Thalesians - Recent Changes [en]

Events/Seminars

2012-05-15T18:56:36Z

Introduction:

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	= Introduction =		= Introduction =

−	'''The Thalesians Quantitative Finance Seminars''' are a ~~bi-weekly~~ series of talks for dedicated finance professionals to learn about state-of-the-art quantitative finance methodology from seasoned speakers.	+	'''The Thalesians Quantitative Finance Seminars''' are a series of talks for dedicated finance professionals to learn about state-of-the-art quantitative finance methodology from seasoned speakers.

	We provide a unique opportunity for finance professionals to further their careers by sharing expertise and cross-pollinating new methodology and ideas in the wider context of the finance industry.		We provide a unique opportunity for finance professionals to further their careers by sharing expertise and cross-pollinating new methodology and ideas in the wider context of the finance industry.

−	Come along to our seminars in Canary Wharf (LDN) or Midtown Manhatten (NYC) and join us for a quantitative finance talk by a guest speaker, followed by ~~drinks and a game of pool~~.	+	Come along to our seminars in Canary Wharf (LDN), Midtown Manhatten (NYC) or downtown San Francisco (SF) and join us for a quantitative finance talk by a guest speaker followed by discussions.

	=== Videos ===		=== Videos ===

−	Videos of London talks are ~~now~~ available: both Flash streaming videos and downloadable in MP4 format for iPod/iTunes.	+	Videos of some of the London talks are available: both Flash streaming videos and downloadable in MP4 format for iPod/iTunes.

	=== Venues ===		=== Venues ===
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	Location: Baruch MFE Conference Room 6-215, Baruch College/CUNY <br />		Location: Baruch MFE Conference Room 6-215, Baruch College/CUNY <br />
	One Bernard Baruch Way (55 Lexington Avenue at 24th Street) <br />		One Bernard Baruch Way (55 Lexington Avenue at 24th Street) <br />
−	New York NY 10010 <br />	+	New York NY 10010 <br />
		+	or <br />
	lower level conference room 014/015 <br />		lower level conference room 014/015 <br />
	New York Public Library: Science Industry and Business Library <br />		New York Public Library: Science Industry and Business Library <br />
	188 Madison Avenue, New York, NY <br />		188 Madison Avenue, New York, NY <br />
		+
		+
		+	==== San Francisco, USA ====
		+
		+	Location: 5th floor, GGU<br />
		+	536 Mission Street <br />
		+	San Francisco, CA <br />

	=== Cost ===		=== Cost ===

−	We shall be respectively charging '''~~£10~~''' or '''$15''' at the door for UK or US events to cover the venue hire and other expenses.	+	We shall be respectively charging '''£15''' or '''$15''' at the door for UK or US events to cover the venue hire and other expenses.

	=== Registration ===		=== Registration ===

Events/Seminars/Seminar70

2012-05-15T18:47:51Z

Hosting:

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	=== Hosting ===		=== Hosting ===

−	~~The Thalesians are pleased to host this talk in conjunction with a GARP San Francisco Chapter meeting. GARP does not in anyway endorse or support the Thalesians.~~ The Thalesians gratefully acknowledge the support of the Golden Gate University Finance Club as a sponsor.	+	The Thalesians gratefully acknowledge the support of the Golden Gate University Finance Club as a sponsor.

	=== Date and Time ===		=== Date and Time ===

Events/Seminars/Seminar69

2012-05-15T18:46:53Z

Thalesian Seminar (New York) — Dr. Attilio Meucci — Liquidity, Funding and Market-Risk:

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−	== Thalesian Seminar (New York) — Dr. Attilio Meucci — Liquidity, Funding and Market-Risk ==	+	== Thalesian Seminar (New York) — Dr. Attilio Meucci — Liquidity-, Funding- and Market-Risk ==

	[[image:AttilioMeucci.jpg\|frame\|none\|left\|Attilio Meucci]]		[[image:AttilioMeucci.jpg\|frame\|none\|left\|Attilio Meucci]]

File:MatthewDixon.jpg

2012-05-15T18:43:17Z

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Main Page

2012-05-15T18:40:43Z

Forthcoming Events:

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	= Forthcoming Events =		= Forthcoming Events =
−		+	{{:Events/Seminars/Seminar69}}
		+	{{:Events/Seminars/Seminar70}}
	{{:Events/Seminars/Seminar68}}		{{:Events/Seminars/Seminar68}}
	{{:Events/Seminars/SeminarMurex}}		{{:Events/Seminars/SeminarMurex}}

