[Amath-seminars] Boeing distinguished lecture - Feb 10

Andrea Barreiro akb6 at washington.edu
Wed Feb 9 03:59:37 PST 2011

Dear all,

Our final Boeing speaker of the quarter will be tomorrow, Feb 10. See you there,


Boeing Distinguished Lecture Series

Eric Zivot,
Robert Richards Chaired Professor of Economics
University of Washington

Factor Model Based Risk Management for Hedge Funds and Fund of Hedge Funds

Thursday, February 10, 2011
220 Guggenheim, 4:00 pm
(Reception to follow on 4th floor of Guggenheim)

A linear factor model based framework is presented that facilitates
semi-parametric risk
analysis for complex hedge fund portfolios in the absence of fund level
transparency. The framework allows for
parametric and semi-parametric fund risk decompositions by risk factor and
portfolio risk decompositions by constituent fund. Through use of Monte
Carlo simulation and re-sampling techniques, implied risk profiles at either
the constituent fund or aggregate fund-of-funds level can easily be
generated. As well as being pertinent to risk forecasting and monitoring,
the factor model framework also has application to style analysis, profit
attribution, portfolio stress testing and diversification studies. This talk
outlines such a framework in the context of a fund of hedge funds

-----Original Message-----
From: Andrea Barreiro [mailto:akb6 at washington.edu]
Sent: Sunday, February 06, 2011 8:29 PM
To: ezivot at u.washington.edu
Cc: Eli Shlizerman; Nathan Kutz
Subject: Boeing distinguished lecture - Feb 10

Dear Prof. Zivot,

We are postdocs in applied math and usually organize the schedules for
out-of-town speakers.
We thought it would be nice, if you're interested and have the time, to have
you spend part of the day in Applied Math.
We can schedule meeting with faculty; we also typically have our speakers
meet with graduate students for an hour
(our usual time is 2:30-3:30).

We will have a reception after the talk in Guggenheim, and would like to
take you out to dinner afterwards, if you're available.

It would also be a great help if you could send us an abstract. The title we
have is:
Simulation-based estimation of continuous time interest rate models

Thanks, and we're looking forward to your talk,

Andrea Barreiro and Eli Shlizerman

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