Society of Quantitative Analysts

800.918.7930

Systemic Risk

Financial Bubbles,

& Monetary Policy

SQA Fuzzy Day Conference

Thursday, May 22, 2014

Hosted by BNP Paribas, 787 Seventh Avenue, New York, NY 10019

$350 SQA Members

$425 Partner* Members

$525 Non Members

$125 Students

*Partner Members include:

CQA, GARP, IAQF, London Quant Group,

NYSSA, PRIMIA Sustaining, Q-Goup, QWAFAFEW

Using Agent-Based Models for AnalyzingThreats to Financial Stability

Richard Bookstaber, Treasury Department: Research Principal in the Office of Financial Research, and recently Senior Policy Adviser to the

Financial Stability Oversight Council and Senior Policy Adviser at the SEC. Previously worked at Bridgewater Associates, ran the Quantitative

Equity Fund at FrontPoint Partners and was in charge of risk management at Moore Capital. Author of “A Demon of Our Own Design”.

Richard Bookstaber, Treasury Department:

Speculation,Trading, and Bubbles

José Scheinkman, Professor of Economics, Columbia University: Emeritus Professor of Economics at Princeton University and a Research Associate

at the NBER, Scheinkman previously served as Chairman of the Department of Economics at the University of Chicago, Visiting Professor at

Collège de France, Vice President in the Financial Strategies Group of Goldman, Sachs & Co. and co-editor of the Journal of Political Economy.

José Scheinkman, Professor of Economics, Columbia University:

Has Financial Innovation Made the World Riskier?

Tanju Yorulmazer, NY Fed: Tanju is a Research Officer in the Financial Intermediation Function at the Federal Reserve Bank of New York. He

received his Ph.D. in Economics from NYU in 2003. His research focuses on topics such as liquidity, its affect on asset prices, systemic risk,

financial crises and their resolution. He also teaches Foundations of Financial Economics at New York University.

Tanju Yorulmazer, NY Fed:

SIFI Designation and its Potential Impact on Nonbank Financial Companies

Edward Hida, Deloitte & Touche LLP: Ed is the global leader of Risk & Capital Management and a partner in the Governance, Regulatory & Risk

Strategies practice. He has substantial experience consulting on a variety of financial risk management and capital markets issues, spanning a

range as wide as governance, policies, procedures, and infrastructure, to methodology, quantitative techniques, and systems.

Edward Hida, Deloitte & Touche LLP:

Fear, Greed, and Financial Crises:A Cognitive Neurosciences Perspective

Andrew W. Lo, Professor at the MIT Sloan School of Management and Director of the MIT Laboratory for Financial Engineering: Publisher of

numerous articles in finance and economics journals, and author of “The Econometrics of Financial Markets, A Non-Random Walk Down Wall

Street”, “Hedge Funds: An Analytic Perspective”, and “The Evolution of Technical Analysis” among others.

Andrew W. Lo, Professor at the MIT Sloan School of Management and Director of the MIT Laboratory for Financial Engineering:

SQA members automaticallyreceive a $175 discount!

Register online atand join the SQA during

registration and save instantly!

www.sqa-us.org

Professional courtesy discountsoffered to members of CQA, GARP,IAQF, London Quant Group, NYSSA,PRIMIA Sustaining, Q-Group, andQWAFAFEW...simply select the

correct affiliation during registration.

The Society of Quantitative Analysts (SQA) is a not-for-

profit organization that focuses on education and

communication to support members of the quantitative

investment practitioner community.

We seek to encourage the dissemination of leading-

edge ideas and innovations relevant to the work of the

quantitative investment practitioner. The knowledge of

such ideas and innovations can assist portfolio and risk

managers, strategists, analysts, traders, regulators, asset

owners such as pension sponsors and foundations in

performing their functions and responding to the ever-

quickening pace of change. The Society welcomes the

participation of academics and students.

exploring the regularities of cyclical and time-varying

return dynamics and perspectives that investors can

exploit in navigating the crisis

Join your colleagues onJune 11, 2009 in New York

for a full day of insights from

Andrew Ang, Columbia UniversityRegime-Shifting Models

Oleg Bondarenko, University of IllinoisDissecting the Market Pricing of Volatility

Mila Getmansky, University of AmherstModels of Financial Crisis

Mark Kritzman, MIT & Windham CapitalInvesting During Turbulent Times

Joseph Mezrich, Nomura SecuritiesAlpha in a World of High Systemic Risk

Sergei Sarkissian, McGill UniversityFlight to Liquidity and Global Equity Returns

Barry Schachter, Moore CapitalRisk Management Lessons from the Crisis

.