File:JeremyEvnine.jpg

2012-05-15T18:39:27Z

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File:JeremyEvnine.jpg

2012-05-15T18:36:10Z

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Events/Seminars/Seminar70

2012-05-15T18:26:43Z

Meetup.com:

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	=== ''Meetup.com'' ===		=== ''Meetup.com'' ===

−	Members can register ~~free-of-charge~~ for this event on ''Meetup.com'': http://events.thalesians.com/events/61933512/	+	Members can register for this event on ''Meetup.com'': http://events.thalesians.com/events/61933512/

	=== Abstract ===		=== Abstract ===

People/Biographies/JeremyEvnine

2012-05-11T02:09:33Z

Created page with "Jeremy Evnine is currently CEO of Evnine & Associates, Inc., an Investment Advisory firm engaged in quantitative strategies since 1992. From 1991 to 2003, Jeremy was also a partn..."

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Jeremy Evnine is currently CEO of Evnine & Associates, Inc., an Investment Advisory firm engaged in quantitative strategies since 1992. From 1991 to 2003, Jeremy was also a partner in Iris Financial Engineering and Systems, a financial software firm specializing in providing high-end trading and risk systems to top-tier investment banks. He sold his interest in Iris in 2003.

From 1984-1990, Jeremy was SVP in charge of research at WFIA (now Barclays Global Investors). In this capacity, he worked with such people as Fischer Black and Myron Scholes, Bill Sharpe, and Michael Brennan and Eduardo Schwartz. From 1980-1984, Jeremy was a consultant at Barra, where he developed the firm’s option products.

Jeremy earned his B.Sc. in Mathematics at Manchester University in England, his M.Sc. in Pure Mathematics at the Hebrew University of Jerusalem, and his Ph.D. in Operations Research and Finance at U.C. Berkeley. He has taught courses in finance at U.C. Berkeley, published articles in the financial literature on option pricing and tactical asset allocation, and lectured in the United States and abroad.

Events/Seminars/Seminar70

2012-05-11T02:08:54Z

Created page with "== Thalesian Seminar (San Francisco) — Dr. Jeremy Evnine — The "Accidental Quant" == Jeremy Evnine === Hosting === The ..."

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== Thalesian Seminar (San Francisco) — Dr. Jeremy Evnine — The "Accidental Quant" ==

[[image:JeremyEvnine.jpg|frame|none|left|Jeremy Evnine]]

=== Hosting ===

The Thalesians are pleased to host this talk in conjunction with a GARP San Francisco Chapter meeting. GARP does not in anyway endorse or support the Thalesians. The Thalesians gratefully acknowledge the support of the Golden Gate University Finance Club as a sponsor.

=== Date and Time ===

7:00 p.m. on Wednesday, 30th May, 2012.

=== Venue ===

5310 GGU, 536 Mission St, San Francisco

=== ''Meetup.com'' ===

Members can register free-of-charge for this event on ''Meetup.com'': http://events.thalesians.com/events/61933512/

=== Abstract ===

I became a “quant” in September of 1980, purely by accident. This led me to a 30-year career in quantitative asset management, from the days when “high frequency” meant daily data and all screens were green, to the days when time is measured in milliseconds and many institutional investors are left wondering what to do in the wake of the worst financial crisis in three generations.

In this talk, I will reflect on some of the lessons I have learned in my career as a quant, and try to draw some useful conclusions from them. Some of these lessons are idiosyncratic to quantitative investing and risk management, while others are more general lessons about being in the asset management business…indeed, about being in business at all.

=== Speaker ===

{{:People/Biographies/JeremyEvnine}}

Events/Seminars

2012-05-11T02:03:56Z

Forthcoming Seminars:

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Events/Seminars/Seminar69

2012-05-11T02:01:57Z

Created page with "== Thalesian Seminar (New York) — Dr. Attilio Meucci — Liquidity, Funding and Market-Risk == Attilio Meucci === Date an..."

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== Thalesian Seminar (New York) — Dr. Attilio Meucci — Liquidity, Funding and Market-Risk ==

[[image:AttilioMeucci.jpg|frame|none|left|Attilio Meucci]]

=== Date and Time ===

6:00 p.m. on Thursday,17th May, 2012.

=== Venue ===

New York Public Library - Science, Industry, and Business, 188 Madison Ave, New York, NY. Please enter and leave the building at 188 Madison Avenue. Signs will direct you to the conference room on the lower level.

