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Speaker Series '04-'05

September 24, 2004 (From New York)
Raymond A. Kahn  — Lehman Brothers

Senior Vice President, Credit Facilitation Group
"Trading Contingent Credit Risk"

Mr. Kahn is head of the Credit Facilitation Group at Lehman Brothers. His responsibilities include trading, hedging, and managing the firm’s loan and counter party exposure, as well as implementing internal pricing models and capital allocation systems for the firm’s loan business. He joined Lehman in 1992 and has served in numerous capital markets positions including liability management, derivatives marketing, and financial engineering prior to taking on his current responsibilities in 2001. Raymond received an MBA from the Wharton School of Business in 1992 and a BA in Economics from the University of Michigan in 1988.


October 1, 2004 (From New York)
Greg Tell — Citigroup

Director, Global Structured Credit Products
"Frontiers of Credit Derivatives: Volatility Products"

Mr. Tell is currently a Director in the Global Credit Derivatives Group of Citigroup Global Markets Inc. In this role he is responsible for the trading and structuring of credit options and hybrid credit derivative products for North America. Prior to joining Citigroup, Greg worked for Merrill Lynch as a Director in the Global Credit Derivatives Group where he was responsible for exotic credit derivatives trading in North America including credit options and portfolio trading. At Merrill Lynch he also held roles as Global Head of Emerging Market Credit Derivatives and various trading positions in Latin American Local Currency products. He holds an MBA in Financial Engineering from the MIT Sloan School of Business and an undergraduate degree in Mathematics and Economics from Rutgers University.


October 29, 2004
David Ye— PNC

Chief Market Risk Officer of PNC Financial Services Group
"Risk Participation Agreements for Derivative Transactions”

Mr. Ye advises the Chief Risk Officer and the Board of Directors on market and liquidity risk impacts of major corporate strategies including M&A transactions and repositioning of balance sheets. Prior to the most recent position, David developed market and counterparty risk analytics for derivative and cash trading activities within the firm. David holds a B.S. in Mathematics from Fudan University in Shanghai, China, and a PhD. in Mathematics from Duke University.


November 5, 2004 (From New York)
Mary Beth Fisher — Bear Stearns

Associate Director, Interest Rate Strategy Group
"Discerning Relative Value on Agency Callable Debt Securities"

Ms. Fisher is an Associate Director in the FAST department (Financial Analytics and Structured Transactions), with the Interest Rate Strategy group where she is responsible for research, trade and hedge analysis covering Agency securities and interest rate futures. Mary Beth received her Ph.D. in Mathematics from Duke University in 1998, and a BA from DePauw University in 1987.


November 12, 2004 (From New York)
Michel Araten — JPMorgan Chase

Managing Director - Global Credit Portfolio Management
"Basel II Ratings - Implementation and Validation"

Mr. Araten is Managing Director of Global Credit Risk Management at JPMorgan Chase. For the last 12 years he has developed credit risk capital models for global retail, wholesale, and capital markets, and has completed a number of historical studies supporting these models. Michel holds a Ph.D. in Operations Research, an MS in Industrial Engineering, a BS in Chemical Engineering, and a BA, all from Columbia University.


November 29, 2004 (From New York)
Robert Ferstenberg — Morgan Stanley

Managing Director
"Towards a Rigorous Framework for Measuring Execution Costs in the Equity Investment Process"

Mr. Ferstenberg has worked for the past four years with algorithmic trading products at Morgan Stanley. Prior positions include seven years working at ITG, where he managed the financial engineering group. Mr. Ferstenberg has a PhD. from the Engineering School at Cornell and is a member of the MSCF Advisory Board.


December 3, 2004
Peter Acciavatti — JPMorgan Chase

Director, Global Structured Credit Products
"High Yield Strategies"

Mr. Acciavatti is Managing Director and Head of High-Yield Research and Global High-Yield Strategy at JPMorgan Chase. He was selected to Institutional Investor Magazine's 1999, 2000, 2001, 2002, 2003 and 2004 All-America Fixed-Income Research Teams. Mr. Acciavatti holds a BA in Finance and Management Information Systems from Albany State University and an MBA degree from Columbia University Graduate School of Business.


December 6, 2004
Louis Scott — Morgan Stanley

Executive Director, Market Risk
"Firm-wide Market Risk"

Dr. Scott is Executive Director and Head of Quantitative Research for Market Risk Department. His responsibilities include the design and methodology for the firm-wide Value at Risk (VaR) model and the approval of quantitative models used across equities, fixed income, and commodities. From 1983-1996, Louis was a Finance Professor at the University of Georgia and University of Illinois, and served as a Consultant to the International Monetary Fund from 1989-91. Louis received his Ph.D. in Economics from the University of Virginia in 1982, his MBA in Finance from Tulane in 1975 and a B.S. in Electrical Engineering from Duke in 1973.


