Boston QWAFAFEW Tue Jan 17 - Click here for details |
FIRST 2012 QWAFAFEW-NYC MEETING Click here for QWAFAFEW-NYC schedule for 2012
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From PRMIA: Operational Risk Management - Challenges and Opportunities- Thu January 26, 2012 Next SQA: Thu Jan 19 2012 - Where Does Alpha Come from?
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| On This Page | Recent Presentation Files and Links of Interest | Get On The Mailing List to receive meetings announcements |
- Other QWAFAFEW Chapter Events Julia M. Carty - In Loving Memory Send cards to Mr. & Mrs. C. Michael Carty to 87-32 97th Street, Woodhaven, NY 11421 |
Nov 29 2011 - NYC - Presentation - Dan diBartolomeo LINKS OF INTEREST
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Quaffers = colloquial nickname for QWAFAFEW Members (spelling using “Qu” in lieu of “QW” purposely inconsistent with organization name).
QWAFAFEW (pronounce “quaff-a-few”) = Quantitative Work Alliance for Applied Finance Education and Wisdom. QWAFAFEW is a not-for-profit club. It provides a collegial forum for sharing of analytical investment research. It also serves as a conduit for networking.
This site provides a user-run complement to official web site (qwafafew.org). It is run by New York chapter, but all other chapters are welcome to submit info about your past, present, and future meetings, as well as presentations' files (ppt or pdf). Also please make sure that your contact info on this page is correct.
About New York QWAFAFEW Chapter
We have meetings every month: presentations, discussions, networking.
| Contacts for New York Chapter |
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| Organizational Purpose | For quantitatively oriented investment professionals. To gather together informally, discuss quantitative issues, and relax over drinks with their colleagues. | ||||||||||
| Atmosphere | Casual and informal | ||||||||||
| Officers | Officers are elected by the general membership. The chapter president may guide the selection process for nomination of officers. Relevant offices may include, but are not limited to: president, vice-president, treasurer, and secretary. | ||||||||||
| Financial Issues | QWAFAFEW is a not-for-profit club. Annual Dues are collected from members in addition to admission fees in order to cover meeting costs. Membership is on an individual, not a corporate basis. Presenters, members, and nonmember attendees are presumed to represent themselves, not their organization. Receipts are provided once per month. Members of other chapters (currently including Boston, Chicago, DC, Hartford, London, Princeton, San Francisco,Toronto, and Vancouver) pay membership rates to attend New York meetings. | ||||||||||
| Meeting Frequency | Generally, 12 times per year, and at least once per month. | ||||||||||
| Membership: Becoming a member | Membership is on a calendar year basis. Join at the door and attend that meeting at no charge. If you wish to join by mail. please send check payable to QWAFAFEW to Herb Blank c/o Rapid Ratings, 86 Chambers Street, Suite 701, NY, NY 10007. Application: for those who wish to submit a Membership application for New York (not required) please click here To aubmit a member application for the Princeton Chapter (also optional), please click here Princeton Chapter Membership Application |
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| Linkedin group | Members of linkedin.com are welcome to join QWAFAFEW networking group "QWAFAFEW Quantitative Investment Society" on Linked-In.
