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Background to event
The focus of the event is to highlight the scope for developing value-adding investment strategies out of mathematical and statistical techniques that are applied within the financial world and in other areas of risk management.
Finance practitioners will discuss the mathematical and statistical techniques they use and how they use them.
Finance academics will discuss mathematical and statistical techniques which they feel have unfilled potential to be used in finance and investments.
Risk management experts from other disciplines have been invited to discuss mathematical and statistical techniques that may have applications in finance.
The event is kindly sponsored by Victorian Funds Management Corporation.
Presentations
(Click titles to download)
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Managing short-term risk in a short-term world: Why human behaviour often trumps the calculus of risk
Leo de Bever, Chief Investment Officer and Head of Investment Strategy, Victorian Funds Management Corporation |
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Bridging to Finance
Pavel Shevchenko, Principal Research Scientist, Leader, Financial Risk Management, Commonwealth Scientific and Industrial Research Organisation (CSIRO) |
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Modelling Financial Markets - What Works, What Doesn't and What We Don't Know
Laurence Irlicht, Investment Director, Quantitative Analysis, Victorian Funds Management Corporation |
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Common Mistakes in Risk Measurement
Sam Ferraro, Quantitative Analyst, Goldman Sachs JBWere |
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Estimation of High Quantiles in Risk Management
Volf Frishling, Head of Market Risk Quantitative Support & Validation, National Australia Bank |
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Soft Clustering for Funds Management Style Analysis
Paul Lajbcygier, Associate Professor, Departments of Accounting and Finance and Econometrics and Business Statistics, Monash University |
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Evaluating Portfolio Managers with Bayesian Scoring
Sam Wylie, Senior Fellow, Melbourne Business School |
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Binomial Approximations in Finance
John van der Hoek, Senior Lecturer, Applied Mathematics, University of Adelaide |
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Fitting models with minimum message length criteria
David Dowe, Associate Professor, School of Computer Science and Software Engineering, Monash University |
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The wider world of risk analysis: dealing with extinction risk, fat tails and other imponderables
Mark Burgman, Professor in Environmental Science at the School of Botany at the University of Melbourne and Director of the Australian Centre of Excellence for Risk Analysis |
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