Home

4th Annual CARISMA conference: Risk Control Strategies for Hedge Funds and Program Trading

01/07/2008 - 00:00
02/07/2008 - 23:59

The theme of the conference is "Risk Control Strategies for Hedge Funds and Program Trading". There are also four satellite workshops before and after the conference. For further details see http://www.optirisk-systems.com/events/carisma2008.asp

The conference provides a platform to discuss the applications and advances, and to explore future research directions. The focus is on the emerging requirements of the finance industry, from the perspective of performance monitoring, regulation and compliance. It brings together practitioners and academics working in the area of financial planning, optimisation and risk modelling. The satellite workshops provide an in-depth view of related topics in investment and risk modelling.


Speakers include:

  • Carlo Acerbi, Abaxbank
  • Art Asriev, Bear Stearns
  • Les Balzer, The University of New South Wales
  • Dan Bienstock, Columbia University
  • Nicos Christofides, Imperial College
  • Robert Clarkson, Cass Business School, City University.
  • M A H Dempster, Centre for Financial Research, Judge Business School, University of Cambridge & Cambridge Systems Associates Limited
  • Dan diBartolomeo, Northfield Information Services Inc
  • Chanaka Edirisinghe, University of Tennessee
  • Philip Gagner, RavenPack Int'l
  • Gerd Infanger, Stanford University
  • Dilip Madan, University of Maryland, Consultant to Morgan Stanley & Visiting Professor, CARISMA (Risk Awards Quant of the Year 2008)
  • Gautam Mitra, CARISMA, Brunei University
  • Andrew Robinson, Sunward-APT
  • Bernd Scherer, Morgan Stanley
  • Rob Stubbs, Axiom
  • Stefan Turner, red.stars.com
  • Un'yu Zhou, University of Oxford


Topics:

  • Risk Management for Hedge Funds
  • Long-Short Portfolios with Downside Risk Control
  • Credit Crunch, Liquidity, and Equity Market Neutral Strategies: Managing Risk in High Volatility Markets
  • Dynamic Asset Allocation
  • Automated Risk Management for Global Macro Strategies
  • Actuarial Insights into Hedge Fund Management
  • Optimal Trade Execution
  • Risk Management for Equity Trading: Fat Tails and Liquidity Gaps
  • Optimal Technical Trading Rules and Risk Control in Managing Stock Portfolios
  • Portfolio Implementation Shortfall Trading Strategies
  • Dynamic Behavioural Portfolio Choice
  • Coherent Measures of Risk
  • Automated Statistical Arbitrage Funds
  • Efficiencies in Multi-Account Optimisation


Pre/Post Conference Workshops:


30 June 2008: Two Half-Day WORKSHOPS:
Morning: Robust Portfolio Optimisation
Afternoon: LDI/ALM


3 July 2008: Two Half-Day WORKSHOPS:
Morning: New Developments: Performance Measures and Structured Products; Coherent Risk Measures and Liquidity Risk
Afternoon: RavenPack workshop: News Analytics and Financial Modelling