The URL is http://www.linkedin.com/e/gis/59644/530E700BF98A |
Next Meeting of New York Chapter
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Tuesday January 24, 2011 QWAFAFEW-NYC Ron Ryan, Ryan ALM "The Pension Year in Review" & Frederic Siboulet, "A Stochastic Framework for DB/DC Plans" All are welcome to attend. Special: Pay 2012 dues of $100 at the door (CHECK to QWAFAFEW or CASH only), attend this meeting for free. To learn more about QWAFAFEW Quantitative Investment Networking Society and to sign up for our mailing list, sign up at www.quaffers.org to receive these email announcements directly. Was 2011 a good year for pensions? How did most pension investments perform with respect to their liabilities? Liability-Driven Investing (LDI) is getting a lot more attention lately but will that attention translate into more effective ways of managing assets to satisfy liabilities? 7:00 - 7:15 Break - Refreshments & Networking 7:15 – 8:00 "Retirement Investing"- Frederic Siboulet "Retirement Investing"- Frederic Siboulet, "A Stochastic Framework for DB/DC Investing Asset management: “50 years of modernity”, Looking at the basis of contemporary risk management MPT, efficient frontier, Sharpe ratio) - The three fundamental issues too often overlooked in pension: client investment objectives, cash flow pulse in accumulation and decumulation, return path and sequence - Risk management practice: what is performance (nature, indicators, management), risk reward minutia, pension “pattern and purposes” - Pension risk management facts and figures, long term trends in defined benefits and defined contributions, performance issues and solutions - Impact on retail market, wealth management, and investment advisory market, asset and liability management (RIA, FO, HF, HNW and UHNW) - DC for the retail market is the way forward, Target Date Funds will become the standard. Description of TDF 1.0, TDF 2.0 and TDF 3.0. 8:00 - 8:15 Q & A and Adjournment Ronald J. Ryan is the CEO, Chief Financial Architect, of Ryan ALM, Inc. - an organization that offers turnkey solutions for liability driven objectives and connects Custom Liability Index with Asset Management. Their core products include Liability Index Funds and Liability Hedge Funds.
Prior to Ryan ALM, Inc., Ron was President/Founder of Ryan Labs, Inc., and Ryan Financial Strategy Group and also enjoyed a successful career as Director - Research & Strategy at Lehman Brothers and Head of Fixed Income Trust Department at First in Dallas.
Ron attained his MBA and BBA at Loyola University. Frederic Siboulet is a Principal in iEpsilon LLC. His areas of expertise include financial engineering, foreign exchange, derivatives, and Structured Products. He is an active member of QWAFAFEW. |
NYC meetings are usually held on Tuesdays on 43rd Street in Manhattan near Grand Central Station at Patrick Conway's Pub & Restaurant (downstairs), 40 E 43rd St (between Madison & Vanderbilt), NY, NY 10017 – ½-block from Grand Central Station). To receive email notifications - please go back to the top of the page and fill in your name and e-mail address in the rightmost column. You will be e-mailed to confirm your subscription to our free newsletter. Time: 5:30 PM – 8:15 PM. Admission - all are welcome. Please RSVP. To RSVP: Email nyc@qwafafew.org and put date of event you wish to attend in Subject Line. In text body, please provide the names, phone numbers, organizations (if any), emails, and membership status for each attendee. Membership: You need not be a member to attend but there are benefits. Membership is on a calendar-year basis. NYC dues for 2011 are only $100. Join by cash or check payable to QWAFAFEW at the door and attend that meeting for free. If you wish to join by mail, please send check (ONLY) made to QWAFAFEW to Herb Blank, Rapid Ratings International, 86 Chambers Street, Suite 701, NY, NY 10007 Application: for those who wish to submit a Membership application (not required) please click here Pay second-half 2011 dues of $60 at the door (CHECK to QWAFAFEW or CASH only) and attend this meeting for free.
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FOR THIS MEETING ONLY, Email qwaf1109@gmail.com. We will only be able to accept the first 75 verified RSVPs. But, we will maintain a waiting list if we are fully subscribed. So, if you will be unable to attend. If it's last-minute, please call Herb at 917-992-7852. On your RSVP, please provide your name, THE CHAPTER of which you are a dues-paid member, Organization, and a contact phone number. One e-mail per attendee please. ONLY cash or check (to QWAFAFEW) can be accepted. NO PLASTIC - paper receipts available. Questions? Call Herb, 917-992-7852.
