User Name :
Password :
Forgot Password
Invalid Login
Advanced search
 
 2 March 2009
   
 
Introduction
Calendar
Past Events

Past Events


Date

Event Details

4 September, 2003

Advanced Analytical Methods for Pricing Interest Rate Derivatives
By : Mr K V Subramanian
Hosted by : CAFS at IFMR and ICICI Research Centre

Duration: Sept 4-6, 2003

The seminar covered the analytical and numerical techniques currently used to price financial derivative securities - interest rate derivatives in particular. The objectives of the course were twofold:

•  To develop a generic analytical framework to value complex derivative securities.
•  To learn some numerical techniques to help price such securities.

About the Speaker:

K. V. Subramanian is a PhD student in Finance at the Graduate School of Business, University of Chicago.

K. V. Subramanian is an Electrical Engineer by training from the Indian Institute of Technology, Kanpur and an MBA in Finance from the Indian Institute of Management, Calcutta.



Abstract | Download Proceedings file



29 July, 2003

Some Real-Life Applications And Implementations Of Optimization In Financial Services
By : Dr. Suresh Nair
Hosted by : CAFS at IFMR and ICICI Research Centre

Duration: 5:30 p.m. to 7:00 p.m.

Venue: C4, 9th Floor, North Tower, ICICI Bank Towers, BKC, Bandra (E), Mumbai - 400 051.

Kindly Register Online.

A repeat of this event will be held at 2:00 p.m on July 31, 2003 at IFMR, 24, Kothari Road, Nungambakkam, Chennai - 600034. No Registration required

About the talk:
Mr. Suresh Nair will talk about three projects he has worked on recently in the US. The first is on determining optimal sweeps to reduce reserve requirements for US banks. Sweeps from transaction (checking) accounts to money market reduces the amount of required reserve since 10% of transaction account balances should be held in reserve, and there is no such requirement for money market accounts. However, transfers back to the transaction account to cover withdrawal needs is constrained by Regulation D of the Federal Reserve that specifies a maximum limit of 6 such transfers per month.  He will detail a stochastic dynamic programming model that was found to be very effective for this problem, and is being implemented. The second project deals with improving acquisition of new credit card customers using direct mail by sequencing different offers over time. A system called CANARY (Control Algorithm to Navigate Acquisition Response and Yield) was developed to take advantage of past contact history. This model has been tested. Test results are being read now.  The third project addresses line management and pricing of credit card accounts. The paper based on this project was a winner of the 2002 INFORMS Daniel H. Wagner Prize for Excellence in the Practice of Operations Research. The model and the approach used overcome problems with applying Markov Decision Process techniques to real applications with millions of states.

About the Speaker:

Dr. Suresh Nair did his B.S. from IIT, Kharagpur and M.S and Ph.D. from Northwestern University.

He is a Professor and Ackerman Scholar, School of Business, University of Connecticut and Visiting Research Consultant, Management Science Group, US Private Client, Merrill Lynch, Plainsboro, New Jersey.


Abstract | Download Proceedings file



8 April, 2003

Seminar on Understanding the Recovery Rates on Defaulted Securities
By : Dr. Viral Acharya, London Business School
Hosted by : CAFS at IFMR and ICICIresearchcentre.org

Duration: 5:30 p.m. to 7:00 p.m.

Venue: C4, 9th Floor, North Tower, ICICI Bank Towers, BKC, Bandra (E), Mumbai- 400 051

Kindly register online

About the talk:
Dr.Acharya will present a paper on "Understanding the Recovery Rates on Defaulted Securities" co-authored with Sreedhar T. Bharath and Anand Srinivasan. They have empirically documented the determinants of the observed recovery rates on defaulted securities in the United States over the period 1982-1999. The recovery rates are measured using the prices of defaulted securities at the time of default and at the time of emergence from bankruptcy. In addition to seniority and security of the defaulted securities, and profitability and tangibility of assets of the defaulted firms, industry and macroeconomic conditions at the time of default are found to be an important determinant of the recovery rates. In particular, recovery in a distressed state of the industry (mean annual stock return for the industry firms being less than - 30%) is lower than the recovery in a healthy state of the industry by 20 cents on a dollar. The firm-specific determinants of recovery rates
appear to be different from the firm-specific determinants of default risk of the firm (proxied by Altman's Z-score). Their results underscore the existance of substantial variability in recoveries, in the cross-section of securities as well as in the time-series, and highlight its key determinants.

