Columbia Business School Alumni

NEW YORK, NEW YORK

The Quantitative Revolution and the Crisis: How Have Quantitative Financial Models Been Used and Misused

A research symposium presented by the Sanford C. Bernstein & Co. Center for Leadership and Ethics and the Center on Japanese Economy and Business

Friday, December 4, 2009 from 8:30 a.m. – 2:00 p.m.
The Italian Academy, 1161 Amsterdam Avenue (between 117^th and 118^th Streets), New York, New York

Cost: $200 before November 20; otherwise $250.

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 II 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.

For a complete agenda and conference registration: http://www.gsb.columbia.edu/leadership/research/dec2009

For more information please contact leadershipethics@gsb.columbia.edu.