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Meeting Schedule for QWAFAFEW-NYC in 2012- First two meetings now scheduled - more to be announced shortly
Location is usually the same (see map above). Day is Tuesday (Except when otherwise specified)
| Date | Agenda |
| Tuesday January 24, 2012 |
FIRST MEETING of 2012 |
| Tuesday February 28, 2012 |
ESG Night |
Tuesday March 27, 2012 | ETF Allocation & Index Research |
Tuesday April 10, 2012 | Bonus Meeting - To Be Announced |
Tuesday April 24, 2012 | Emerging Markets - ETF Opportunities Straight from the Sources - Speakers TBA |
Tuesday May 22, 2012 | Changing Nature of Financial Markets
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Tuesday June 5, 2012 | To Be Announced |
Tuesday June 26, 2012 | Philip Bennett, Deutsche Asset Management & More |
Tuesday July 24 2012 | Mary Ann Bartels & More |
Tuesday August 28 2012 | To Be Announced |
Tuesday September 25 2012 | Dr. Richard Michaud, New Frontier Advisors |
Tuesday October 23 2012 | To Be Announced | Tuesday November 13 2012 | To Be Announced |
Tuesday December 04, 2012 | To Be Announced |
Click here to get on a mailing list of one or several of the QWAFAFEW chapters (other than NY,CT, NJ)
Note - for New York, Hartford CT, and Princeton NJ - sign on the top of this page.
To become a member and get discounts - contact corresponding chapter.
| Chapter | Info |
| New York | - email: NYC@qwafafew.org - meetings: Patrick Conway's Pub & Restaurant (downstairs), 40 E 43rd St (between Madison & Vanderbilt), NY, NY 10017 -steering_committee_nyc.doc -NYC Chapter Membership Application |
| Chicago | - email: chicago@qwafafew.org - RSVP: https://www.acteva.com/go/ChicagoQWAFAFEW - meetings occur at Chicago-area financial services institutions and universities. - steering_committee_chicago.doc |
| Boston | - email: Hugh@qwafafew.org |
| Hartford, CT | - email: hartford@qwafafew.org |
| Princeton, NJ | - email: princeton@qwafafew.org - meetings: Nassau Club, 6 Mercer Street, Princeton, NJ -Princeton Chapter Membership Application |
| Denver | - email: denver@qwafafew.org - meetings: Marco’s Coal Fired Pizza, 2129 Larimer St., Denver - steering_committee_denver.doc |
| San Francisco | - email: sanfrancisco@qwafafew.org - meetings: L'Olivier French Restaurant, 465 Davis Ct, San Francisco, about 4 1/2 blocks north of Market Street from the Embarcadero BART station. - steering_committee_sf.doc |
| Vancouver | - Efforts now active to locate a new home for website as googlegroups.com will soon be unsupported. Ideas? Please contact Jeff Wiebe |
| other | There are efforts to open/revitalize groups in Washington DC, LA Metro, Dallas, Toronto. If interested in these or other locatrions- please contact Herb Blank via email: hblank@qwafafew.org |
To receive email notifications for chapters in New York, New Jersey, and Connecticut - fill out the form on the top of this page.
For all other locations use this form: click here to get on the mailing list (note - do NOT use it for NY, NJ, CT).
Other QWAFAFEW Groups and Events
Other QWAFAFEW Groups and Events:
| Date | Where | Agenda |
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January 17, 2012 Tuesday |
Boston. MA
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Next Boston QWAFAFEW Meeting: Tuesday, 17 January 2012 Abstract
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2nd Half 2011 | Chicago, IL
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Agenda and date for next Chicago QWAFAFEW will be posted here when data are available
Past Chicago QWAFAFEW presentations can be found here: http://www.qwafafew.org/index.php/chapters/chicago
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Denver Thu Jan 19 2012
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Marco's Coal Fired Pizza 2129 Larimer Street, Denver, CO
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QWAFAFEW DENVER - Thursday, January 19th, 2012. - Presentation: Applied Volatility: Innovations in Creating Efficient Exposures; Speaker: Nick Cherney, Co-founder and CIO, VelocitySharesDate/Time: Thursday, January 19th 2012, at 5:30PM. Networking, hors d'oeuvres (including vegetarian options), 6:15 PM: Presentation
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December 2011 Monday |
Hartford, CT | More to be announced soon Thanks to the Hartford CFA Society. www.hartfrodcfa.org, for helping us to get the word out on this event |
Beyond QWAFAFEW: Other Events of Interest
| Date | Where | Agenda |
Thursday January 26 2011 - PRMIA New York