About the Speaker:
Dr. Viral Acharya is B.Tech. (IIT, Bombay) and Ph.D. (Stern School of Business, New York University). He is an Assistant Professor of Finance at London Business School.

His reasearch interests include Corporate Finance, Banking and Regulation of Financial Institutions, Risk Management, General Equilibrium and its Implications for Agency Theory, and Valuation of Corporate Debt.

Abstract | Download Proceedings file



26 December, 2002

Computation and Optimization of VaR of Structured Bond Portfolios
By : Dr. Arun Verma, Cornell Theory Centre, USA
Hosted by : ICICIresearchcentre.org and CAFS at IFMR

Time: 5:30 pm.

Venue: Auditorium, Eleventh Floor, South Tower, ICICI Bank Towers, BKC, Bandra (E), Mumbai - 400051

Kindly register online

About the talk:
The speaker will talk about the use of the new Least Squares Monte Carlo (LSM) method to effectively compute VaR of structured bonds in the simulation framework and show that this method outperforms both the delta-gamma method and the standard method where the instrument is valued afresh at each interest rate value at the horizon.

About the speaker:
Dr. Arun Verma holds a  Ph.D in computer Science from Cornell University and obtained a Bachelor degree in the same field from IIT, New Delhi. Dr. Verma has since been working with Cornell Theory Center's (CTC) computational finance group. He was one of the first members of CTC-Manhattan, the risk management and computational finance consulting
arm of CTC based in wall street and serving the financial industry . He has been involved in consulting  investment banks, hedge funds and software companies in the area of exotic derivative pricing, portfolio optimization and algorithmic and computational methods development. Dr. Verma's recent work includes VaR computation of exotic fixed income portfolios using Monte Carlo simulation, optimal portfolio selection via VaR minimization, development of liquidity-based portfolio enhancement techniques and parallelization of financial algorithms for implementation under Windows .NET clusters

Abstract | Download Proceedings file



19 December, 2002

Does Skewness Matter? Evidence from the Index Options Market
By : Dr. Madhu Kalimipalli
Hosted by : CAFS at IFMR and ICICIresearchcentre.org

Duration: 5:30 p.m. to 7:00 p.m.

Venue: C4,9th Floor, North Tower, ICICI Bank Towers, BKC, Bandra (E), Mumbai- 400 051

The speaker will present the research findings of his paper "Does Skewness Matter? Evidence from the Index Options Market", co-authored with Ranjini Sivakumar. They have modelled the temporal properties of the first three moments of asset returns and examined whether incorporating  time varying skewness in the underlying asset returns leads to
profitable strategies using at-the-money S&P; 500 index options. They have devised trading rules that incorporate the skewness forecast to trade at-the-money delta-neutral strips, straps and straddles. They found that a simulated trading strategy using a model with both conditional volatility and skewness is profitable before and after adjusting for transaction costs. The results indicate that index option prices for at-the-money options do not reflect time varying skewness. The evidence suggests that mispricing of options may cause the negative skewness in the implicit risk-neutral distribution in option prices.


Abstract | Download Proceedings file



25 October, 2002

Non-performing Assets of Commercial Banks: An Analytical Exercise
By : Prof. Sugata Marjit, Centre for Studies in Social Sciences, Kolkata
Hosted by : ICICIresearchcentre.org and IFMR

Time: 5:30 pm.

Venue: C4, Ninth Floor, North Tower, ICICI Bank Towers, BKC, Bandra (E), Mumbai-400051

Kindly register online.

