"Counterparty Credit Risk: The Special Case Of Hedge Funds"

This event next Monday looks interesting: ------------------------------------------------------------------- Speaker: Yann Coatanlem, Citigroup Global Capital Markets and Analysis Group Date: Monday, March 22nd, 2010 Time: 6:00PM Location:412 Schapiro CEPSR, Davis Auditorium Abstract There has been a lot of noise during the current financial crisis about the soundness of the risk models used by banks to monitor and manage their tail exposure. We show that there were in fact VaR models designed and implemented before the crisis which performed very well. We will focus on the key features of what we think constitutes a robust model, in particular fast reactivity to market changes and ability to anticipate “jump to junk”; we present various backtesting results across hundreds of trading strategies. We also look at alternative approaches, notably through EVT, and try to make sense of the debate between VaR and stress tests. Finally we discuss ways to allocate hedge fund losses. Bio Yann Coatanlem is a Managing Director in Citi Institutional Client Group and head of the Multi-Asset quantitative Analysis Group. He joined the Arbitrage Desk of Salomon Brothers in London in 1994. His current responsibilities include research, development and trading support for the Hybrid and Multi-Asset Derivatives desk, the Commodity desk, Prime brokerage globally and Counterparty Credit risk for Global Capital Markets. MAQA’s key responsibility is to help these businesses at all stages of a new product development cycle: structuring and marketing, analysis of key risk factors and market inputs, modeling and pricing, integration in various front end technology platforms, risk management, market value adjustments, model validation, credit approval, VaR, economic capitals, quantitative strategies, etc. Amongst various activities outside Citi, Yann is the Executive Director of a think tank, the Club Praxis, which focuses on economic and social reforms in France. He graduated in Mathematics from Ecole Nationale Supérieure d’Informatique et de Mathématiques Appliquées de Grenoble (ENSIMAG), and from Hautes Etudes Commerciales (HEC) in Paris. _____ The Financial Engineering Practitioners Seminar meets on Monday evenings from 6:00 pm to 7:30 pm, and is followed by a reception and refreshments. The seminars are open to the public and we welcome attendees from industry and academia. We are grateful to our sponsors: - D E Shaw & Co. - Guzman & Company - Murex - Prisma Capital Partners Directions: The Financial Engineering Practitioners Seminar is held at 412 Schapiro CEPSR in Davis Auditorium on Columbia University’s Morningside Campus. Enter through campus at 116th Street and then walk north. Davis Auditorium is located in the Schapiro Center towards the north end of the Morningside campus. For a map of the campus see www.columbia.edu/cu/aboutcolumbia/maps/index.html