Events

Workshop on Market Liquidity, April 4 2008

04/04/2008



Workshop on Market Liquidity

Davis Auditorium, Columbia University
Friday, April 4th 2008

Note: registration for this event is now closed

The recent financial market crisis has brought the subject of market liquidity into the forefront of discussions on financial markets. What causes market illiquidity? How can liquidity be measured? How does liquidity affect asset pricing? How should risk managers take liquidity into account? The objective of this one-day workshop is to bring together a panel of experts in quantitative finance and financial economics in order to discuss the state of the art in research on some of these delicate and difficult issues.

Topics:

Liquidity risk measurement and management

Market microstructure and order book dynamics

Asset pricing in illiquid markets

Economic modeling of liquidity

Speakers:

Carlo Acerbi (AbaxBank, Milan)

Rama Cont (Columbia University)

Doyne Farmer (Santa Fe Institute)

Michael Johannes ( Columbia University)

Donald F. Mango ( Guy Carpenter & Co)

Til Schuermann (Federal Reserve)

Sasha Stoikov (Columbia University)

Gary Venter (Guy Carpenter & Co)

Registration:

Registration for this event is now closed.

Directions:

Davis Auditorium is located within the Schapiro Center, which can be found on the interactive map below:

http://www.columbia.edu/about_columbia/map/


Inquiries:

Scientific Committee: Mark Broadie, Rama Cont, Michael Johannes.

Sponsored by:

Schedule:
9:00 Introduction

9:15-9:45 Michael JOHANNES (Columbia Graduate School of Business)
Thoughts on the liquidity crisis

9.45-10:45 Til SCHUERMANN (Federal Reserve Board)
Banks as liquidity providers of second-to-last resort

10.45-11.15 Break

11:15-12:00 Gary VENTER (Guy Carpenter & Co)
Practitioner Confusions about Incomplete Markets Examples from Insurance

12:00-12:45 Rama CONT (Columbia University IEOR Dept)
Liquidity, feedback effects and correlation risk

12:45–2:00 Lunch Break

2:00-2:45 Carlo ACERBI (Abaxbank, Italy)
A coherent formalism for measuring liquidity risk

2.45-3.30 Sasha STOIKOV (Columbia University IEOR Dept)
A model for the evolution of an order book

3.30-4:00 Break

4:00-4.45 Doyne FARMER (Santa Fe Institute)
What moves prices?  Thoughts on market impact and information

4.45-5.30 Donald MANGO (Guy Carpenter & Co)
The Reinsurance Market: an In-Depth Look at a Low Liquidity Market for Risk

5:30 Discussion. Cocktail.