About the talk:
The speaker will be presenting his joint paper co-authored with Samaresh Bardhan. In the paper, the authors provide a new analytical framework for the critical assesmemt of the non-performing assets (NPAs) of commercial banks and implement it with statistical evidence.

About the speaker:
Prof. Sugata Marjit is currently Professor of Economics at the Centre for Studies in Social Sciences, Kolkata. He has a Ph.D. in Economics from the University of Rochester and prior to that, he had completed his Bachelor's and Master's Degrees in Economics from the University of Calcutta. Before taking up his current position, he had held prestigious positions like the Sukhamoy Chakrabarty Professor of Economics at the Jawaharlal Nehru University, New Delhi, Professor of Economics at the Indian Statistical Institute and Senior Lecturer at Monash University, Australia.  The visiting positions held by him include  Professorships at the University of Bonn, University of Konstanz, University of Munich, Erasmus University,Rotterdam and The Chinese University of Hong Kong, Associate Professorship at the University of Rochester and Assistant professorships at Cornell University and Pennsylvania State University. His research interests include International Trade and Development: Theory and Policy, Banking and Finance, Politics and Economics of Regional Development in India, Corruption and Governance.


Abstract



7 October, 2002

Does the Stock Market Get It Before the Credit rRating Agencies ? A Test of the Merton Model
By : Dr. Susan Thomas, IGIDR, Mumbai
Hosted by : ICICIresearchcentre.org and IFMR

Time: 5:30 pm

Venue: C8,9th Floor, South Tower, ICICI Bank Towers, BKC, Bandra (E), Mumbai

Kindly register online.

The speaker will be presenting her joint paper co-authored with Dr. Ajay Shah and Prof. Rajeeva L. Karandikar. The paper evaluates the performance of "Distance from Default" (an index of firm-specific credit worthiness) vis-a-vis credit rating changes using an event-study framework.

Abstract | Download Proceedings file



20 August, 2002

A Talk on Monetary Policy for Traders
By : Dr. Sumantra Sen
Hosted by : ICICIresearchcentre.org and IFMR

Time: 5:30 p.m.

Venue: C4,9th Fl., North Tower, ICICI Towers, BKC, Bandra (E), Mumbai

Kindly register online.

The speaker will explain the basic principles of Monetary Economics and provide the insights into understanding and interpreting correctly the signals provided by the Monetary Policy.

Abstract



6 August, 2002

A Talk on - Weathering the Storm: How Companies coped with Liberalization / Recession in 90s?
By : Dr Sanjiv Phansalkar and Mr Sachin Mardikar
Hosted by : ICICIresearchcentre.org

Time: 5:30 p.m.

Venue: C4,9th Floor, North Tower, ICICI Towers, BKC, Bandra (E), Mumbai


Kindly register online.

Supported by  a grant from the ICICI Research Centre, the authors have undertaken a research into factors that led to superior performance of high performing Indian companies during the decade of the nineties, inspite of East Asian Crises and slowdown in the economy thereafter.



Abstract



26 June, 2002

Auctions and Treasury Security Markets
By : Prof. Sushil Bikhchandani
Hosted by : ICICIresearchcentre.org

Time: 5:30 p.m.

Venue: C4,9th Floor, North Tower, ICICI Towers, BKC, Bandra (E), Mumbai


Kindly register online.

A variety of goods are sold by auction. This talk will focus on auctions of government treasury securities.  Rules of commonly observed auctions are described and an overview of auction theory is provided. At the core of most treasury securities markets is an auction.  Insights from the auction literature are used to analyze treasury securities markets.

Abstract | Download Proceedings file



27 May, 2002

Lessons from a Global Recession: An Application of Leading Indicator Approach
By : Prof. Pami Dua (DSE) and Dr. Anirvan Banerji (ECRI)
Hosted by : ICICIresearchcentre.org

Duration: 5:00 p.m. to 7:00 p.m.

