Conference on Quantitative Risk Management today

Huyên Pham organized a conference today, following his prize sponsored by the NATIXIS Foundation for Quantitative Research in association with the SMAI and awarded by the French Academy of Sciences.

Very interesting talks:

• Michel Crouhy gave us a clear view on the past crisis


• Benjamin Bruder proposed a nice way to include risk limits in option hedging strategies


• Jean-Paul Laurent exposed how to include several effects in hedging interest margin


• I made a review of the quantitative trading


• Nicole El-Karoui presented an elegant way to implicitly define an utility function from a market observable (like a benchmark portfolio)


• Rama Cont explained how systemic risk is embedded into the financial network, and increases with speculative use of CDS


• Nizar Touzi described how defining a relative benchmark to asset manager (scoring them relatively to the performances of their pairs) encourages them to take more risk


• Denis Talay benchmarked technical analysis against more objectively optimized strategies