FÉDÉRATION FEDERATION OF ASSOCIATIONS D'ANALYSTES …effas.net/pdf/ebc/EBC_St_Andrews_Prospectus.pdf · ASSOCIATIONS D'ANALYSTES FINANCIERS ... Polymorphic prices may lead to an

FÉDÉRATION

EUROPÉENNE DES

ASSOCIATIONS

D'ANALYSTES

FINANCIERS

THE EUROPEAN

FEDERATION OF

FINANCIAL

ANALYSTS

SOCIETIES

ChairChris Golden: Chairman of the European Bond

Commission

Presenters

Prof Sergey Smirnov Higher School of Economics, Moscow

Dr. Sönke Siemßen Head of Fixed Income Research,

Bayern LB

Dr Thomas Klepsch State Street Advisors

Chris Golden Chairman, European Bond

Commission

Giovanni Calice University of Southampton

Dr Con Keating Head of Research, Brighton Rock

Group

Prof Roderick McCrorie University of St Andrews

Jean-François Borgy: CNO Paris

27th & 28th June 2011

The GatewayUniversity of St Andrews

North Haugh,

St Andrews

Fife

KY16 9RJ

Conference

European

Bond

Commission

Conference chair

Chris Golden has worked in the international financial markets for over 30

years. Educated at Oxford University, he worked at Credit Suisse White

Weld (1975-1978) & Goldman Sachs (1978-1984) in various capacities on

the trading desk, was the head of International Fixed Income Research first

at Lehman Brothers from 1989 to 1994 (where he created the Lehman

Global Government Bond Indices) & then at Nomura (1994-1998).

From 1984 to 1989, & also since leaving Nomura, he has worked as an

advisor to various organisations, including the European Investment Bank,

the Agence France Trésor, UBS & Robert Fleming. He is Chairman of the

EFFAS European Bond Commission & of the EFFAS Market Structure

Commission, as well as on the board of ECMI (European Capital Markets

Institute).

PresentersProfessor Dr. Sergey Smirnov is Director of Financial Engineering & Risk

Management Laboratory, at theHigher School of Economics in Moscow.

Cofounder of PRMIA (Professional Risk Managers' International Association).

Previous posts include Head of Derivatives Division of Moscow Interbank

Currency Exchange (MICEX) , senior manager developing futures & options

market for different underlying, market monitoring & risk management position of

First Deputy Chairman of ELBIM Bank, top manager responsible for bank's

treasury activity, ALM, correspondent relations & branches.

Senior Expert of BDO Unicon company in the project of developing risk

management system for Gazprom (2006).

He has also authored more than 70 scientific works, mainly on stochastic

processes, financial engineering & risk management.

Dr Sönke Siemßen is heading the Investment Research department at

BayernLB since May 2011 after joining BayerLB as head of fixed income

research in 2005. His responsibilities include equity strategy and analysis,

interest rate and yield forecast, analysis of covered and corporate bonds issuers

as well as the technical analysis of bonds, equities, commodities and currencies.

After his banking apprenticeship at Deutsche Bank in Hamburg he studied

Economics at Kiel University and Indiana University, Bloomington, USA. His

PhD thesis on quantitative investment strategies and forecasting models was

written, while building up the buy side research at WestLB Mellon Asset

Management. In 2000 he received his doctorate in econometrics and statistics

from Kiel University. Later on he was responsible of yield curve management,

fixed income strategy and asst allocation at WestLBMellon AM.

Dr Thomas Klepsch is Vice President, State Street Global Advisors and a

specialist in developing innovative products & services for the financial industry:

Products being introduced ar,e among others Tripartite Repo Services, Agency

Fund Trading, Performance Measurement & Attribution, Market Risk Reporting,

Liabilities Modelling, & Collateral Management, Exposure Monitoring.

Current work is done on pricing puzzles, liquidity & trust building measures. New

products for the financial industry may be required to solve the following

problems: Polymorphic prices may lead to an entirely new paradigm in

accounting & fund management. Liquidity as a common good in securities

markets may be not priced adequately which might require early signalling

products as well as new tools to take liquidity considerations appropriately into

account for balancing and trading. The disappearance of trust may lead itself to

the demand for products that support the courage to formulate and reconcile

own opinions instead of following the crowd.