Venue: C4,9th Floor, North Tower, ICICI Bank Towers, BKC, Bandra (E), Mumbai- 400 051

Kindly register online


As the economy is further liberalised to become more market-oriented and open to the forces of globalisation, the leading indicators' approach will become even more vital for market players to foresee turning points in the domestic and global economy.




Abstract | Download Proceedings file



14 May, 2002

Financial Intermediation: Focus vs Diversification
By : Dr.Viral Acharya, London Business School
Hosted by : ICICIresearchcentre.org

Time: 5:30 p.m.

Venue: C4,9th Fl., North Tower, ICICI Towers, BKC, Bandra (E), Mumbai


Kindly register online.

The talk will primarily present the research findings of the paper "The Effects of Focus and Diversification on Bank Risk and Return: Evidence from Individual Bank Loan Portfolios" by Acharya, Hasan & Saunders. The study estimates the effect of focus vs diversification on the return and the risk of banks using data from 105 Italian banks over the over over the period 1993–1999

Abstract



11 May, 2002

Understanding the Recovery Risk of Defaultable Securities
By : Dr.Viral Acharya, London Business School
Hosted by : ICICIresearchcentre.org and Institute for Financial Management and Research (IFMR)

Time: 9:30am to 12:30pm

Venue: IFMR, 30, Kothari Road, Nungambakkam, Chennai 600 034

Kindly register online.

The talk will discuss the following topics:
1) Is there recovery risk?
2) Is recovery risk different from default risk?
3) Is recovery risk affected by firm-specific and macro-economic conditions?
4) What is the effect of type of debt on the extent of its recovery risk?
5) What are the implications of recovery risk for credit-risk measurement
and
management?


Abstract



21 March, 2002

An International Conference on Regulation of Financial Intermediaries in Emerging Markets
By : IIMA and ICICIresearchcentre.org
Hosted by : ICICIresearchcentre.org

The aim of the conference is to enable us to prepare a "vision document" for the future of financial regulation in India by identifying where we are, where we would like to be and why and how we get there.

Kindly register online for the event. The participation fee for the conference is Rs. 15,000 per person for one day.

Abstract



16 February, 2002

Risk Management In Extremis
By : Dr. Desmond Fitzgerald
Hosted by : ICICIresearchcentre.org

Venue: C4,9th Floor, North Tower, ICICI Towers, Bandra Kurla Complex, Bandra ( E), Mumbai

Time: 11 a.m.

Kindly register online

This presentation will examine specific risk management issues that cause worries for the control of a derivatives trading or arbitrage book.  The aim is to identify a selection of cases where traditional risk numbers and controls may break down, and the precautions that can be taken to protect against such cases causing undue damage to the P/L.



Abstract | Download Proceedings file



11 February, 2002

The GARP 3rd Annual Convention & Exhibition
By : GARP
Hosted by : GARP

11th - 14th February, 2002, The Roosevelt Hotel, New York
The Global Association of Risk Professionals (GARP)

For more details : http://www.garp.com/events/garp2002

or contact: Andreas Simou
Conference Director, GARP
Tel: +44 (0)20 7626 9301
Fax: +44 (0)20 7626 9900
www.garp.com


Abstract



17 January, 2002

Designing of a Sound Financial Market Structure in Post-Crisis Asia
By : ADBI
Hosted by : ADBI , ICICIresearchcentre.org and Clearing Corporation of India

This event is scheduled to be held at :

Mumbai January 17, 2002
Delhi: January 18, 2002

This event is by invite only

Abstract



15 January, 2002

Modelling and Management of Credit Risks in Emerging Markets
By : Mickey Bhatia, GARP member Soren Plesner, GARP regional director, Denmark, Ludger Overbeck, Deutche Bank
Hosted by : ICICIresearchcentre.org & GARP India Chapter

The event is a two day event - January 15 - 16, 2002.Please see Agenda for details.This is a paid event and the total cost is rs. 9500/- for two days

Venue: Mumbai

Kindly register online and contact Aparna Mangaonkar (Business Asia ) at : 6007634 for the event

Abstract



13 December, 2001

Spread-based Models of Credit Risk: Theory and Calibration
By : Viral Acharya, London Business School
Hosted by : GARP India Chapter & ICICIresearchcentre.org

Time: 5:30 p.m.

