft Clustering for Funds Management Style Analysis" |
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| 1:00 - 2:00 |
Lunch
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| 2:00 - 3:00 |
Session 3: Finance Academics
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Sam Wylie, Senior Fellow, Melbourne Business School, Melbourne Business School –
"Evaluating Portfolio Managers with Bayesian Scoring" |
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John van der Hoek, Senior Lecturer, Applied Mathematics, University of Adelaide –
"Binomial Approximations in Finance" |
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| 3:00 - 3:30 |
Afternoon tea
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| 3:30 - 4:45 |
Session 4: Non-finance Experts
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David Dowe, Associate Professor, School of Computer Science and Software Engineering, Monash University –
"Fitting models with minimum message length criteria" |
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Mark Burgman, Professor in Environmental Science at the School of Botany at the University of Melbourne and Director of the Australian Centre of Excellence for Risk Analysis –
"The wider world of risk analysis: dealing with extinction risk, fat tails and other imponderables" |
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| 4:45 - 4:50 |
Concluding remarks
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Presentations
Presentations from the event can be downloaded from Melbourne Centre For Financial Studies
Acknowledgments
The event was kindly sponsored by the Victorian Funds Management Corporation and the Victorian Department of Innovation Industry and Regional Development.
Event Photographs
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