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Kvant-Netværket II-2012

Startdato 18-04-2012, 09:00 - 17:00
Sted Vartov, Farvergade 27, opgang H
Registrering:

Fra kl. 8.30

inkl. efterfølgende middag (ca. kl. 18-20)

 
Priser:
Kun for medlemmer af netværket.
Medlemskab koster kr. 4000 ekskl. moms p.a. for to heldagsmøder og evt. kortere midtvejsmøder samt en årlig middag.


 
     
Program

 
08.30

Registrering og morgenbord
 

09.00 Velkomst

09.10 Siden sidst (grupper)
 
09.35 Tail Risk - an introduction
Claus Madsen
 
Præsentationer ved paneldeltagere
10.00 Sebastian Åberg
10.20 Johannes Rebel
10.40 Claus Madsen

11.00 Forberedelse i grupper før paneldebat
 
11.30 Paneldebat om halerisiko

12.30 Frokost
 
13.30
Financial Frictions
Lasse Heje Pedersen

Lasse H. Pedersen received his Ph.D. from the Stanford Graduate School of Business and his B.S. and M.S. from the University of Copenhagen. He joined CBS from New York University where he is on leave as the John A. Paulson Professor of Finance and Alternative Investments at the Stern School of Business. He is a research associate at CEPR and NBER and part of the Liquidity Working Group meeting at the Federal Reserve Bank of New York to address liquidity issues. He also serves on the New York Fed’s Monetary Policy Panel, on the Board of Directors of the American Finance Association, the Economic Advisory Boards of NASDAQ and FTSE, as a principal at AQR Capital Management, and as associate editor at the Quarterly Journal of Economics, Journal of Finance, Journal of Economic Theory, and The Review of Asset Pricing Studies. His academic awards include the Fama/DFA First Prize for the best papers published in the Journal of Financial Economics.
 
14.30 Walk-and-talk
 
15.00

ALM

Jan Bo Jakobsen & Anders Brun Plum

Jan Bo Jakobsen er cand.oecon. (nationaløkonomi) fra Århus Universitet og Ph.d. (Financial Economics) fra University of Southampton. Har været lektor på Institut for Finansiering, CBS, og derefter Chief Portfolio Manager og Partner i Nordea Investment Management. Har siden 2003 været selvstændig. Fra 2003-2011 arbejdet som konsulent på ALM-relaterede problemstillinger for institutionelle investorer. Solgt sin virksomhed i 2011 og er i dag ved at opbygge nye virksomheder, som er specialiserede indenfor investeringsområdet til institutionelle investorer i ind- og udland. Fokus er på Absolut Returns dels via Likvid Trading og dels via en Private Equity Fund. Er derudover involveret i en konsulentvirksomhed, som er under opstart, samt diverse netværk og frivilligt arbejde.

16.15 Opsamling
 
16.45 Forfriskninger
 
18.00 Middag
hos Chit Chat, Sankt Peders Stræde 24A, t3333 9339.
 

 
Downloads
 

Tail Risk - an introduction

v/ Claus Madsen

Heads and Tails of a Derivative Model
v/ Sebastian Åberg

Halerisiko
v/ Johannes Gauger Rebel

Tail Risk - Measuring
v/ Claus Madsen

Financial Frictions
v/ Lasse Heje Pedersen

ALM Illustration
v/ Anders Plum & Jan Bo Jakobsen

 

Mere information

As a participant in the CFA Institute Approved-Provider Program, CFA Denmark has determined that this event qualifies for credit for the CFA Institute Professional Development Program.
Eligible for 3.75 credit hours.



 


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