Venue: C4,Ninth Floor, North Tower, ICICI Towers, ICICI Limited, Bandra Kurla Complex, Bandra East, Mumbai- 400 051, India
Kindly register online for the event.


Abstract | Download Proceedings file



11 December, 2001

Selecting and Evaluating Credit Risk Models - an Internet Conference
By : Erisk
Hosted by : ICICIresearchcentre.org

Speaker: Craig Friedman, Managing Director, Head of Quantitative Analytics,
Standard & Poor's Risk Solutions, New York
Arnaud de Servigny, Director, Standard & Poor's Risk Solutions, London


You may log into the event directly by going to www.erisk.com or may join ICICIresearchcentre.org at C4, Ninth Floor, North Tower, ICICI Limited , Bandra Kurla Complex, Bandra (E), Mumbai


Time: 10:30 p.m.

Abstract



8 October, 2001

Risk Management for Housing Finance
By : S. Rajagopalan  ,Regional Chief, LIC Home Finance,Nitin Palany ,Managing Director, Sundaram Home Finance Ltd.,Sudhir Choksey,Managing Director, Gruh Finance ,Piyush Tiwari,Professor, Institute of Policy and Planning Sciences, Japan, Madhabi Puri Buch, ICICI Ltd. N.S. Kannan, ICICI ltd.
Hosted by : ICICIresearchcentre.org

Venue:The Lotus Room, The Oberoi Hotel, Mumbai

To attend please contact Preeta Misra at Business Asia.
Ph:+91 22 6007634

email:preeta.misra@bisasiaconsult.com



Abstract



14 September, 2001

Workshop on Stochastic Calculus
By : Dr. Rajeeva L. Karandikar, Indian Statistical Institute, New Delhi
Hosted by : Business Asia , ICICImarkets.com and ICICIresearchcentre.org

While the area of Stochastic Calculus is highly technical, in this short programme an effort would be made to make it understandable to people working in or practicing finance. The examples considered would be from applications to finance. Thus we would introduce and discuss various terms from stochastic calculus relevant to finance. These include Martingales, Stopping Times, Equivalent Martinagle Measures.

to attend this please contact:
Preeta Misra
Business Asia
Ph: +91 (022)600763

Abstract



10 September, 2001

Advanced VaR - A Workshop
By : Dr. Nachiket Mor, ICICI Bank, Dr. Gangadhar Darbha, NSE, Ms. Rekha Warriar, RBI, Dr. Susan Thomas, IGIDR,Mr. Krishna Majithia, Citibank, Dr. Ajay Shah IGIDR, Ms. Mandira Sarma, IGIDR
Hosted by : ICICImarkets.com , ICICIresearchcentre.org and Business Asia

Participants should know the following:
What is VaR
The relationship between VaR and initial margin at the futures clearing corporation
The basic idea of volatility clustering
The basic idea of ARCH models.
To attend pls contact: Preeta Misra, Business Asia ph: +91(22)6007634
Venue: Mayfair South, Mayfair Rooms, Worli, Mumbai


Abstract



5 September, 2001

From setting transaction credit limits to credit portfolio risk management and optimisation
By : Mr. Alan Yarish
Hosted by : ICICIresearchcentre.org

Time: 5 pm London Time (GMT)
Log on to www.Erisk.com for the event.you need to have an internet connection and a phone with ISD connection.

Please look in the abstract for details on how to set up an internet conference.

ICICIresearchcentre.org will also be logging on to the internet conference at :
C4, Ninth Floor, North Tower
ICICI Towers,
ICICI Limited
Bandra Kurla Complex,
Bandra(E), Mumbai, India

To attend the i- conference at ICICI Towers in India please register here.

