Previous SFRA Risk Colloquia

The Second Risk Colloquium, 17 March 2011

The Colloquium was very well subscribed, with a near-capacity audience of 110 in the modern auditorium of the Informatics Forum of the University of Edinburgh.

The Colloquium explored the theme of Absolute Returns and Hedge Funds. Hedge funds are an increasingly important part of the financial landscape, and the Colloquium focused on shedding light on some of the risk issues surrounding the world of hedge fund investment and the pursuit of "absolute returns".

The first session explored risk modelling, performance measurement and computational issues, and a general interest second session examined the "bigger picture" of the role of hedge funds and the regulation of alternative investments. The final presentation of the day was a keynote address from Professor Bill Fung, London Business School.

Presentations from the Day:

SFRA Update - Professor Alexander McNeil, Director, Scottish Financial Risk Academy

Factor Model Based Risk Management for Hedge Funds and Fund of Hedge Funds - Professor Eric Zivot (University of Washington, Seattle)

Algorithmic Trading and Flash Crashes – Professor Philip Treleaven, UK Centre for Financial Computing, UCL

Keynote Presentation – Professor William Fung, Hedge Fund Centre, London Business School

The Inaugural Risk Colloquium, 4 November 2010

The event was fully subscribed and attended by a broad cross-section of participants from sectors of the Scottish financial services industry, together with academics and students from several Scottish universities. Addressing the theme of “Risk Lessons from the Financial Crisis”, the Colloquium delivered an excellent programme of speakers over two sessions, as well as providing the opportunity to formally launch the Academy to members of the finance and academic communities. The day concluded with an address by the Colloquium keynote speaker, the Rt Hon John McFall, Lord McFall of Alcluith.

Presentations from the Day:

Credit Models Pre- and In-Crisis: Extreme Scenarios and Systemic Risk in Valuation - Damiano Brigo (King’s College, London)

Counterparty Credit Risk – Martin Baxter (Nomura International)

The Risk in Credit Ratings - Markus Krebsz (Securitisation Consultant and Author)

SFRA Launch and SFRA Director's Speech - Professor Alexander McNeil, Director, Scottish Financial Risk Academy

Keynote Presentation and Keynote Speech – Rt Hon John McFall, Lord McFall of Alcluith