REGISTER ONLINE TODAY

You will gain forward-looking perspectives from the latest research, and fresh insights into how to tailor your quantitative strategies to the

challenges of these uncertain times

Society of Quantitative Analysts

www.sqa-us.orgSociety of Quantitative Analysts

www.sqa-us.org$300 SQA members (at any level)$475 Non members (join online for discounted rate)$100 Student w/scholarship (10 available)

Quantitative Methods

in Uncertain Times

Fuzzy Day - June 11, 2009

Society of Quantitative Analysts - Half Day Program8:30am - 1:30pm on December 5, 2008

180 Maiden Lane, New York City

The Great Deleveraging

Till Schuermann, New York Fed Hyun Song Shin, Princeton University Nouriel Roubini, New York University Bjorn Flesaker, Bloomberg

FEATURING current perspectives from:

www.sqa-us.org

Managing Unusual RisksManaging Unusual Risks

Half Day2007

Half Day2007

November 29, 2007

11:30am - 5:30pm Society of Quantitative Analysts 180 Maiden Lane, New York City

November 29, 2007 Society of Quantitative Analysts 11:30am - 5:30pm 180 Maiden Lane, New York City

Risk Management for Households: Democratizing Finance, with Professor Robert Shiller

Improving Allocation of Housing Risk, with Jonathan Reiss

New Instruments to Trade Housing Risk, with Kiva Patten

Creating a $50 Billion Cat Bond Market: A Call to Action, with Peter Nakada

Investing in Catastrophe Bonds, with Caleb Wong

Volatility Trading - Buying & Selling Risk, with Zem Sternberg

What Can Go Wrong in Risk Management, with Richard Bookstaber

register online at www.sqa-us.org

Corporate Ethics & Investing:A Quantitative Perspective

Corporate Ethics & Investing:A Quantitative Perspective

June 188:00am - 6:00pm

New York Helmsley HotelREGISTER ONLINE at WWW.SQA-US.ORG

June 188:00am - 6:00pm

New York Helmsley Hotel

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FEATURING

Michael JensenHarvard Business School

Messod Daniel BeneishIndiana University

Brad BarberUniversitY of California

Lucien BebchukHarvard Law School

Alon BravDuke University

Stephen BrownNew York University

Rene StulzOhio State University

Ted YarnellAsset4

Harvard Business School

Indiana University

UniversitY of California

Harvard Law School

Duke University

New York University

Ohio State University

Asset4

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Fuzzy Day - The Many Facets of Growth

19 Jun 2006

June Program

Fuzzy Day - The Many Facets of Growth

Date: Monday, June 19, 2006Time: 8:30 AM, Registration & Breakfast • 8:45 AM, ProgramLocation: The New York Helmsley Hotel • 212 East 42nd Street (between Second & ThirdAvenue) • 3rd Floor • NYC

Fees: If you sign up by Sunday, June 4, 2006SQA Members, $250 • Non-members, $400After Sunday, June 4, 2006, add $50

You can sign up for membership and attend this event as an SQA member for the sameprice as non-member attendance! Click here to see benefits and download application.

Though most quantitative investors have a bias towards Value in their models and thoughtprocesses, it is impossible to ignore Growth, for in the absence of economic growth, therewould be little reason to invest in capital markets! And yet, Growth means entirely differentthings to different people. This year, five distinguished speakers will explore multiple facetsof Growth. They include a distinguished information theorist and statistician from StanfordUniversity, a senior Economist from the Federal Reserve Bank of Philadelphia, the ChiefInvestment Officer of an major investment firm, a quantitative strategist at one of thelargest investment banks in the world, and a senior investment officer and departmenthead at a large West Coast investment firm. Join us for an informative, entertaining andmulti-faceted look at Growth!

ADMITTANCE WILL BE BY RESERVATION ONLY. All registrations and payments must bereceived 48 hours prior to the meeting date. Cancellations must be received in writing 48hours prior to meeting; cancellations after this time and no-shows are liable for payment.Substitutions are acceptable.

