MSCF SPEAKER SERIES
OFFICIAL  INVITATION
?
?
IT IS WITH GREAT PRIDE THAT I ANNOUNCE THE  NEXT EVENT IN THE SPEAKER SERIES. 
NEXT FRIDAY WE WILL HAVE THE HONOR TO HOST A  CONFERENCE GIVEN BY MR. VINCE 
KAMINSKI?MANAGING DIRECTOR RESEARCH AT  ENRON CORP.
?





The Next Event in the  
Student Speaker Series is: 

Friday, November 3, 2000

11:30 a.m. to 12:30  p.m. Fast Lab 

[IMAGE]Vince  Kaminski


Managing Director,  Research.

Enron Corp.





Tentative Student Speaker Series Schedule 2000-2001 

The following is a tentative schedule of the MSCF Student Speaker Series  for 
the 2000-2001 academic year. All events take place from 11:30 a.m. to  12:30 
p.m. in the Fast Lab (GSIA 229) unless otherwise noted. Updates are soon  to 
follow.

Volatility Curve  and Bond Basis 
August 11, 2000
David Hartney  & Jerry Hanweck
Vice President, Futures and Option Sales & Head  of North American Futures 
and Options Research; J. P. Morgan


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.

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.


The Impact of  Electronic Trading on the Uses of Quantitative Research in 
Equity  Options 
September 22, 2000
Scott  Morris
Hull Group, Quantitative Research Department 




Quantitative  Research in Investment Management 
October 6,  2000
Raman Srivastava & Anna Bulkovshteyn
Assistant Vice  President, & Fixed Income, Quantitative Analysts, Putman  
Investments

[IMAGE]
TBA  
November 3, 2000
Vince Kaminski
Managing Director, Research.
Enron Corp.


Fund Management and  Market Efficiency 
November 10, 2000
Andrea  Dalton
Researcher, Friess Associates 
(advisor to the Brandywine  Funds).


TBA  
November 17, 2000
Jeff Keifer & Deb
AEP


Tutorial on  BRIDGE 
November 24, 2000
Pierre Ste-Marie  & Punit Rawal
MSCF Students


A Corporate Risk  Management Framework 
December 8, 2000
Darin  Aprati & Brian Moore
McDonald's



[IMAGE]Math Speaker  Series Schedule 2000-2001
[IMAGE]Speaker Series Student  Committee
[IMAGE]Previous  Speakers


?
 
Pierre-Philippe  Ste-Marie
--------------------------------------
[IMAGE]http://pstemarie.homestead.com