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
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http://pstemarie.homestead.com