• C++ Programming for Financial Engineering
    Highly recommended by thousands of MFE students. Covers essential C++ topics with applications to financial engineering. Learn more Join!
    Python for Finance with Intro to Data Science
    Gain practical understanding of Python to read, understand, and write professional Python code for your first day on the job. Learn more Join!
    An Intuition-Based Options Primer for FE
    Ideal for entry level positions interviews and graduate studies, specializing in options trading arbitrage and options valuation models. Learn more Join!

Statistics for Financial Risk Management Conference - @Rutgers - @FSRM


The conference features talks and a panel discussion by an international roster of globally distinguished experts.

Program Agenda

8:30 – 9:15: Sign-in & Breakfast

9:15 – 9:30: Welcome Remarks

9:30 – 10:20: “Cascading Defaults and Systemic Risk of a Banking System(#FSRMJD)

Jin-Chuan Duan
, Cycle & Carriage Professor of Finance , Business School, National University of Singapore, is also a Professor in the Economics Department. Duan is known for his work on the GARCH option pricing model and also for directing a ‘public good’ initiative providing free and timely default predictions for over 60,000 exchange listed corporations globally. Duan is an Academician of the Academia Sinica and has been the Director of The Risk Management Institute since 2007. Prior to his coming to NUS, he held the Manulife Chair Professorship at the Rotman School of Management, University of Toronto.

10:40 – 11:30: “CoVaR in Very High Dimensions(#FSRMWH)


Wolfgang Härdle, Ladislaus von Bortkiewicz Chair of Statistics, School of Business and Economics, Humboldt-Universität zu Berlin. His research interests are smoothing methods, discrete choice models, statistical modeling of financial markets and computer-aided statistics. His most recent work deals with the modeling of implied volatilities and the statistical analysis of financial risk. He is the author or co-author of over 30 books in the fields of financial risk management, statistics and econometrics.

11:30 – 12:20: "Cross-lingual information arbitrage: Mitigating global market inefficiencies" (#FSRMJH).

James Hodson,
Manager of The Machine Learning and Statistical Inference group at Bloomberg LP, focuses on creating statistically driven solutions to information asymmetry problems in financial markets, increasing transparency and helping Bloomberg's global client base of financial professionals to make smarter investment decisions. Before joining Bloomberg in 2010, Hodson developed semantically-driven metrics at Princeton University for the evaluation of Machine Translation performance and worked on the EuromatrixPlus project at the German National Research Center for Artificial Intelligence in Saarbruecken, Germany.


12:20 – 01:20: Lunch

01:20 – 01:40: Inauguration of Rutgers Center of Excellence in Financial Statistics & Risk Management (#FSRMCE)

1:40 – 2:30: “Multivariate Time Series Models for Count Data with Applications in Trading Intensity(#FSRMRT)


Ruey S Tsay, H.G.B. Alexander Professor of Econometrics and Statistics, Booth School of Business, University of Chicago. Tsay has made fundamental and innovative contributions in univariate and multivariate time series models, outlier detection, volatility modeling, and risk assessment. He is the author of the widely used and award winning text book, Analysis of Financial Time Series. He has delivered invited lectures at the IMF and at events hosted by the central banks of several countries.

2:30 – 3:20: "Taming Black Swans with Statistics" (#FSRMHR)


Holger Rootzén, Professor of Mathematical Statistics, Chalmers University of Technology, Göteberg, Sweden. He is an elected member of the Royal Swedish academy of Sciences and an expert in Extreme Value Theory. His research focuses on the mitigation of the impact of extreme floods, windstorms, and heat waves caused by climate change; on handling risk in finance and insurance; and on using naturalistic driving studies to prevent car crashes. Rootzén leads a large Wallenberg project, "Big Data and Big Systems".

3:40 – 4:30: “Fragility and Precautionary Principles(#FSRMNT)

Nassim N. Taleb
, Former Trader, Distinguished Professor of Risk Engineering at New York University’s Polytechnic Institute. Nassim N. Taleb is a former derivatives trader who became a scholar in 2006. Although he is currently Distinguished Professor of Risk Engineering at New York University’s Polytechnic Institute, he self-funds his research and operates in the manner of independent scholars. Taleb is the author of The Black Swan (2007–2010) and Antifragile (2012). His works focuses on model error and decision making under opacity, as well as mathematical and philosophical problems with probability, in other words on "what to do in a world we don't understand".

4:30 – 5:30: Moderated Panel Discussion - All Speakers: ”Better Risk Management in an Opaque World(#FSRMPN)

5:30 – 7:00: Reception: Wine and Hors d'Oeuvres

VENUE: Fiber Optics Auditorium, Rutgers University, 101 Beview Road, Piscataway, NJ 08854