Please Note: our program will go on as planned despite the weather.

PRMIA New York Chapter is pleased to present

 a joint event with the Society of Quantitative Analysts

Examining Model Risk in Fixed Income Assets

Keynote Speakers:

Andrew Kalotay

Exposing MBS Model Risk: Look OUTSIDE the Black Box

This presentation will help risk managers to understand theoretical underpinnings and limitations of MBS models. But more importantly, it talks about consistency of model selection across various asset classes. Demand transparency and hands-on control over parameters and assumptions. Make an informed choice!

Marty Fridson

Modeling and Projecting High Yield Bond Returns

The total return on a portfolio of high yield bonds has many more moving parts than the total return on a single, default-risk free bond.  Models of the high yield return cannot fully capture the complexity and back-testing is problematic.  When using models to forecast returns, practitioners do not invariably base the required assumptions on rigorous empirical analysis of how the system has worked in the past.  The presentation will summarize progress up to the present on this challenging problem.

Agenda:

   5:30pm Registration

   6:00pm Program Commences

   7:45pm Networking and Refreshments

About PRMIA: 

The Professional Risk Managers’ International Association (PRMIA) is a higher standard for risk professionals, with more than 60 chapters around the world and over 60,000 members from more than 188 countries. A non-profit, member-led association, PRMIA is dedicated to defining and implementing the best practices of risk management through education, certification, events, networking, and online resources.

About SQA:

The Society of Quantitative Analysts (SQA) is a not-for-profit organization concerned with the application of new and innovative techniques in finance, with particular emphasis on the use of quantitative techniques in investment and risk management. The knowledge of such techniques benefits investment and risk managers, analysts, traders, and owners of funds such as pension sponsors and foundations in performing their functions and responding to the ever-quickening pace of change.

Members of SQA may register at a discounted rate at www.sqa-us.org.