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Harmonie Club 4 E. 60th Street, NY, NY 10022 |
OPERATIONAL RISK MANAGEMENT - Challenges and InnovationsAgenda 6:00PM-6:30PM Registration 6:30PM-7:30PM Panel Discussions followed by a Q&A Session 7:30PM Networking Reception http://www.prmia.org/events/view_events.php?eventID=4776 for details
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http://www.cqf.com/admissions/information-session-dates for more details. |
Baruch College - 55 Lexington Ave @ 24th Street |
SQA Event - Where Does Alpha Come From? - Professor Randolph Cohen, MIT Sloan & Vision Capital AdvisorsProfessor Cohen and his co-authors find that the stocks that active managers display the most conviction towards ex ante, their best ideas , outperform the market, as well as the other stocks in those managers' portfolios, by approximately 1 to 2.5 percent per quarter depending on the benchmark employed. For more, visit www.sqa-us.org and click on the Events Tab
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Nov 9, 9 AM - 2:30 PM Women Take Charge | The College of New Jersey - 2000 Pennington Avenue Ewing NJ 08628 |
Building Leadership Conference Wednesday, November 9th, 9 AM - 2:30 PM Keynote speaker: Ellyn SpraginsKeynote speaker: Ellyn Spragins, author of What I Now Know About Success: Letters From Extraordinary Women to Their Younger Selves |
Oct 28 - Dec. 16 Weekly Webinar Sessions | PRMIA Associate PRM Webinar Series |
Associate PRM Webinar Series
Sharpen your risk management skills and knowledge and prepare for the Associate PRM Exam via the Associate PRM Webinar Series. This live 8-session webinar will begin in two weeks. The recordings of the sessions are available to all who register for the live series.
Webinar participants indicated that they felt more prepared for the Associate PRM Exam following their completion of the course. In fact, statistics show that the pass rate of the Associate PRM exam is significantly higher for those people who have participated in the Webinar Series than those who focused solely on the other training materials offered by PRMIA. The Webinar will be led by Bob Mark, CEO Black Diamond Risk Enterprises and co-author of The Essentials of Risk Management, the book on which the Associate PRM Exam is based.
http://prmia.org/index.php?page=exam&option=trainingAPRM to learn more about the Associate PRM Certificate and exam. Please contact Christine Lienke at Christine.Lienke@prmia.org with any questions.
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Past Meetings and Presentations (ppt & pdf files)
Past Agenda Index: for those who wish to view past meeting agendas for most chapters, please click here
Job Postings (Quant-Related only) (ppt & pdf files)
Quantitative Research Specialists – NY Metro - Updated 1/13/2012
Established Hedge Fund is seeking quantitative researchers with a passion for research to develop new and improve current proprietary quantitative trading strategies. Responsibilities include:
Requirements:
Compensation $300-500K commensurate with experience. Must be eligible to work in the U.S.
Email MS Word attached resume in confidence to: resumeBB@hrg.net
Reference BB54-QWAFAFEW, Quant Research Specialist on subject line.
Market Making Developer - NYC
HRG is seeking a high speed Market-Making Developer with exceptional technical skill-sets, especially C++. Responsibilities include the design and implementation of automated market making algorithms across various markets and asset classes. Liaise with internal and external entities in ensuring strategic flow of new applications and tools. Work on high development of internal trading engines. While previous experience within Options or Equities Market-Making would be a plus , exceptional coders from top non-finance institutions will also be considered.
Compensation $250,000 Must be eligible to work in the U.S.
Email MS Word attached resume in confidence to: resumeDF@hrg.net
Reference DF162-QWAFAFEW, Market Making Developer on subject line.
Senior Quantitative Analyst, Model Validation – Boston
One of the top Asset Managers in the Boston area is looking for a Senior Quantitative Analyst to join their Enterprise Risk Management/Model Validation Team. The Model Validation Team focuses on quantitative risk management methodologies used to estimate and assess capital requirements for operational risk, credit risk, market risk, interest rate risk, economic risk and other risk types in support of both U.S. and international (Basel II) regulatory compliance, as well as other economic capital assessment and allocation goals.
