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