philip.platt
New member
- Dec 11, 2008
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This event next Monday looks interesting:
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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
——————————————————————-
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