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You are welcome to attend the following meeting in the area of quantitative
and computational finance and risk management in the MRC Auditorium on the Georgia Tech campus from 1 pm to 6 pm on Friday, March 30th. There will be five speakers that will give presentations on a variety of topics. Dr. Curt Hunter, Research Director, Federal Reserve Bank of Chicago Dr. Mary Mathewes Kassis, Associate Director, Georgia State University Economic Forecasting Center Dr. Alan White, Professor of Finance, University of Toronto, and Mr. Pete van Amson, CFA, CPA, Vice President, Product Management, SunGard Trading and Risk Systems Dr. Dennis Wong, Vice President, Quantitative Finance, Bank of America Securities There is no charge for the event. This will be the inaugural meeting of the Atlanta Chapter of the Global Association of Risk Professionals (GARP). You need not be a member of GARP to attend the meeting. Information about GARP can be found at http://www.garp.com. We are asking that attendees RSVP so that plans can be made for refreshments. We only ask that you reply to this email or to atlanta@garp.com before March 21 if you plan to attend. In addition to a break half-way through the afternoon, there will be refreshments immediately following the presentations. This event is sponsored by the Master of Science in Quantitative and Computational Finance program at Georgia Tech, SunGard Trading and Risk Systems, and SunTrust Banks, Inc. Please pass along this announcement to your associates. _______________________________________________________________________ Information about the talks and the speakers Dr. Curt Hunter Research Director, Federal Reserve Bank of Chicago Dr. Hunter's discussion is entitled "Lessons Learned from Recent Global Financial Crises." Since 1990, major banking and currency crises have occurred in many countries around the world - including Mexico and Latin America in 1994, East Asia in 1997-98, and Russia and Brazil in 1998, among others - with large costs both to the individual countries experiencing the crises and to other nations. As a result, considerable effort has been expended by economists and policymakers to identify the causes of these crises and to design programs with the aim of preventing, if possible, similar crises from occurring in the future, and minimizing the costs when they do occur. This talk reviews the key lessons policymakers have learned from these recent episodes and highlights the role that risk management plays in crisis prevention. Dr. William C. (Curt) Hunter is senior vice president and director of research at the Federal Reserve Bank of Chicago. He is a member of the Bank's Management Committee and serves as the Bank's chief economist. He is responsible for a staff of 115 professionals and oversees the Bank's research activities in the areas of monetary policy, banking and financial markets, and regional economics programs. He is also responsible for the Bank's Statistical and Financial Reports function. Dr. Hunter is an associate economist on the Federal Open Market Committee, the Federal Reserve System's primary monetary policy group. Previously, he was a vice president at the Federal Reserve Bank of Atlanta and has served on the faculties of the University of Georgia, Emory University, Chicago State University, and Northwestern University. He has consulted with numerous foreign central banks, official agencies, and private corporations and serves on the boards of several research and nonprofit organizations. He is co-editor of Research in Banking and Finance and serves on the editorial boards of several academic journals. Dr. Hunter earned a B.S. degree in 1970 from Hampton Institute (now Hampton University), an MBA in Finance in 1972 and a Ph.D. in Finance and Environment in 1978 from Northwestern University. Dr. Mary Mathewes Kassis Associate Director, Georgia State University Economic Forecasting Center Dr. Kassis will provide her outlook for the Georgia and Atlanta economies over the next two years. She will focus on economic risks specific to Atlanta, including its exposure to the contraction of the IT sector, potential over development of office space, and a declining rate of job growth. Regardless of your field, this should be a very informative discussion. Dr. Kassis has been analyzing the Southeast economy for over five years. She writes a quarterly report that examines the current economic conditions in 13 Southeastern states as well as an outlook for the next couple of years. She also prepares an in-depth quarterly analysis of the outlook for the Georgia and Atlanta economies. She is regularly quoted in publications such as the Wall Street Journal, the Atlanta Journal- Constitution, and the Atlanta Business Chronicle. Dr. Kassis received a B.A. in Economics and Political Science from Agnes Scott College and a Ph.D. in Economics from Georgia State University. Dr. Alan White Professor of Finance, University of Toronto Mr. Pete van Amson, CFA, CPA Vice President, Product Management, SunGard Trading and Risk Systems Dr. Alan White and Mr. Peter van Amson will discuss applied term structure modeling. SunGard has implemented a version of the Hull-White term structure model that banks use in measuring and managing the market value sensitivity of various balance sheet components. Peter will touch on some of the complexities involved in modeling non-maturity deposits; with regard to the term structure of interest rates, Alan will discuss some of the problems and possible solutions in bridging the divide between what is required from a theoretical standpoint and what is feasible in a production process. Dr. Alan White is a Professor of Finance in the Joseph L. Rotman School of Management at the University of Toronto. His research is principally in the area of derivative securities, their pricing and their use by financial institutions for risk management. He is most noted for his work on modeling the term structure of interest rates in a way that is consistent with observed market data. Recently his research has been focused on the pricing and management of credit risk. Professor White has published many scholarly articles, but is perhaps best recognized for providing lucid insights into the practical application and implementation of this research. Much of his material is included in the best-selling book Hull-White on Derivatives, co-authored with John Hull. Mr. Peter van Amson is the Vice President of Product Management at SunGard Trading and Risk Systems where he is responsible for the development of all functional specifications for the BancWare product suite. In this capacity, he frequently interacts with SunGard user-committees, leading academics, and other leading industry practitioners. He frequently makes presentations at conferences and seminars sponsored by BAI, AMIfs, the OCC, as well as other organizations. Prior to working with BancWare, Peter headed the Strategic Planning Function for the Plymouth Rock Company, one of America's most profitable insurance holding companies. In this role, he helped define the company's strategic vision as well as being involved in investment analysis, asset/ liability management and quantitative profitability aanalysis. Peter has a B.S. and M.S. in Accounting from the State University of New York at Binghamton. He is currently a Ph.D. candidate at the University of Michigan. Peter has received numerous academic awards and honors including the William Andrew Paton Fellowship at the University of Michigan and the New York State Society of Certified Public Accountants Award for Academic Excellence. Dr. Dennis Wong Vice President, Quantitative Finance, Bank of America Securities Dr. Wong will discuss competing vendor approaches to credit risk modeling, including CreditMetrics, KMV, CreditRisk+ and CreditPortfolio View. These models are viewed in a theoretical framework that identifies migration probabilities, credit exposure and loss aggregation. Dr. Wong has a Ph.D. in Mathematical Finance from Carnegie Mellon University. He has given talks and seminars for the American Mathematical Society, the Society for Industrial and Applied Mathematics, the University of Toronto, and Georgia Tech. He is the author of "Generalized Optimal Stopping and Financial Markets", published in Pitman Research Notes in Mathematics Series.
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