Seminars

Moderator: Ken Seng Tan, University of Waterloo
Presenters: Eckhard Platen, University of Technology Sydney (UTS)

This one day seminar introduces a generalized framework for financial market modeling: the benchmark approach. It develops a unified treatment of derivative pricing, portfolio optimization and risk management without assuming the existence of risk-neutral measures. The benchmark approach compatibly extends beyond the domain of classical asset pricing theories with significant implications for longer dated products, stochastic discount factors and risk measures. A new Law of the Minimal Price, which generalizes the familiar Law of One Price, provides a revised foundation for derivative pricing. A Diversification Theorem justifies developing a simpler proxy for the full-blown numeraire portfolio.

The benchmark approach augments earlier financial modeling frameworks to enable tractable, yet realistic, market models encompassing equity indices, exchange rates, equities and the interest rate term structure to be developed based solely upon the real world probability measure. The seminar carefully explains how the benchmark approach differs from the classical risk-neutral approach. Examples will be presented, using long-term and extreme maturity derivatives, to demonstrate the important fact that—in reality—a range of contracts can be less expensively priced and hedged than is suggested by classical theory.

All registered attendees of this seminar will be given a complimentary copy of the book co-authored by Eckhard Platen and David Heath, A Benchmark Approach to Quantitative Finance (Springer Finance, 2006, ISBN 3-540-26212-1). The books will be handed out on-site. The core ideas from this recent book will be presented and further expanded upon during the seminar, including:

• basing financial modeling on the key concept of a numeraire portfolio;
• deriving the new Law of the Minimal Price;
• approximating the numeraire portfolio via diversification;
• consistent utility maximization and portfolio optimization;
• pricing nonreplicable claims consistently with replicable claims;
• pricing and hedging long term and extreme maturity contracts; and
• equity index, FX, equity and term structure derivatives.

Moderator: Robert Mark, Black Diamond Risk Enterprises, LLC
Presenters: Max Rudolph, Rudolph Financial Consulting, LLC; David Ingram, Willis Re Inc; Prakash Shimpi, Towers Perrin; Prodyot Samanta, Third Eye Risk Insights; Gary Nan Tie, The Travelers Company; Christopher Bohn, Aon Global Risk Consulting; Dan Rosen, R2 Financial Technologies; Dan Galai, Sigma PCM; Wayne Fisher, Enterprise Risk Management Group; Michael Crouhy, NATIXIS; Larry Moews

The financial landscape evolves throughout time, and those who fall asleep during the stable periods are rudely awakened when volatility returns. Enterprise risk management helps, but only if it is implemented with a strong risk culture at its base.

Gain insights from experts in banking, as well as life and casualty insurance, as they share current ERM best practices. The Basel Accord has encouraged bankers to use company-driven ERM models for financial and nonfinancial risks to determine required regulatory capital. Insurers are using principle-based approaches to develop similar economic-based reserve and capital requirements unique to their business model. ERM implementation is a key component when optimizing results relative to risks taken.

Much has been learned in the recent past about shortcomings of relying entirely on models. Learn from the experts what they now know about modeling and ways to improve their processes. You just might discover that models from others in the financial services industry can improve the methods of calculating economic capital, pricing, performance measurement and portfolio management at your company.

A panel of experts, representing various industries and perspectives, will conclude the seminar with a discussion on how challenges have been, and can be, addressed.

Moderator: Alexander Shipilov, TD Bank Financial Group

Presenters: Alex Kreinin, Algorithmics Inc.; Dmitri Rubisov, BMO Capital Markets; Douglas Summa, PricewaterhouseCoopers LLP; Greg Frank, TD Securities; Luis Seco, Sigma Analysis & Management Ltd.; Niall Whelan, Scotiabank

In this seminar, industry practitioners address challenges faced by banks, insurance companies and hedge funds in the midst of the financial crisis. The seminar will help you mitigate the risk of mispricing financial instruments, by providing insight from industry practitioners into existing practices and solutions. In a classroom format, participants will be encouraged to ask questions of the speakers and interact with each other to share ideas and experiences.

Areas of learning include:

• examples of spectacular mispricing,
• challenges in pricing financial instruments including derivatives,
• current issues in regulation, compliance and accounting standards, including FAS 157,
• valuation process, its governance and elements,
• valuation risk control framework,
• model vetting and validation,
• independent price verification and valuation adjustments,
• credit value adjustments in pricing financial instruments and
• collateral and margining.

A panel of experts, representing various industries and perspectives, will conclude the seminar with a discussion on how challenges have been, and can be, addressed.

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