Fully Flexible Views, Stress-testing and Scenario Analysis: Theory and Practice with Attilio Meucci
A Joint Finance and Networking Event with Alumni from the Courant Institute (NYU) and MIT, May 5, 2010
The NYU Kimmel Center, Room 914
60 Washington Square South, New York
New York, NY 10012
Please join us for this joint Courant/MIT networking event with the presentation Fully Flexible Views, Stress-testing and Scenario Analysis: Theory and Practice by Attilio Meucci, Bloomberg. Refreshments will be served.
Abstract: A unified methodology to input non-linear views from any number of users in fully general non-normal markets is presented. This methodology, named "entropy-pooling" performs, among others, ranking allocation, stress-testing, and generalized scenario analysis. We will discuss an algorithm to implement entropy-pooling and we will show how this methodology can be applied to books with complex derivatives in fat-tailed markets.
Time: 6:00 to 8:30PM - doors open at 6PM, talk begins at 7PM.
Registration: Registration is needed for the event. Click on "Registration" on the left side menu to register. (Fee: $15 for Alumni/Fellow/Student of the Mathematics in Finance MS program, Courant Institute; and $30 Other)
Requirements: Must present valid photo ID at entrance. Please tell security you are attending the "MIT / Courant Finance Event"