Announcements and recognitions of faculty from Financial Mathematics and participating departments, by Alec Kercheval

Craig Nolder, Department of Mathematics introducing Benoit Montin, Quantitative Analyst, Global Credit Derivatives, Barclays Capital

Erdell Maurice, Department of Mathematics introducing Frank Zhang, VP and Head of the Structured Derivatives Strategies and Innovations Dept, ING

Milton Marquis, Department of Economics introducing Gina Martin , Financial Economist, Wachovia

Paul Beaumont, Department of Economics introducing Larry Abele, Founding Partner, Auriel Capital Management LLP, London

Portfolio Construction ― Strategies for Risk Budgeting

Larry Abele, Founding Partner, Auriel Capital Management LLP, London

Risk budgeting has gained wide popularity amongst practitioners. We will compare risk budgeting to traditional portfolio construction to highlight any additional insights gained by the risk budgeting approach. We will examine the fundamental law of active management, the importance of optimal portfolio construction, and lastly the implied skill needed to succeed in various strategies.

Saturday, 17 February 2006

   9:00 a.m., 204 & 204B Love Building

Coffee, juice, bagels

Credit Correlation Trading

Benoit Montin, Quantitative Analyst, Global Credit Derivatives, Barclays Capital

The credit default swap (CDS) market is large and fast-growing. Trading volumes by far exceed those of the cash market. The rise of the ITRAXX and CDX, which are standardized and liquid CDS indices, has boosted trades of synthetic collateralized debt obligations (CDO) and given birth to credit correlation trading. Frequent correlation trading strategies involve hedging the delta credit risk of a CDO tranche with the underlying CDS index or trading the mezzanine against the equity tranche. To explain such strategies, we will provide some insight on CDO modeling and will explain how to bootstrap the so-called base correlation curve from tranche prices. Bespoke CDO and ABX tranches will also be tackled in this framework.

Break

Financial Engineering (and Actuarial Science) in the Insurance Industry

Frank Zhang, VP and Head of the Structured Derivatives Strategies and Innovations Dept, ING

Recent explosive growth of derivative guarantees offered on life insurance contracts poses challenges and opportunities to the industry. We will show examples of some of these new exciting developments and integrated actuarial, derivatives, and computational skills required to be successful in this cutting edge area.

Break

U.S. Economic Outlook ― Hard Landing, Soft Landing, or No Landing

Gina Martin, Financial Economist, Wachovia

What is ahead for the U.S. economy in 2007? Housing markets and the auto industry appear to be in the midst of a hard landing, depressing overall economic growth. Meanwhile, consumers have held up their end of spending, while government spending is ramping up and nonresidential construction is kicking into high gear, supporting the soft landing case. Will consumers slump now that the holiday shopping frenzy is past, and will businesses respond with spending cuts, or will steady employment growth help keep consumption afloat? The bond market indicates growth will continue to disappoint, while the stock market is signaling just the opposite. What will the Fed make of all of this conflicting information regarding growth, in addition to considering the outlook for inflation?

Jobs!

Information for students about jobs in the sector.

Q/A Panel with Abele, Montin, Zhang, Martin, and Dmitri Pisarev (FSBA).

FSU faculty members from six departments in three colleges developed this program and guide the students. A group of FSU graduates and others who work in the financial industry also advise the program which is resident in the Department of Mathematics of the College of Arts and Sciences. Graduate study in Financial Mathematics and a listing of participating faculty is described in the Guide to Financial Mathematics at Florida State University

There is a faculty Steering Committee from the participating departments and a graduate advisor from each of the departments who works with the program students and facilitates scheduling.

Financial Sector Advisors are Larry Abele (Auriel Capital), Greg Anderson (Merrill Lynch), David Barge (Florida Power and Light), Raffael Clerici (H.B.Fuller), Lisa Goldberg (MSCI Barra, Inc.), Benoit Montin (Barclays Capital), Steven Perfect (Florida Power and Light), Edward Qian (PanAgora Asset Management), Ray Song (Branch Banking and Trust), David Villa (State of Wisconsin Investment Board), Dan Waggoner (Federal Reserve Bank, Atlanta), Jay Webb (UBS), and Anjun Zhou (State Street Global Advisors).

The Graduate Advisors and the students appreciate the planning cooperation from faculty and staff, and financial support to make this event possible from the Department of Mathematics and Dean Joseph Travis of the College of Arts and Sciences.