Bloomberg Quant (BBQ) Seminar Series – September 2023
In this seminar chaired by Bruno Dupire, Dr. Edward Altman, Max L. Heine Professor of Finance, Emeritus at the Stern School of Business, New York University, and Co-founder of Wiserfunding, Ltd., will present the keynote, followed by "lightning talks" of 5 minutes each in quick succession.
5:30 PM
Keynote: Dr. Edward Altman
Max L. Heine Professor of Finance, Emeritus at the Stern School of Business, New York University, and Co-founder of Wiserfunding, Ltd.
“Where Are We in the Credit Cycle?”
Dr. Altman will describe the credit cycle and propose a five indicator metric for determining where we are in the credit cycle. He will also comment on the outlook for credit markets in the leveraged finance market.
6:30 PM
Lightning Talks
- Sasha Stoikov | Cornell Financial Engineering Manhattan
Better than Bieber? Measuring song quality using human feedback
- Agathe Sadeghi | Stevens Institute of Technology
Causal discovery for non-stationary time series
- Rob Navin | Real Time Risk Systems LLC
Measuring intra-day volatility using first crossing time
- Ernesto Colon | Bloomberg
Tell me what will be read
Speakers
Bruno Dupire
Global Head of Quantitative Research, CTO Office
Bloomberg
Bruno Dupire is the Global Head of Quantitative Research, CTO Office at Bloomberg, which he joined in 2004. Prior to this assignment in New York, he has headed the Derivatives Research teams at Société Générale, Paribas Capital Markets and Nikko Financial Products where he was a Managing Director. He is best known for having pioneered the widely used Local Volatility model (simplest extension of the Black-Scholes-Merton model to fit all option prices) in 1993 and the Functional Itô Calculus (framework for path dependency) in 2009. He is a Fellow and Adjunct Professor at NYU and he is in the Risk magazine “Hall of Fame”. He is the recipient of the 2006 “Cutting edge research” award of Wilmott Magazine and of the Risk Magazine “Lifetime Achievement” award for 2008. He runs and organizes the Bloomberg Quant (BBQ) seminar, the largest monthly event of this kind.
Dr. Edward Altman
Max L. Heine Professor of Finance, Emeritus, and Co-Founder of Wiserfunding, Ltd
NYU Stern School of Business
Edward Altman is the Max L. Heine Professor of Finance Emeritus at New York University, Stern School of Business and Director of the Credit and Fixed Income Research Program at the NYU Salomon Center. Dr. Altman has an international reputation as an expert on corporate bankruptcy, high yield bonds, distressed debt and credit risk analysis. He is the creator of the world famous Altman Z-Score models for bankruptcy prediction of firms globally. Professor Altman was inducted into the Fixed Income Analysts Society Hall of Fame in 2001 and was amongst the inaugural inductees into the Turnaround Management Association’s Hall of Fame in 2008. Dr. Altman was named one of the “100 Most Influential People in Finance” by Treasury & Risk Management magazine and is frequently quoted in the popular press and on network TV. Dr. Altman has been an advisor to many financial institutions including Merrill Lynch, Salomon Brothers, Citigroup, Concordia Advisors, Investcorp, Paulson & Co., S&P Global Market Intelligence and the Risk Metrics Group, (MSCI, Inc.). He serves on the Board of Franklin Mutual Series and Alternative Investments Funds. He is also Chairman of the Academic Advisory Council of the Turnaround Management Association. His book, ”Corporate Financial Distress, Restructuring, and Bankruptcy” has been regarded an international authoritative guide on distressed firms. Finally, Dr. Altman co-founded the credit analytic fintech, Wiserfunding, Ltd., based in London and Mumbai, and he continues as that firm’s Senior Advisor.