December 17, 2004 (From New York)
Mark Howard — Barclays Capital

Director, Global Structured Credit Products
"Evolution of Credit Investing"

Mr. Howard is Managing Director and Global Head of Credit Research at Barclays Capital, the investment banking division of Barclays Bank PLC. He is responsible for the group’s research across all credit risky asset classes, including Investment Grade, High Yield and Emerging Market Corporates, Asset Backed Bonds and Convertible Securities. Prior to joining Barclays, Mark was Managing Director and Global Credit Strategist at Lehman Brothers.  Mark received his MBA in Finance from New York University and his Bachelor’s Degree in Economics from Colby College.


February 11, 2005 (From New York)
Jared Epstein — Morgan Stanley

Managing Director, Credit Derivatives
"Credit Markets Today"

Mr. Epstein has been at Morgan Stanley for five years.  Previously, Mr. Epstein worked with Lehman Brothers (seven years) and at the Federal Reserve Bank of New York (three years).  Mr. Epstein has a BA in Economics and International Relations from Tufts University.


February 18, 2005 (From New York)
Mark Mueller — GMO

Partner, Quantitative Research
"Active Currency Management: Overlay and Absolute Return"

GMO is a private partnership employing 300 people worldwide, managing $80 billion in client assets, $20 billion of which is in asset allocation strategies. Mr. Mueller is a partner at GMO and the Director of Quantitative Research in the Global Fixed Income group. His responsibilities include modeling of currency and bond returns for use in managing absolute return strategies and international bond portfolios at GMO. More recently he has also been involved in creating a new high-frequency trading group within GMO. Mark began his career in finance at Morgan Stanley in 1994, where he was a quantitative analyst in equity derivatives. His responsibilities there included the valuation of exotic options and other equity structured products. In 1996, Mark joined the U.S. fixed income proprietary trading group at Goldman Sachs, where he was responsible for creating and trading a variety of fixed income relative value trading strategies. Prior to working in finance, Mark worked for several years as a physics researcher. He holds a B.S. degree in Physics from the Massachusetts Institute of Technology and a Ph.D. degree in Physics from Stanford University.


February 25, 2005 (From New York)
Soma Rao — Citicorp

Managing Director, Global Fixed Income
"What Will the US$ Be Worth in 2010?"

Mr. Rao is a Managing Director with Citigroup in their Global Fixed Income division and works in their Foreign Exchange group . Soma joined the Salomon Smith Barney division of Citigroup in 1996 as the Currency Options manager. Prior to that he has held trading and sales positions with Republic Bank in New York and Mellon Bank in Pittsburgh, Pennsylvania.  Soma has an MBA from Carnegie Mellon University and an MS in Mechanical Engineering from the University of Pittsburgh.  Soma is a CFA and a member of the Association for Investment Management and Research and the New York Society of Security Analysts (NYSSA).


April 1, 2005 (From New York)
Alla Gil - Nomura Securities

Managing Director, International Capital Solutions Group
"Managing Financial Risks"

Ms. Gil is Managing Director and the head of International Capital Solutions Group at Nomura Securities. She is responsible for advising senior management of Nomura's worldwide clients on liquidity, currency, interest rate and credit risk, as well as asset/liability and economic capital management and optimization. Alla's background is in theoretical mathematics and optimization. She has 14 years of financial experience. Prior to Nomura, Alla worked at Citigroup, Goldman Sachs and CIBC. Financial risks analyzed by Alla's group take into account the possibility of stressful market conditions and extreme events by means of a risk measure that can be consistently used across various asset classes and incorporates fat tails of risk distributions. Alla will share some of what her team is doing and offer a few examples of original frameworks developed by her group.


April 8, 2005 (From New York)
Harry Mamaysky - Morgan Stanley

Vice President Trader
"Capital Structure Arbitrage"

Mr. Mamaysky is a vice president trader in the capital structure arbitrage group at Morgan Stanley. He has been at Morgan Stanley for three years, prior to which he taught at the Yale School of Management for two years. Mr. Mamaysky has a PhD in finance from the Massachusetts Institute of Technology.


April 22, 2005 (From New York)
Barry Cohen - Bear Stearns Securities

Senior Managing Director
"Is There A Hedge Fund Bubble?"

Mr. Cohen is the Director of Alternative Investments of Bear, Stearns and a member of Bear Stearns Asset Management's Board of Directors. Barry joined Bear Stearns in 1987 as head of its Risk Arbitrage Department. Prior to assuming his current position Barry was co-President and co-founder of the Bear Stearns Global Equity Arbitrage Funds. Prior to joining Bear Stearns in 1987, Barry was a risk arbitrageur at First Boston Corporation and a mergers and acquisitions lawyer at Davis Polk & Wardwell. He graduated summa cum laude from Harvard College and received J.D. and M.B.A. degrees from Harvard Law and Harvard Business Schools, respectively.

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