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Enron Mail |
MSCF SPEAKER SERIES
Dear Mr. Kaminsky, I have included the web page of the list of confirmed speakers, most of them are people I worked with as a fixed income bond options trader.?Having you as a speaker would?give a chance to the MSCF students to gain insight in an area (commodities) and in a field (research)?in which many are?interested. OFFICIAL INVITATION ? ? ? THE FIRST EVENT IS NEXT FRIDAY! ? First Event: August 11, 2000 10:30 to 12:30 a.m. Fast Lab David Hartney & Jerry Hanweck Vice President, Futures and Option Sales & Head of North American Futures and Options Research;? J. P. Morgan n.b. There will be free caps and a copy of the treasury Bond basis. Priority will be given to MSCF students. ? ?? Price and Hedging Volatility Contracts September 1, 2000 Dmitry Pugachevsky Deutsche Bank Dmitry Pugachesky is a Director with OTC Derivatives Research of Deutsche Bank, where his research is primarily focussed on credit derivatives. Prior to joining Deutsche Bank, Dmitry worked for six years with Global Analytics Group of Bankers Trust. There he developed models for emerging markets, interest rates, and equity derivatives and also participated in actual trading and structuring of interest rate options. He received his PhD in applied mathematics from Carnegie Mellon University specializing in control theory for stochastic processes. He has published several papers on modelling in emerging markets and on valuation for passport options. A Measurement Framework for Bank Liquidity Risk September 15, 2000 Raymond Cote Vice President, FinRad Inc. NBC Raymond Cote is Vice President, Financial Engineering at FinRad Inc., a Montreal-based consulting firm offering financial management solutions that combine advisory and systems development services to &corporations and financial institutions. Abstract: Liquidity risk, as opposed to credit and market risks, has received little attention in professional or academic journals. We argue that analyzing bank liquidity risk can be viewed as a variation of credit risk analysis. After introducing some concepts and definitions, the presentation defines a framework allowing to measure a bank's structural liquidity risk. It then shows that combining the framework with modern credit risk measurement tools leads to a liquidity risk VAR measure. The presentation then offers concluding comments on the integration of the liquidity risk measurement framework within enterprise-wide risk management. Swaps, Spreads and Bonds September 29, 2000 Chris Leonard Senior Trader Fixed Income Arbitrage? October 27, 2000 Chuck McHugh Vice President, NBC-New York Fund Management and Market efficiency November 10, 2000 Andrea Lee Portfolio Manager, Freiss Associates Pierre-Philippe Ste-Marie -------------------------------------- http://pstemarie.homestead.com
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