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Friday December 4, 2009
8:30 a.m.-2:00 p.m.

Venue: The Italian Academy
1161 Amsterdam Avenue (between 117th and 118th Streets)
New York (directions and online map).

Co-hosted by: The Sanford C. Bernstein & Co. Center for Leadership and Ethics

Conference fee: $200 if register before November 20; otherwise $250. Please register online.

Invited university faculty members with a registration code may RSVP here.

The popular press and a recent spate of remarkable books have pointed critically to the contribution of financial innovation and quantitative models to the financial crisis. These critiques have cited particular statistical approaches, such as the Gaussian copula, for massively underestimating systemic risk. The broader critiques doubt the risk management capabilities of firms and regulators to understand and evaluate complex financial instruments, such as synthetic securities. These critiques cut at the core of the Basel 2 international regulations which permitted banks to create their own models to value illiquid and risky assets. They also have major implications for the design of a regulatory system and regulations regarding whether regulation is at all possible, who is best able to do it, and ultimately if complex financial innovation should be sharply curtailed.

This conference will bring together academics and financial professionals to discuss the impact of the quantitative revolution in financial markets and the challenges posed to exchanges, institutions, regulators and other players.

AGENDA
8:30-8:45 AM Breakfast and Registration

8:45-9:00 AM Welcome and Introduction

Welcome by Hugh Patrick
Robert D. Calkins Professor Emeritus of International Business; Director, the Center on Japanese Economy and Business (CJEB), Columbia Business School

Introduction of Keynote speaker by Bruce Kogut, Sanford C. Bernstein & Co. Professor of Leadership and Ethics; Director, Sanford C. Bernstein & Co. Center,Columbia Business School

9:00-9:45 AM Keynote Presentation:

Donald MacKenzie
Professor of Sociology, University of Edinburg

Donald MacKenzie is one of the leading scholars on the impact of option modeling on market behavior as well as a frequent contributor to the current debate.

9:45-11:15 AM Panel 1: Does the Practice of Quantitative Finance Need to Be Changed?
Quantitative financial models have been the source of major financial innovations in capital markets, but they also have been heavily criticized for being wrong and to having underestimated and contributed to systemic risk. Is this true and what should be done?

Paul Glasserman (Moderator)
Jack R. Anderson Professor of Business,Columbia Business School

Emanuel Derman
Professor, Department of Industrial Engineering and Operations Research,Columbia University

Daniel Beunza
Lecturer, Department of Management, London School of Economics

Kent Daniel
Director of Research, Goldman Sachs

Adam Parker
Chief Investment Strategist; Director of Quantitative Research, Sanford C. Bernstein & Co. LLC

11:15-11:30 AM Coffee Break

11:30-1:00 PM Panel 2: Why Was the Financial Crisis Less Enduring in Japan and Other Countries...this time around?

The financial sectors in the United States and the United Kingdom have been deeply hurt in this crisis, generally more so than in other countries, with a few notable exceptions, e.g. Iceland. Were other countries less affected because they did not adopt the new financial innovations proposed by quantitative finance? Were they better regulated?

Ronald Gilson (Moderator)
Marc and Eva Stern Professor of Law and Business, Columbia Law School

Takatoshi Ito
Visiting Professor, Columbia University; Professor of Economics, The University of Tokyo

Floyd Norris
Chief Financial Correspondent, The New York Times

Jacques Longerstaey
Executive Vice President And Chief Risk Officer, State Street Bank

Thierry Porte
Operating Partner, J.C. Flowers & Co., LLC; former President and CEO, Shinsei Bank, Limited

1:00-2:00 PM Closing Remarks and Buffet Lunch

Researchers and faculty who would like to attend this symposium can contact: leadershipethics@gsb.columbia.edu.