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8:30 AM Continental Refreshment Breakfast

8:45 AM IntroductionThomas Philips, Ph.D.Vice President and Program Chair, SQA,Head of Investment Strategy and Risk Control, OTA Asset Management

9:00 AM Unconditional AlphaClaude ErbManaging Director, Commodities and Multi-Strategy Fixed Income,Trust Company of the West

10:00 AM Refreshment Break

10:10 AM Universal PortfoliosThomas Cover, Ph.D.Kwoh-Ting Li Professor of Engineering, Stanford University

11:10 AM Refreshment Break

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11:20 AM “Is the Third Industrial Revolution Over?:Causes and Consequences of the Rise of Creative Destruction.”Leonard Nakamura, Ph.D.Economic Advisor and Economist, Federal Reserve Bank of Philadelphia

12:30 PM Luncheon

1:30 PM Growth Investing in the Post-Bubble EraSavita SubramaniamQuantitative Strategist, Merrill Lynch

2:30 PM Refreshment Break

2:40 PM Stock Market DiversityE. Robert Fernholz, Ph.D.Founder and Chief Investment Officer, INTECH

4:00 PM Program Close / Annual Meeting and Cocktail ReceptionVote for your new officers and board members!

CFA Logo 5.5 Credits

This program has been approved for 5.5 CFA Institute Professional Development credits.Information on the PD program can be found on the CFA Institute’s Web site

(http://www.cfainstitute.org/pdprogram/development/index.html).

Printable Registration Form (If you prefer to register by mail)

Copyright © 2006 - 2014 Society of Quantitative Analysts. All rights reserved.

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SOCIETY OF QUANTITATIVE ANALYSTS, INC. 551 Fifth Avenue, Suite 3025, New York, NY 10176

Officers

President Anne-Sophie E. Van Royen, Ph.D. Credit Suisse Asset Management Vice President Thomas K. Philips, Ph.D. OTA Asset Management Secretary Ingrid Tierens, Ph.D., CFA Goldman, Sachs & Co. Treasurer Rudi Schadt, Ph.D. OppenheimerFunds, Inc. Past President Melanie L. Petsch TIAA-CREF 2006 Michelle R. Clayman, CFA New Amsterdam Partners LLC Joanne M. Hill, Ph.D. Goldman Sachs & Co. Robert C. Jones, CFA Goldman Sachs Asset Management Gregory van Inwegen, Ph.D. Ivy Asset Management 2007 Stephen J. Brown, Ph.D. NYU - Stern School of Business James L. Farrell Jr., Ph.D., CFA Farrell Investment Mgmt. –Div. Morse, Williams & Co. James P. Gordon, CFA Federated Global Investment Management Corporation Robert L. Hagin, Ph.D. Hagin Investment Research Inc. Marcia Kramer Mayer, Ph.D. National Economics Research Assoc. (NERA) 2008 P.Brett Hammond, Ph.D. TIAA-CREF Joel Kaplan 1010 Data, Inc. E.K. Easton Ragsdale, CFA Robeco Investment Management Bruce G. Smith State of New Jersey Kenneth Winston, Ph.D. Morgan Stanley Investment Management, Inc.

HALF-DAY FALL SEMINAR

Advances in Optimization and Portfolio Construction

Friday, November 11, 2005 • 8:30 AM until 3:00 PM at

The New York Helmsley Hotel 212 East 42nd Street, between Second & Third Avenues, 3rd Floor, NYC

Portfolio construction and optimization have been inextricably linked ever since Harry Markowitz formulated the problem of portfolio choice as a quadratic program. As portfolio managers attempt to extract every available grain of alpha from their models, we have seen an explosion of interest in portfolio construction topics such as robust optimization algorithms, multi-period optimization, mitigating the impact of constraints, and incorporating trading costs in the portfolio construction process. In this half-day program, five distinguished speakers will discuss various aspects of portfolio construction and optimization and their implications for portfolio management.

AGENDA

8:30 – 9:00 AM Registration and Continental Breakfast 9:00 – 10:00 AM ROBUST PORTFOLIO CONSTRUCTION Sebastian Ceria President, Axioma Inc. 10:00 – 11:00 AM ROBUST OPTIMIZATION METHODS IN ASSET MANAGEMENT Reha Tutuncu Vice President, Goldman Sachs Asset Management 11:00 – 11:15 AM Refreshment Break 11:15 AM – 12:15 PM PORTFOLIO CONSTRAINTS AND THE FUNDAMENTAL LAW OF ACTIVE MANAGEMENT Roger Clarke Chairman, Analytic Investors, and President, Ensign Peak Advisors 12:15 – 1:45 PM Luncheon Presentation: A COMMON SENSE APPROACH TO PORTFOLIO OPTIMIZATION Bernd Scherer Head of the Deutsche Asset Management Research Center 1:45 – 2:45 PM NEXT GENERATION PORTFOLIO OPTIMIZATION Stephen Elston President, Finanalytica 2:45 PM President’s Closing Remarks and Adjournment

Phone: (212) 687-4010 Fax: (212) 687-4016 sqa@sqa-us.org www.sqa-us.org

SOCIETY OF QUANTITATIVE ANALYSTS, INC.

