Oct. 28, 2009
A State Variable Model of Changes in Equity Security Risk with Dan diBartolomeo
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 to hear the President of the firm that first uncovered the Madoff Ponzi scheme give his analysis of risk management as well as to socialize with MIT and Courant finance professionals.
Refreshments will be served.
Presentation: A State Variable Model of Changes in Equity Security Risk
Speaker: Dr. Dan diBartolomeo, Northfield Information Services
With the proliferation of algorithmic trading, derivative usage and highly leveraged hedge funds, the investment community has increasing need for risk models focused on much shorter time horizons, often shorter than a single day. This presentation provides a Bayesian analytical framework for combining external information sources with traditional longer horizon risk models in order to get a coherent measure of risk across the entire horizon spectrum from intra-day to one year. These new information sources include implied volatility from stock options, the cross-sectional dispersion of security returns, rescaled-range volatility estimators, and sentiment descriptors derived from the frequency and content of text news reports. Adjustments are also introduced for the different levels of serial correlation and kurtosis in high frequency return distributions.
Time: 6:00 to 8:30PM - doors open at 6PM, talk begins at 7PM.
Registration: Registration is needed for the event. Space is limited and available on a first-come first-served basis.
Requirements: Must present valid photo ID at entrance. Please tell security you are attending the "MIT / Courant Finance Event"
Presentation download: The presentation can be downloaded here