[R-SIG-Finance] UKSIP - Quantitative investment professionals meetings

[John Marsland]

I would like to draw your attention to the following two events. The first event
is applicable to both quants and non-quants who have an interest in the state of
the quantitative investment landscape - this will not be a technical
presentation. It would be of particular interest to investment consultants as
well as quantitative investment managers. The second event is more technical in
nature, where we will take a look at risk management using stable, non-normal
distributions; these techniques are applicable to equity, credit and derivative
portfolios alike.
 
We have had lively debates and good feedback from our previous events, and I am
sure that these will continue that tradition. Please feel free to distribute
this email to any colleagues who you think might have an interest in this area.
 
Both members and non-members are most welcome to attend either event. CFA
Institute members will be automatically credited with PD points for these events.
 
Please refer to the UKSIP website for full details http://www.uksip.org 
 
Regards,
 
John Marsland, CFA
Chairman of the QUIPs (Quant Investment Professionals) Special Interest Group


UKSIP

UKSIP's Quantitative investment professionals specialist interest group has
organised two professional development events at which members will be able to
debate more specialist quantitative issues and also take advantage of the
opportunity to network with fellow "quant" experts.
Trends in equity portfolio modelling

Tuesday, 3 October, 2006
12.45pm for 13.00pm prompt start
Weaver Suite, UKSIP, 90 Basinghall Street, London EC2V 5AY

Speakers:

Sergio Focardi & Caroline Jonas, Partners, The Intertek Group
The 2006 Fabozzi/Intertek Survey Trends in Equity Portfolio Management looks at
trends in the role of modelling in equity portfolio management. It is based on
interviews and responses from 38 firms in North America and Western Europe
managing a total of €3.3 trillion in equities. Relative to the period 2004-2005,
the 2006 survey finds that 1) the amount of equity assets under quantitative
management has increased, 2) a wider range of equity strategies with
quantitative methods has been implemented and 3) the automation of the equity
portfolio management process has continued to advance. The Survey also explores
model types currently in use and user experience with the models.

Click here for more information and to register (Members £10.00; Non-members
£15.00) http://www.uksip.org/calendar/event_details.cfm?iEventID=138

In addition, The Intertek Group are organising a one-day seminar entitled
"Improving the Performance of Momentum & Reversal Strategies with Autoregressive
Models and Dynamic Risk Estimates" in London on Friday 20 October 2006. Details
are available on their website
http://www.theintertekgroup.com/training-Momentum-0610.html. UKSIP members are
offered a 25% on the fee for this course by quoting the code "UKSIP-QUIPS".
 
Risk management, optimisation and option pricing: stable non-Gaussian

Tuesday 7 November 2006
5.30pm for 6.00pm prompt start
Weaver Suite, UKSIP, 90 Basinghall Street, London EC2V 5AY

Speakers:

Boryana Racheva-Iotova, FinAnalytica
Zari Rachev, University of Karlsruhe and University of California, Santa Barbara

In this talk the speakers will introduce:

- An accurate approach to risk management, based on tail risk and stable
processes for asset returns
- A stable non-Gaussian approach to portfolio optimisation and ALM, yielding
increased risk adjusted returns
- A stable option pricing, capturing clustering of the volatility

Click here for more information and to register (Members £25.00; Non-members
£35.00) http://www.uksip.org/calendar/event_details.cfm?iEventID=135