151 Herricks Road – Suite 101 – Garden City Park, NY 11040 Tel: 516-739-2510 Fax: 516-739-3803 sqa@sqa-us.org www.sqa-us.org

Annual "Fuzzy Day" Seminar

“IMPROVING THE ODDS: ALTERNATIVE PERSPECTIVES ON RISK MANAGEMENT”

Tuesday, June 15, 2004 ���� The New York Helmsley Hotel, 212 East 42nd Street, NYC

“Fuzzy Day” provides the opportunity for SQA members to learn about new tools, techniques, and theories relevant to investing. Dramatic changes in the markets over the last few years have driven the need for innovative approaches to risk management. In this “Fuzzy Day” seminar, we hope to give you, our audience, a figurative “whack on the side of the head” by examining risk assessment and management issues from a wide variety of perspectives.

We've got an exciting lineup of topics and speakers, including � a former professional poker player and a Harvard Business School professor � a sports betting and behavioral finance professor � two Wall Street attorneys � a chaired NYU Stern School professor � and a historical perspective from an industry thought leader

We will also hear from one of the luminaries of Financial Risk Management, Bob Litzenberger. Dr. Litzenberger is an Executive Director of Azimuth Trust, a fund-of-funds for hedge funds, private equity and venture capital, and a Professor Emeritus at Wharton. In the course of his illustrious career, Dr. Litzenberger has been the Firmwide Risk Manager and a Partner at Goldman Sachs, a chaired professor at Wharton, Director of Research and Chief Economist at AIG-Financial Products, and a professor at Stanford. Dr. Litzenberger will be speaking about his latest work "The Economic Role of Hedge Funds and Dealers, Causes of Market Crises, and Risk Management." �����������������������������������������������������������������

Registration Fees: SQA Member $ 350.00 Non-Member $ 500.00 Continental Breakfast, Coffee Breaks, and Lunch are included in the registration fee. You are also cordially invited to stay for SQA’s Annual Meeting and Cocktail Reception, which immediately follow the program at 4:15 pm. The election will be held at 4:30 pm. ADMITTANCE WILL BE BY RESERVATION ONLY. All registrations and payments must be received 48 hours prior to the meeting date. Cancellations must be received in writing 48 hours prior to meeting; cancellations after this time and no-shows are liable for payment. Substitutions are acceptable.

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Annual "Fuzzy Day" Seminar � June 15, 2004

“IMPROVING THE ODDS: ALTERNATIVE PERSPECTIVES ON RISK MANAGEMENT”

Program 8:30 am Continental Breakfast 8:45 am Introduction Melanie L. Petsch

Vice President and Program Chair, SQA Director of Product Development, TIAA-CREF

9:00 am Betting Markets, Sports Betting, and Behavioral Finance

Justin Wolfers, PhD Assistant Professor of Economics, Stanford Business School

10:00 am Double or Nothing: Informationless Trading in Australian Equities Stephen J. Brown, PhD David S. Loeb Professor of Finance at NYU’s Stern School

11:00 am Break 11:15 am Texas Hold ’em Poker: Applied Mathematics and Risk Management

Adam Benowitz and Randolph B. (Randy) Cohen, PhD Assistant Professor, Harvard Business School

12:15 pm Luncheon Presentation The Economic Role of Hedge Funds and Dealers, Causes of Market Crises, and Risk Management Robert H. Litzenberger, PhD Executive Director, Azimuth Trust

2:00 pm Break 2:15 pm Risk Assessment and Valuation of Legal Claims

Lawrence F. Carnevale and Kathleen H. Moriarty Partners, Carter, Ledyard & Milburn

3:15 pm Risk Management - Historical Perspective

Dan diBartolomeo Founder and President, Northfield Information Systems

4:15 pm Program Close / Annual Meeting and Cocktail Reception Vote for your new officers and board members!