So, it has been an extremely hectic last two weeks. I was part of the organizing group responsible for Attilio Meucci’s Advanced Risk and Portfolio Management bootcamp hosted at Baruch College. You can find out more about the program here
The bootcamp gave me the immense opportunity to not only get exposure to some of the advanced topics in risk management but also a chance to meet several people in the industry from all across the world. The event was attended by over 235 people from 30 countries and I do not mean people originally from 30 countries. I mean people flew from across to the world, Saudi Arabia, Kuwait, Tanzania, Denmark, etc etc etc, for this 6 day event. GARP, the CFA Institute and Quantnet were among the partners in the event. The event taught me quite a bit about organising conferences and how to optimize logistics when it comes to the deliverables.
I was lucky enough to sit in on a few topics that were being presented as I was quite busy with logistics through most of the event. Among the topics I sat in on that were being presented by Attilio Meucci, the factor modelling, non-parametric estimation, and asset allocation techniques were probably my favourite. Unfortunately from the list of topics covered it can be seen that there were numerous topics covered but unfortunately I could not sit in on all of them.
The event also had a major reception which was attended by some of the biggest heavy hitters on Wall-street. I had the great pleasure of meeting and conversing with Mark Carhart, previously the hedge fund manager at Goldman Sachs Global Alpha now running his new hedge fund with other heavy weights, Bob Litterman of Black Litterman Asset Allocation model, and so on. I also had the chance to ask Dr. Litterman some questions about his time at Goldman Sachs and his reasons behind leaving.
So what stood out primarily for me from this conference?
A) The Networking opportunity – I met several people from the industry from several countries that were in positions of making hiring decisions. These companies included people at the major investment banks like Credit Suisse, Morgan Stanley, Deutche Bank and Citigroup among some. There was a major reception which was the best place to mingle and network. There were several breaks during the workshop and lunch when people could significantly network.
B) The Speaker – Attilio Meucci is definitely one of the best presenters I have seen. The consistency with which he teaches is almost unfathomable. Being able to teach for 8 hours every day is quite a feat. Attilio is currently the Chief Risk officer at Kepos Capital LP. He is also an adjunct professor in the Master’s in Financial Engineering program at Baruch College. Previously, Attilio was the head of research at ALPHA, Bloomberg LP’s portfolio analytics and risk platform. Attilio is the author of Risk and Asset Allocation (Springer Finance) and numerous other publications in practitioners and academic journals
C) The Food: Every morning the attendees were served a continental breakfast and on the reception night there was an extravagant dinner. I looked forward to the continental breakfast every day. The chocolate croissants and peach danish’s from Organique were quite delicious. Food might seem like an amateurish point to review but it is very crucial when you have to go through 8 hours of intense mathematical concepts and no nutrients to energize you. EVERYTHING at the event was organic, which ranged from the coffee, milk to the bagels and spreads.
D) The Material: Unfortunately since I did not sit in all the lectures it is not fair for me to properly review the material which is why it is at the end. The lectures on factor modeling and non-parametric optimization were really great. Find out more about the material taught here
E) Donation: When a professional society organises a conference, majority of the proceeds go to directly funding the society. The conference might be the society’s main source of funding. This is not the case here. As part of Attilio’s “One More Reason” charity, almost FIFTY percent of the fees goes to Doctors Without Borders. Find out more about this here
As I am sure many of you have questions about ARPM, I decided to ask Attilio some questions of my own. Unfortunately I kept it short considering he is quite a busy person.
How do you believe this year’s ARPM workshop compared to last years and will we be seeing ARPM again next year?
ARPM has been growing in size and scope throughout the years. I expect the trend to continue.
What do you believe is the minimum background attendees should have if they want to take ARPM next year?
Attendees should master linear algebra and multivariate calculus and they should have studied uni-variate statistics. The former two requirements are crucial to effectively and speedily communicate deep concepts using a concise, rigorous mathematical language.
What do you believe will/might be some new additions to ARPM as we go forward?
There will be more emphasis on liquidity issues.
What is the secret behind being able to teach for 8 hours straight?
Actually, after each edition I am always amazed that I managed to survive.
For the curious ones, here are some reviews from attendees:
“Attilio Meucci’s ARPM boot-camp was a very challenging and worthwhile experience. The material he presented was relevant and interesting. I was most impressed by how he could explain complex ideas in easier-to-understand terms. I would recommend this course to any aspiring quants”. – Risk Department Quant – Morgan Stanley
“Thanks a lot for organizing wonderful ARPM 2010 boot camp! It was very well organized. Prof. Attilio did excellent job, the material was presented in a highly valuable and it is very helpful for both students and practitioners. Prof. Dan did excellent Jon organizing ARPM course in Baruch MFE campus. Incoming MFE students did excellent job by helping all ARPM 2010 guests like welcoming, registration, coffee, breakfast, etc..” – Front Office Pricing Quant – Fixed income – Citigroup
As I get more reviews I will put them here.
See you all at ARPM next year!
Tags: Advanced Risk and Portfolio Management, ARPM, Attilio Meucci, Baruch MFE, Joy Pathak
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