=== ''Meetup.com'' ===

Members can register for this event on ''Meetup.com'': http://events.thalesians.com/events/61929382/

=== Abstract ===

We introduce a new framework to compute and stress-test liquidity risk, funding risk and market risk in fully general multi-asset class portfolios. Our approach, which goes beyond the simple bid-ask spread overlay to a VaR number, relies on three pillars: first, the Fully Flexible Probabilities approach, to model and stress-test market risk even in highly non-normal markets with complex derivatives; second, the literature on optimal execution, to model liquidity risk as a function of the actual trading involved; third, an analytical conditional convolution, to model funding risk, whereby different trading decisions are made in different market scenarios. As a side product of our approach we introduce a definition of liquidity score, a monetary measure of portfolio liquidity based on the additional tail risk added by lack of liquidity.

=== Speaker ===

{{:People/Biographies/AttilioMeucci}}

=== Slides ===

''To be published here''

=== Disclaimer ===

This is not an instructional program of the New York Public Library.

People/Biographies/AttilioMeucci

2012-05-11T02:00:36Z

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−	~~'''~~Attilio Meucci~~''' leads the research effort of ALPHA, the portfolio analytics and~~ risk ~~platform at Bloomberg~~. ~~Concurrently he is adjunct professor at~~ the ~~Master's in Financial Engineering~~ - ~~Baruch College~~ - ~~CUNY. Previously~~, ~~Attilio was a researcher at Lehman Brothers, a trader at~~ the ~~hedge fund Relative Value International~~, and ~~a consultant at Bain & Co~~.	+	Attilio Meucci is a pioneer in advanced risk and portfolio management. His innovations include Entropy Pooling (technique for fully flexible portfolio construction), Factors on Demand (on-the-fly factor model for optimal hedging), Effective Number of Bets (entropy-eigenvalue statistic for diversification management), Fully Flexible Probabilities (technique for on-the-fly stress-test and estimation without re-pricing), Copula-Marginal Algorithm (algorithm to generate panic copulas), and Liquidity Conditional Convolution (technique to generate liquidity- and funding-risk adjusted portfolio distribution).

−	Attilio is the ~~author of~~ Risk and ~~Asset Allocation - Springer and several other publications in practitioners and academic journals~~. He teaches ~~graduate courses on quantitative risk~~- and portfolio~~-management worldwide~~ and ~~he is frequently invited as~~ a ~~speaker to conferences~~, ~~financial institutions~~ and ~~universities~~.	+	Attilio Meucci is the Chief Risk Officer and Director of Portfolio Construction at Kepos Capital LP. He is the founder of SYMMYS, under whose umbrella he designed and teaches the six-day ARPM Bootcamp, and manages the charity One More Reason. Previously, Attilio was the head of research at ALPHA, Bloomberg LP's portfolio analytics and risk platform; a researcher at POINT, Lehman Brothers' portfolio analytics and risk platform; a trader at the hedge fund Relative Value International; and a consultant at Bain & Co, a strategic consulting firm.

−	Attilio ~~Meucci~~ holds a BA summa cum laude in Physics from the University of Milan, a MA in Economics from Bocconi University, a PhD in Mathematics from the University of Milan and he is CFA ~~chartholder. Attilio is fluent in six languages and loves physical activity in the outdoors~~.	+	Concurrently, he taught at Columbia-IEOR, NYU-Courant, Baruch College-CUNY, and Bocconi University. Attilio is the author of Risk and Asset Allocation - Springer and numerous other publications in practitioner and academic journals. He holds a BA summa cum laude in Physics from the University of Milan, an MA in Economics from Bocconi University, a PhD in Mathematics from the University of Milan and is a CFA charterholder.

Events/Seminars

2012-05-11T01:54:36Z

Forthcoming Seminars:

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	= Forthcoming Seminars =		= Forthcoming Seminars =

		+	{{:Events/Seminars/Seminar69}}
		+	{{:Events/Seminars/Seminar68}}

		+	= Past Seminars =
		+	{{:Events/Seminars/Seminar67}}
	{{:Events/Seminars/Seminar66}}		{{:Events/Seminars/Seminar66}}
	{{:Events/Seminars/Seminar65}}		{{:Events/Seminars/Seminar65}}
−
−	~~= Past Seminars =~~
	{{:Events/Seminars/Seminar58}}		{{:Events/Seminars/Seminar58}}
	{{:Events/Seminars/Seminar52}}		{{:Events/Seminars/Seminar52}}