Events / Thalesians Series

About The Series

The IAQF's Thalesians Seminar Series is a joint effort on the part of the IAQF (www.iaqf.org) and the Thalesians (www.thalesians.com).  The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance.  This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion.

Call For Speakers

If you are interested in speaking at one of the upcoming seminars, please email info@iaqf.org

Past Seminars

About The Organizer

Harvey J. Stein is Head of the Quantitative Risk Analytics Group at Bloomberg, responsible for all quantitative aspects of Bloomberg's risk analysis products. Dr. Stein has over 20 years of experience in the industry and has published and lectured on mortgage backed security valuation, CVA calculations, interest rate and FX modeling, credit exposure calculations, financial regulation, and other subjects. Dr. Stein is also a member of the advisory board of the IAQF, an adjunct professor at Columbia University, and a board member of the Rutgers University Mathematical Finance program and of the NYU Enterprise Learning program. He received his PhD in mathematics from Berkeley in 1991 and his BA in mathematics from WPI in 1982.

 



Upcoming Seminars

    • 29 Oct 2020
    • 1:30 PM (EDT)
    • Zoom Webinar
    Register

    Abstract

    This paper provides an innovative theoretical model and empirical evidence for how firm-level pandemic exposure, as an informational shock, increases a firm's credit spread and default risk. We find a positive relationship between pandemic exposure and single-nameCDS spreads, and this empirical relation remains under robustness checks and after controlling for endogeneity. The effect of pandemic risk is more pronounced for firms with more leverage. COVID-19 exposure has a much more significant economic impact on credit spreads than the past pandemics. We also find firm-level pandemic risk reduces CDS spread slope and increases credit spread volatility.

    (Joint work with Ran Zhao)

    Biography

    Dr. Michael Imerman is an Assistant Professor of Finance at the Drucker School of Management in Claremont Graduate University where he also serves as Co-Director of the Financial Engineering Program. Professor Imerman's primary research areas include credit risk modeling, banking, FinTech, and financial regulation. He is particularly interested in the interplay among risk management, innovation, and regulation in the financial system. These interests have led him to examine diverse areas in finance from credit derivatives to bank capital and from securitization to disruptive financial technologies.

    Prior to coming to Claremont, Professor Imerman was was a faculty member at Lehigh University, where he was Assistant Professor of finance and held the Theodore A. Lauer Distinguished Chair of Investments. His undergraduate and doctoral degrees are from Rutgers University and in 2011-2012 he was an NSF-funded Postdoctoral Research Associate at Princeton University in the Department of Operations Research and Financial Engineering. At Princeton, Dr. Imerman worked in high-dimensional statistical analysis, high-frequency econometrics, and financial data science.

    Before pursuing a career in academia Imerman has worked on Wall Street, with a stint at Lehman Brothers from 2004 to 2005. He currently maintains a consulting practice where he advises companies ranging from large established financial firms to FinTech startups. Additionally, Dr. Imerman is on the Editorial Boards of the Journal of Financial Data Science and the annual journal Advances in Quantitative Analysis of Finance & Accounting.

    • 30 Oct 2020
    • 11:00 AM - 12:00 PM (EDT)
    • Zoom Panel
    Register

    Join the IAQF for virtual presentations and conversations with the winners of the IAQF Academic Case Competition

    Zoom Event

    Registration is Complimentary for All


    Moderator:

    Richard Lindsey, IAQF Board Chair


    Schedule of Events:

    Introductions & Presentation of Problem

    Questions to Each of the Team 

    Following an overview of the problem that students were asked to work on, the moderator turn it over to each of the Teams who have 10 minutes to discuss how they came to their conclusion.

    This will be followed by questions to the students 


    Participating Teams Are:

    Team WOLT - Baruch MFE Program, Ryan Guzalowski as Team Leader, Team members include Jiaying (Laura) He, Xinyi (Jeremy) Hu, Zhoufan Li, Ziyue (Vincent) Wang, and Jiahao Zhang. The team worked under the direction of Andrew Lesniewski.

    Team Quant Avengers - Boston University, Tianqi Liao as Team Leader, Team members include Ziqi Chen, Zehao Dong, Yining Fu, Jingyue Xie, and Yukang Zhou. The team worked under the direction of Christopher Kelliher.

    Team Quants by the Ganges - Cornell University, Nikunj Agarwal as Team Leader, Team members include Subham Behera, Harsh Parsuram Puria, and Vineel Yellapantula. The team worked under the direction of Sasha Stoikov.

    Team QuAntiochus - NYU Tandon, Yingchao Sun as Team Leader, Team members include Litai Ren, Sumit Mahaveer Sethi, Sai Theja Vadlamani, Dehao Wang, and Ziqi Yuan. The team worked under the direction of Ron Slivka.

    Team Bobcat - NYU Tandon, Vinay Arun Bharath as Team Leader, Team members include Lei Guo, Eric Sun, Yiran Wang, Yulin Wu, and Minghua Xie. The team worked under the direction of Ron Slivka.

    • 18 Nov 2020
    • 7:30 PM (EST)
    • Zoom Panel
    Register

    Financial Engineers Give a Personal View of Their Careers in Quantitative Finance


    A Series of Panel Discussions for Students Interested in a Career in Quantitative Finance

    Virtual Event


    In Partnership with

    The George Washington University

    School of Business


    Panelists

    Ali Arar, Fimineco

    Lipika Hayet, Capital One


    Moderator

    Stephen Young, Wells Fargo


    Registration is Free!

    Sponsored by:

    Panelist Biographies

    Ali Arara graduate of the Masters of Science in Finance from GW had held several quantitative positions over a 20 years period.  Started with the introduction of loans securitization to the IFC portfolio, and then assumed several positions at Citigroup in the Decision Management division for the Global Consumer Group, a $1.6T portfolio managed by data driven strategies mapped to individual countries.  Established analytical teams in different countries and implemented a robust quantitative discipline to data mining and strategy derivation. Since 2006, he has established fimineco, an Investment Management boutique portfolio of businesses in technology, trading, online marketplace, security, analytics and cloud computing. Ali received an education in Law, and Political Science from Lebanon, BS in Business and Information systems from Xavier University, and GW MSF..  Along the years, Ali has worked with state of the art analytical packages like SAS, Matlab, and programmed with several languages.  Currently uses Python and R on Ubuntu grid.

    Lipika Hayet is a Senior Risk Manager for Consumer Credit Risk Management Group of Capital One.  She is responsible for acting as a risk advisor and building robust governance framework. Additionally, she is responsible for mitigating Regulatory Risk by conducting impact studies on regulations, where necessary, building frameworks to be compliant with the regulation, and integrating these frameworks into the all impacted businesses.  Prior to joining Capital One, Ms. Hayet worked at Fannie Mae and for the Board of Governors at the Federal Reserve.  Ms. Hayet holds a M.S. in Finance and Bachelors in MIS, both from The George Washington University.

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