Understanding Tail Risk

Understanding Tail Risk

PRMIA Boston presents Understanding Tail Risk: Extreme Value Theory and Alternative Approaches.

Please register today and reserve your seat for this free event. Light refreshments will be served during the break.

 

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Agenda

Speakers


Date:
October 17, 2019


Time:
Registration: 4:30 - 5:00 p.m.
Presentations: 5:00 p.m. - 8:00 p.m.

 
Location:
Suffolk University
120 Tremont St
First Floor Conference Room
Boston, MA 

 


Financial markets around the world are subject to rare but extreme events which are described as being in the “tail” of the outcome distribution. In recent decades we have experienced equity market crashes (1987, flash crash 2010) and the collapse numerous sovereign currencies (e.g. Mexico 1985, Russia, 1998, Zimbabwe 2008).  In fixed income assets, we’ve lived through the Global Financial Crisis of 2007-2009.  In addition, geopolitical events such as wars, revolutions, and social unrest are increasing the likelihood of sovereign defaults by many nations (e.g. Venezuela, Yemen).   Finally, climate change is increasing the frequency and severity of weather-related casualty losses.   In this program our expert speakers will address both the conceptual aspects of the risk of rare, but extreme financial market events and practical approaches for estimating the associated economic losses.   Special attention will be given to financial instruments tied to extreme outcomes such as “catastrophe bonds” and to the use of Extreme Value Theory as a method of estimation.


Agenda  
  Time   Event  
         
  5:00 p.m.
Welcome Remarks

Sohayla Fitzpatrick, PRMIA Regional Director, Boston Chapter
Abu Jalal, Chair, Finance Department, Director MSF Program and Associate Professor of Finance, Sawyer Business School, Suffolk. 
 
  
         
  5:05 p.m.               
   Understanding Market Meltdowns:  The Crash of October 1987 and Beyond

Professor Robert Glauber, Harvard University 
Robert Glauber is a former Undersecretary of the Treasury and Chairman of NASDAQ.   He was appointed by President Reagan to head the Federal Investigation (known as the Brady Commission Report) into the October 1987 equity market crash, a single day decline of over 20% in the global equity market.
  
         
  5:40 p.m

Assessing Asset Tail Risk with Artificial Intelligence: The Application of Artificial Neural Network

Associate Professor Lin Guo, Suffolk University
Lin Guo is a prominent member of faculty of the Sawyer School of Business at Suffolk University with a research concentration in financial institutions and international financial markets.   This paper is joint work with Ying Becker (Brandeis) and Odilbek Nurmamatov (Northfield).

  
     
 
  6:15 p.m.   Refreshment Break  
         
  6:30 p.m.    Tail Exponents and Moment Failure in Intraday Data

Professor Blake LeBaron, Brandeis University
Blake LeBaron is the Sachar Chair of International Economics at Brandeis University.  Among his many accomplishments are serving as the Director of Economics at the Santa Fe Institute and a two-year appointment to the Office of Financial Research of the US Treasury Department.

  
         
  7:05 p.m.    A Practitioner’s DIY Guide to Extreme Value Theory and Other Approaches to Tail Risk

Dan diBartolomeo, Northfield and PRMIA Regional Director, Boston Chapter. 
Dan diBartolomeo is president and founder of Northfield Information Services.   He is currently the editor of the Journal of Asset Management and serves on the board of numerous professional societies related to finance and economics.
 
  
         
  7:40 p.m.   Closing Remarks

Sohayla Fitzpatrick, PRMIA Regional Director, Boston Chapter

 


Registration

This event is FREE for members and non-members, although registration is required.  Click "Register Myself" below to reserve your spot. Make sure to click "Continue" to proceed with your registration. (If this is your first time accessing the PRMIA website you will need to create a short user profile to register.) Support chapter events like this by becoming a member. 

 
When
10/17/2019 4:30 PM - 8:00 PM
Eastern Daylight Time
Where
Suffolk University's Finance Department 120 Tremont St Boston, MA 02108 UNITED STATES

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