NASDAQ OMX DRP Symposium
The NASDAQ OMX Derivatives Research Project
The Volatility Institute
Sponsored by Deutsche Bank
The Volatility Institute
Sponsored by Deutsche Bank
DERIVATIVES AND PROPRIETARY TRADING IN THE NEW REGULATORY REGIME
In "The Great Moderation" of 2005-06, it seemed as if financial risk had nearly disappeared. But the Financial Crisis of 2008 demonstrated that, actually, reports of the death of financial risk were greatly exaggerated. Indeed, the systemic problems the crisis revealed have given rise to the recent Dodd-Frank Act that makes major changes in the regulations governing the financial system. The new law is in place, but much of the rulemaking to turn its broad themes into specific regulations has yet to be written. This makes it a good time to gather a group of experts from different parts of the financial world to share their perspectives on how the new regulatory regime will affect their firms and the financial markets in general, and to discuss what they expect to come out of the rulemaking process.
Friday, October 15, 2010
New York University
Stern School of Business
Kaufman Management Center
44 West Fourth Street
New York, NY 10012
For directions and maps, click here
Admission is free, but please RSVP to the Salomon Center at email@example.com
|2:30||Welcome and Introduction
Stephen Figlewski, Director, NASDAQ OMX Derivatives Project, NYU Stern School (video)
|2:35||Panel I: Setting the Stage for Regulatory Reform
Chair: Stephen Figlewski, Professor of Finance, NYU Stern
James Overdahl, NERA. Former Chief Economist at SEC and at CFTC (video)
Robert Engle, Professor of Finance, NYU Stern School, and 2003 Nobel Laureate (video)
David Mengle, Head of Research, International Swaps and Derivatives Association (video)
|4:00||Panel II: The Devil is in the Details
Chair: Charles Murphy, Clinical Professor of Finance, NYU Stern (video)
Peter Axilrod, Managing Director, Depository Trust and Clearing Corporation (video)
Dan Rodriguez, Chief Risk Officer for the Americas Equities Division and Global Arbitrage Trading, Credit-Suisse (video)
Tanya Styblo Beder, Chairman, SBCC Group (video)
About the Speakers:
Peter Axilrod is currently the Managing Director/Business Development for DTCC, the world's largest securities clearance and settlement infrastructure organization. Peter joined DTCC in October 2000 from Fidelity Investments where he was the senior risk manager for Fidelity's clearing, brokerage and capital markets businesses, reporting directly to Fidelity's Vice Chairman responsible for these businesses.
Tanya Styblo Beder is Chairman of SBCC Group. With over 25 years of experience in the global capital markets, Ms. Beder founded and served as President of SBCC from 1987 to 1994, returning as Chairman in 2006. During the interim, Ms. Beder held two senior positions in the asset management industry. She was CEO of Tribeca Global Management LLC, a $3 billion dollar multi-strategy fund with offices in New York, London and Singapore and Managing Director of Caxton Associates LLC, a $10 billion asset management firm in New York. At SBCC, Ms. Beder heads the global strategy, risk, derivatives, and asset management practices. Clients include banks, asset management companies, broker dealers, family offices, pension funds, mutual funds, hedge funds, insurance companies and corporations from around the world. She especially works with Senior Management and Boards of Directors in assessing their firm’s position in the current financial landscape. <<continuation>>
Robert Engle is an expert in time series analysis with a long-standing interest in the analysis of financial markets. His ARCH model and its generalizations have become indispensable tools not only for researchers, but also for analysts of financial markets, who use them in asset pricing and in evaluating portfolio risk. His research has also produced such innovative statistical methods as cointegration, common features, autoregressive conditional duration (ACD), CAViaR and now dynamic conditional correlation (DCC) models.
Recipient of the 2003 Nobel Prize in Economics, Professor Engle is the Director of the newly created NYU Stern Volatility Institute and is the Co-Founding President of the Society for Financial Econometrics (SoFiE), a global non-profit organization housed at NYU. Before joining NYU Stern in 2000, Professor Engle was Chancellor's Associates Professor and Economics Department Chair at the University of California, San Diego, and Associate Professor of Economics at the Massachusetts Institute of Technology.
He received his bachelor of science in physics from Williams College and his master of science in physics and doctor of philosophy in economics from Cornell University. Born in Syracuse, NY, he grew up in Media, Pennsylvania, spent 25 years in San Diego, and now lives in New York.
