Symposium on Finance in a Time of Turbulence

It is remarkable how quickly climate change can occur--the climate in the financial markets, specifically. In the last six months the credit spread between high yield bonds and 10 year Treasuries has doubled, from 260 b.p. in early June to 524 b.p. on November 19. A similar change has taken place in the equities markets, where the VIX index of volatility on the Standard and Poor's 500 implied from options prices is currently around 25%, having closed below 10% as recently as January 2007. The extreme ramp up of the level of financial risk, both perceived and realized, is having major effects throughout the financial markets. And one of the unfortunate aspects of it is that the major precipitating factors are coming from derivatives: CDOs and related derivatives based on sub-prime mortgage loans.

As the next in our series of Symposia on topics of current importance, the NASDAQ Derivatives Research Project is pleased to present a panel discussion on "Finance in a Time of Turbulence." Our three speakers will share their extensive experience and knowledge in this area to describe how different segments of the financial markets are responding to the current high-volatility environment.

Friday, November 30, 2007

New York University
Stern School of Business
Kaufman Management Center
Room 2-60
44 West Fourth Street
New York, NY 10012

Direction to Stern:

For directions and maps, click here

Admission is free, but please RSVP to the Salomon Center (, 212-998-0700)


Video Proceedings
  • "Risk Management During Market Stress," Barry Schachter, Moore Capital Management
  • "Deadly Frictions in Sub-Prime Mortgage Securitizations," Til Schuermann, Federal Reserve Bank of NY
  • "Arbitrage opportunities across today's markets: Don't blink or you'll miss 'em...," Steven Jones, BNP Paribas