Abstract



28 August, 2001

Mathematics of Financial Markets: Overview and some recent developments
By : Mr Kishore Marathe
Hosted by : ICICIresearchcentre.org

Shri Kishore Marathe, Professor of Mathematics at Brooklyn College and Professor of Physics at the City University of New York.

Abstract



17 August, 2001

Managing an Equity Derivatives Desk
By : Sanjay Dighe
Hosted by : ICICIresearchcentre.org

Date   : August 17, 2001
Venue: C4, Ninth Floor, North Tower, ICICI Towers, Bandra-Kurla Complex, Mumbai 400 051, India
Time  : 5.30 p.m.
Please register online for the event


Abstract | Download Proceedings file



26 June, 2001

VaR and beyond....
By : Panelists from public sector banks, private sector banks and Reserve Bank of India
Hosted by : GARP and ICICIresearchcentre.org

A panel discussion on the  risk practices followed by financial institutes in India and abroad.

Panelists :    

           Tarun Mehrotri - Treasurer , HSBC
   R.K. Chugh- IDBI Bank    Ashok Naag- Reserve Bank of India
Krishna Majithia - Citibank
Nachiket Mor - ICICI ltd. ( Moderator)
Time:5.30 p.m.

Venue: C4, Ninth Floor, North Tower,
ICICI Limited
ICICI Towers
Bandra- Kurla Complex ,Bandra (East)
Mumbai- 400 051
India



Abstract | Download Proceedings file



12 April, 2001

Evaluating India’s Fiscal-Monetary Policy Nexus
By : Professor Vivek Moorthy, IIM Bangalore
Hosted by : ICICIresearchcentre.org

This study uses theoretical analysis of the interaction between fiscal and monetary policy to assess the economic impact of more market borrowing, since 1991, to finance the deficit.

Vivek Moorthy is a Professor in the Economics and Social Sciences Area at IIM Bangalore.

Venue: C4, 9th Floor, North Tower,  ICICI Towers,
ICICI limited, Bandra Kurla Complex
Mumbai - 400 051

Time: 6 P.M.

All are invited.
Kindly email to register at:
iciciresearchcentre@icici.com

Abstract



6 March, 2001

The Budget and the Indian Economy
By : Dr. Omkar Goswami , Chief Economist , CII
Hosted by : ICICIresearchcentre.org

The talk will focus on the major issues facing the Indian
economy and an analysis of the budget in the background of these issues. All are invited.

Venue: 9th Floor,North Tower, ICICI Towers, Bandra Kurla Complex
Time: 5.00 p.m.





Abstract



15 February, 2001

Commodities: The Next Step (Day 2)

The Commodities that will be addressed are:
- Gold
- Petro - Energy Derivatives
- Agriculture  
- Metals and Base Metals


Abstract



14 February, 2001

Commodities: The Next Step (Day 1)

The Commodities that will be addressed are:
- Gold
- Petro - Energy Derivatives
- Agriculture  
- Metals and Base Metals


Abstract



10 February, 2001

Futures and Options Trading Strategies in Indian market
By : Nachiket Mor and the ICICI team
Hosted by : ICICIresearchcentre.org

A Seminar on Derivatives was organized by the The Stock Exchange, Mumbai and ICICI at the BSE Training Institute on February 8, 2001.   The objective of the seminar was to simplify the trading in Futures and Options to all the market participants.  The focus group invited for the seminar constituted of Fund Managers from Mutual Funds, Financial Institutions, Broker members and Heads of Bank Treasury.



Abstract | Download Proceedings file



11 January, 2001

Global and Financial Trends in the New Millennium
By : Professor Anthony Saunders.
Leonard N. Stern School of Business,
New York University.
Hosted by : ICICIresearchcentre.org

Venue: C4, 9th Floor,
             North Tower, ICICI Towers,
             Bandra-Kurla Complex,
             Mumbai - 400 051, India.

Time: 5.30 p.m.



Abstract | Download Proceedings file





           
© 2001-2002 ICICIresearchcentre.org. All rights reserved. Disclaimer This site is best viewed in 800x600 · IE 4.x and Netscape Navigator 4.x