Stephen Figlewski is a Professor of Finance at the New York University Leonard N. Stern School of Business, where he has been since 1976. He holds a B.A. in Economics from Princeton University and a Ph.D in Economics from the Massachusetts Institute of Technology. He has published extensively in academic journals, especially in the area of financial futures and options. He is the founding Editor of The Journal of Derivatives and he also edits the Financial Economics Network's two "Derivatives" series published over the Internet. He is the director of the NASDAQ OMX Derivatives Research Project, which is a research initiative at the Stern School that supports applied and theoretical research on derivatives and promotes intellectual interchange between academics and practitioners in derivatives, risk management, and financial engineering.
Professor Figlewski has also worked on Wall Street. Recently he took a leave of absence to work on margin setting for credit-sensitive securities at Citigroup. Previously, he spent a year at the First Boston Corporation, in charge of research on equity derivative products, and was at one time a member of the New York Futures Exchange and a Competitive Options Trader at the New York Stock Exchange.
David Mengle is Head of Research at the International Swaps and Derivatives Association, Inc. where he is responsible for providing research and analytical support for various ISDA committees and initiatives. He works on aspects of ISDA’s risk management activities, provides technical assistance on issues surrounding the Basel capital accord. He also oversees ISDA’s market survey works to produce surveys in other areas. Over the past several years, Mr. Mengle assisted ISDA by conducting derivatives operations and documentation seminars.
Mr. Mengle received an AB from The Citadel and a Ph.D. in Economics from the University of California, Los Angeles, and is an Associate Professor of Economics and Finance on the adjunct faculty of Fordam University. He was most recently with the consulting firm Rutter Associates. Previously for almost ten years, he was a Vice President at J.P. Morgan and worked on a number of policy and capital related issues. Prior to that, he was a Research Economist at the Federal Reserve Bank of Richmond.
Charles J. Murphy joined New York University Stern School of Business as an Adjunct Professor of Finance and became a Clinical Professor of Finance in September 2009.
Professor Murphy recently retired as a senior advisor of Credit Suisse, where his responsibilities included working with client coverage officers to help strengthen and institutionalize their CEO and Board relationships. He also coordinated and integrated the Global Market Solution Group’s structured products across the investment banking client base and served as an active member of the Chairman’s Committee and the Investment Banking Committee.
Professor Murphy began his First Boston career as an equity security analyst in 1976, became head of CSFB’s global equity business and served as a member of its Executive Board. He managed the Global Investment Banking department for several years, having held both coverage and management positions in the Capital Markets, Corporate Finance and Regulated Industry groups.
Professor Murphy rejoined Credit Suisse in 2003, having held senior investment banking and advisor positions at Allegheny Energy, Merrill Lynch and J.P. Morgan specifically in the energy, power and energy technology areas.
Prior to joining First Boston, Professor Murphy held positions in both electrical engineering and rate design at American Electric Power and in Avionics Engineering at Sikorsky Aircraft.
Professor Murphy has been a Chartered Financial Analyst since 1979 and was a member of the Board of Trustees of Manhattan College and the Executive Committee of the Boston College Wall Street Council. He is a former director of FuelCell Energy.
Professor Murphy earned his B.S.(1969) from Manhattan College in Electrical Engineering, his M.B.A (1974)in Finance and his postgraduate degree in Accounting from New York University.
Jim Overdahl is a Vice President in NERA's Securities and Finance Practice. Prior to joining NERA, he served as Chief Economist and Director of the Office of Economic Analysis for the US Securities and Exchange Commission (SEC). He served as principal economic advisor on policy, rulemaking, and litigation support and supervised the SEC's economics program. From 2002 to 2007, he served as Chief Economist and Director of the Office of the Chief Economist for the US Commodity Futures Trading Commission (CFTC).
Dan Rodriguez is Chief Risk Officer for the Americas Equities Division and Global Arbitrage Trading, Credit-Suisse. He is responsible for managing risks of a global, cross-asset class trading portfolio to include: global macro strategies, statistical arbitrage, convertible arbitrage, volatility arbitrage, risk arbitrage, long/short equity, interest rate relative value trading, credit relative value trading, and private equity investments. Mr. Rodriguez develops and monitors liquidity risk metrics for each of our portfolios to include dynamic wind down costs that are sensitive to market conditions and establish portfolio limits as a function of liquidity risk profiles and deep downside loss estimates.
Mr. Rodriguez is an Adjunct Professor at Zicklin School of Business, Baruch College where he teaches graduate level macroeconomics for the Masters of Science in Financial Engineering program and the Executive Masters and Business Administration program. He is also an Adjunct Professor at Columbia Business School Executive Education Programs where he teaches professional mid-level executives in the financial services industry about the latest methodology relevant to effective risk management.
Mr. Rodriguez received his B.S. (1987) in Economics from United States Military Academy and his Ph.D. (1998) in Economics from Massachusetts Institute of Technology.