The Senior Quantitative Analyst will participate in model validation to ensure model risks is correctly identified, assessed and captured by:
Requirements:
Compensation $150-250K DOE Must be eligible to work in the U.S.
Email MS Word attached resume in confidence to: resumeRQ@hrg.net
Refer to RQ28-QWAFAFEW Model Validation Quant on subject line.
High Frequency Algorithmic - Traders / Portfolio Managers / Strategists / Developers
HRG, working with various U.S. (NYC, Chicago) and overseas (UK, Asia) clients, is seeking experienced quantitative professionals with proven track records (high frequency trading and strategy, high sharpe ratios, solid tech, good PnL’s, etc.) to step up their careers.
If your expertise includes any of the following skills – we want to hear from you.
• High Frequency Trading • Algorithmic • Statistical Arbitrage • Systematic Trading
• Black Box • Quantitative Development • High Frequency Strategies • Dark Pools
• 2+ years related experience and proven track record mandatory.
• Advanced degree in C.S. or hard sciences from top tier school a plus.
Email MS Word attached resume in confidence to: resume@hrg.net
Reference Q11-QWAFAFEW, High Frequency on subject line.
Core Developer – NY Metro
Our client, a high frequency prop trading firm is looking to add two core developers to their successful team. These programmers will have expertise in Java or C++, expertise with low latency systems, practical knowledge of how to implement new strategies, and can develop code for models working with the quant traders and strategists. High Frequency, Options or Equities experience a plus.
Competitive compensation. Must be eligible to work in the U.S.
Email MS Word attached resume in confidence to: resumeDF@hrg.net
Reference DF161-QWAFAFEW, Core Developer on subject line.
Automated Market Making Volatility Strategist - NYC
A preeminent automated options market making group has an immediate need for a mid-level quantitative strategist. Successful candidates will have at least 3-4 years of AMM experience with a proven player in this business. A majority of your time will be spent developing, evaluating, optimizing and implementing high frequency automated trading strategies for equity options.
Ideal candidates will have math or science PhDs and a strong technical background, including expert level C++ development capabilities. You must have experience analyzing market data to develop volatility trading ideas and a deep understanding of options quoting strategies across the various options markets.
$400,000 - $600,000
Email MS Word attached resume in confidence to: resumeBB@hrg.net
Reference BB42-QWAFAFEW, Market Making Vol Strategist on subject line.
Job Title: Research Consultant, Quantitative Resources
Job Location: Boston, MA
The Research Consultant is a member of a team responsible for the development of quantitative tools that help the consulting staff analyze and frame investment issues. In addition to developing the tools, the team supports the consulting staff as they determine how to interpret and explain the outputs to clients. When appropriate, the team also helps the consulting staff adapt tools to a given client’s situation. In addition to developing and supporting these tools, the team is responsible for defining standard quantitative methodologies.
IF INTERESTED, please contact Lisa Martin at lmartin@cambridgeassociates.com or 617-457-1719. Do NOT contact QWAFAFEW-NYC.
Job Responsibilities
· Participate in all aspects of research project work, which include defining the scope of projects, sourcing possible solutions, evaluating options (cost/benefit/risk), design and construction of models.
· Support the consulting staff by providing training on quantitative tools as well as responding to inquiries ranging from interpreting and applying tools to designing custom analyses.
· Take on specific project responsibilities in supporting other groups when their projects require quantitative expertise.
· Contribute to project oversight and group management.
Key Characteristics and Qualifications:· Bachelor degree(s) with a concentration in either Mathematics or Applied Mathematics is required (or other quantitative degree). Graduate degree strongly preferred.
· 1-3 years appropriate experience in investments. In the absence of relevant work experience, demonstrated interest in capital markets is strongly preferred (e.g. graduate course work).
· Experience with Microsoft Excel and familiarity with computer programming (Visual Basic and Matlab) is strongly preferred.
· Intellectually curious; open-minded; creative and pro-active thinker.
· Effective completing tasks both independently and in a team environment.
Strong oral and written communication skills.
