Modern practice in risk management has raised concerns about the robustness of risk measurement.

In the context of portfolio management, new focus has been placed not only on the issue of risk measurement, but also on the issue of performance evaluation. In this workshop, we invite worlds leading scholars on risk management and performance evaluation to share their expertise on the subject. The talk covers: Risk management using robust techniques Model risk Portfolio view in measuring and managing risks Modern practice in portfolio performance measurement Techniques in evaluating funds performance

Dusit Thani Hall, Dusit Thani Hotel

Venue

13:30-13:45 13:45-15:00

Program

Advanced Portfolio Management: Robust Risk Management, Model Risk, and Performance Evaluation
July 9, 2012 13:30-16:30

15:00-15:15 15:15-16:30

Course overview (In Thai) by Associate Professor Sunti Tirapat Robust Risk Management and Model Risk by Professor Paul Glasserman Coffee Break Advance Techniques in Performance Evaluation by Professor Russ Wermers

Regristration form is available for download at www.msn.acc.chula.ac.th Please follow the instruction provided in the registration form. The registration deadline is June 30, 2012.

Registration

M S I N F I N A N CE

Paul Glasserman

Jack R. Anderson Professor Graduate School Of Business Columbia University

Associate Professor of Finance Robert H. Smith School of Business University of Maryland at College Park

Russ Wermers

Professor Paul Glasserman is Jack R. Anderson Professor of Business at Columbia University, New York. His research and teaching address risk management, the pricing of derivative securities, and Monte Carlo simulation. He has also held visiting positions at Princeton University, NYU, and the Federal Reserve Bank of New York. Professor Glasserman's publications include the widely-acclaimed book Monte Carlo Methods in Financial Engineering (Springer, 2004), which received the 2006 Lanchester Prize and the 2005 I-Sim Outsanding Publication Award. He has received awards from various organizations, including the 2004 Wilmott Award for Cutting-Edge Research in Quantitative Finance and Risk Magazine's 2007 Quant of the Year Award. Professor Glasserman is currently working for the Ofce of Financia l Research (OFR), an agency within the Treasury Department that is established by the Dodd-Frank Wall Street Reform and Consumer Protection Act to promote more robust and sophisticated analysis of the nancial system.

Russ Wermers is an Associate Professor of Finance at the Smith School of Business, University of Maryland at College Park, where he won a campus-wide teaching award during 2005. His main research interests include studies of the efciency of securities markets, as well as the role of institutional investors in setting stock prices. Most notably, his past research has developed new approaches to measuring and attributing the performance of mutual funds, pension funds, and hedge funds, as well as devising winning strategies for investing in these funds. Professor Wermers also studies the investment behavior of these asset managers, as well as the impact of their trades on stock markets. His papers have been published in The American Economic Review, The Journal of Financial and Quantitative Analysis, The Journal of Financial Economics, and The Journal of Finance. His article on mutual fund herding and stock prices (Journal of Finance, 1999) won the NYSE Award for the Best Paper on Equity Trading in 1995. His coauthored article on mutual fund performance was a nalist for the Smith-Breeden Award for the Best Paper in the Journal of Finance during 2006/2007. Professor Wermers consults for the hedge fund, pension fund, and mutual fund industries. He is coauthor of a book on performance evaluation and attribution for academics and practitioners, available during Fall 2012. He received his Ph.D. from the University of California, Los Angeles, during 1995. Topic Portfolio performance measurement is carried out in practice using mainly two approaches: holding-based measures and return-based measures. This talk begins by reviewing the basics of the two approaches, and then proceeds to discuss recent developments of returns-based models that are used to evaluate asset managers in various fund structures, such as equity and xed-income mutual funds, hedge funds, and institutional managers. We will also discuss advanced econometric modications of such models, designed to accommodate the complexities of asset manager strategies and security characteristics.

Topic Recent advances in risk management have led researchers to consider the implications of model risks, which arises from model misspecication or issues in statistical estimation. The newfound focus on this type of risk is particularly relevant in the portfolio management, as the optimal allocation of assets is highly sensitive to the method of parameter estimation and model error. As this issue becomes a focal interest of both practitioners and regulators alike, there is a growing need for new techniques that are robust and reliable for measuring and controlling the model risk. This talk addresses this increasingly important issue and discusses a novel, robust approach for measuring and controlling model risks, with special allusion to the application in portfolio risk management. The session will also explore the effect of parameter uncertainty in various nancial models, and techniques of risk measurement in the face of such uncertainties.