EFFAS European Bond Commission

Day One

Committee for Methods

& Measures

09.30 Registration and coffee

10:00 “Towards a non-parametric

stochastic framework: a

consistent approach of

integrated modelling of credit

and interest rate risk “

Prof Sergey Smirnoff - School

of Higher Economics, Moscow

11.00 Coffee Break

11:20 "Unrated Corporate Bonds -

Are Ratings Really

Necessary?“

Dr Sönke Siemßen – Head of

Fixed Income Research,

Bayern LB

12:20 Lunch Break

14.00 “Prices”

Dr Thomas Klepsch:- State

Street Global Advisors

15:00 Coffee Break

15.15 "The trade-off between

transparency and accuracy of

prices“

Chris Golden – Chairman EBC

16.15 "Naked Short-Selling"

Giovanni Calice – University of

Southampton

17:30 End of Methods and Measures

Committee

19.00 Dinner sponsored by EFFAS -

European Bond Commission

to be held at David Russell

Apartments

For more information visit www.effas-ebc.org

Day Two

Plenary Session of the

EFFAS-European Bond Commission

09:30 – EFFAS-EBC

10:20 Housekeeping Items

(EBC members only)

10:20 Coffee break

10:30 "Defined Benefit Pensions and Asset Allocation“

Dr Con Keating – Brighton Rock

11:30 "The price of an Asian option"

Prof Roderick McCrorie –University of St Andrews

12:30 Lunch

14:00 "Update on Euro Money

Markets“

Jean-Francois Borgy -

CNO Paris

15.00 The Big Picture –

"Sovereign Credit and

Sovereign Debt“

Chris Golden – Chairman

European Bond Commission

16:30 Coffee Break

16:45 Any other business, including tour de table on local bond market developments

17:00 Conference Ends

27th & 28th June 2011

Presenters continued

European Bond Commission

Giovanni Calice is a Lecturer in Finance. He previously held positions

at the University of Bath, University of Rome "La Sapienza" and the

Bank of Italy. He holds a BSc in Economics & a PhD in Banking and

Finance from the University of Rome "La Sapienza", a MSc in Financial

Economics from the University of Leicester & he is about to complete a

second PhD in Finance at the University of Bath

Dr Con Keating is currently a member of the steering committee of the

financial econometrics research centre at the University of Warwick and

of the Societe Universitaire Europeene de Recherche en Finance. As a

research fellow of the Finance Development Centre he published widely

on the regulation of financial institutions & pension systems, & also

developed new statistical tools for the analysis of financial data, such as

Omega functions & metrics,. From 1994 to 2001, Con was chairman of

the committee on methods & measures of the European Federation of

Financial Analysts Societies & currently is a member of their Market

Structure Commission. Con has also served as an advisor & consultant

to the OECD’s private pensions committee & a number of other

international institutions.

In a career spanning more than forty years, Con has worked as an

infrastructure project financier, corporate advisor, investment manager &

research analyst in Europe, Asia & the United States. He has served on

the boards of a number of educational & charitable foundations & as a

trustee of several pension schemes. He is currently Head of Research

for the BrightonRock insurance group.

Prof Roderick McCrorie joined the School of Economics and Finance

in October 2007. His general research areas are Econometric Theory,

Applied Macroeconometrics and Time Series Analysis. Currently, he is

working on issues of identification, estimation and inference in

continuous time econometric models; temporal aggregation in

macroeconomics and finance; and statistical distribution theory for

stationary and non-stationary time series.

Rod has held full-time positions at the University of Essex, the London

School of Economics, Queen Mary University of London and the

University of Leicester; and part-time positions at University College

London and New York University in London. He has visited CentER at

Tilburg University and was last year an Associate Fellow at CORE,

Université catholique de Louvain.

Jean-François Borgy has more than 25 years of Fixed Income

Experience in London, Brussels & Paris with several investment banks.

After having participated in the developments of the interest rate

derivative markets as early as 1983, Jean-François was head of interest

rate swap trading at Banque Worms. Since 1994, he has specialised in

the research of new fixed income products. Jean-François is General

Secretary of the EFFAS European Bond Commission & a member of the

French CNO, the official body agreeing bond methodologies. Since

January 2010, he has been working as a consultant specialising in fixed

income markets, with a particular interest on yield analysis & yield curve

generation.

European Bond Commission Officers

Chris Golden Chairman [email protected]

Thomas Klepsch Vice Chairman [email protected]

Sergey Smirnov Vice Chairman [email protected]

Gottfried Ransmayr Treasurer [email protected]

Jean-François Borgy Secretary [email protected]

Wolfgang Marty Methods & Measures [email protected]

European Bond Commission

David Russell Apartments

Accommodation & meals

The Gateway

Conference venue

St Andrews map & conference venues

IMPORTANT INFORMATION

How to get to St Andrews?All information is available from the following link:

http://www.st-andrews.ac.uk/visiting/GettingtoStAndrews/

How to book rounds of golf?http://www.standrews.org.uk/Playing-in-St-Andrews/Clubhouses/New-Clubhouse.aspx