Date: Wednesday, 17 June 2009

What lessons about risk management can be learned from the recent market meltdown? The Achilles heel of quantitative risk management is the occurrence of sudden correlation shifts between asset classes. A number of such shifts that occurred during the recent market meltdown will be examined in detail.

These sudden correlation shifts, and the likelihood that sudden correlation shifts will happen again, raise two questions: a) Why were our current quantitative methods unable to see these shifts coming?, b) Can we develop better analytical methods to make us better able to see in the future what we could not see in the recent past? In the course of the presentation, we will answer these questions. The presentation will conclude with some practical advice about how risk managers can supplement their current toolkit so as to as to better manage risk, and even prosper, in volatile environments.

Who should attend: All members of the Taiwanese business community who are interested in volatility and risk management.

Takeaways:

• What your professor didn’t tell you about risk management.
• How to manage risk and even prosper in volatile environments.

About the Speaker(s)

Dr. Kenneth Mischel is President and Chief Executive Officer of Nevo Capital, LP, a privately-held firm using proprietary methods to detect short-term epidemics of bullishness and bearishness in their incipient stages and an in-house high-frequency algorithmic trading technology to make educated directional bets on the general market based on these early detections. He is also Associate Professor of Finance at the Zicklin School of Business, Baruch College, CUNY. Dr. Mischel received his B.A. in Philosophy from the University of Pennsylvania, cum laude, in 1984 and his Ph.D. in Finance, with distinction, from Columbia University in 1990. He has taught in Doctoral, Master’s and Undergraduate Finance degree programs throughout the world, specializing in training business executives. Among the course modules he has created are: behavioral finance, financial system risk and credit derivatives. He has spent two decades studying financial markets as a complex, interactive system.