NYC | Columbia

The Center for Financial Engineering at Columbia University announces the forthcoming

Workshop on Market Liquidity

(3.19.08 - registration for this event is now closed due to space constraints)

Columbia University, New York, April 4th 2008

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)

Website:   www.cfe.columbia.edu/

Inquiries:  cfe@columbia.edu

Registration: Registration is free of charge, but compulsory. Space is limited. To register please send an email with title "CFE REG" to emc2135@columbia.edu with your full name and institutional affiliation.

Directions: Davis Auditorium is located within the Schapiro Center, which can be found on the interactive map below: www.columbia.edu/about_columbia/map/

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

Sponsored by: Europlace Institute of Finance, ERM-II, Towers Perrin

Schedule: 9:00 Introduction, 9:10-9:45 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) More than indifferent: High-frequency trading in a limit order book, 3.30-4:00 Break, 4:00-4.45 Doyne FARMER (Santa Fe Institute), 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. www.cfe.columbia.edu/announcements/Market_Liquidity_Workshop/index.html