Saturday, November 7, 2009

Risk management wisdom from the math department

Want to learn about the future of risk management? NYU is on top of it - they know risk management is all about mathematics. They are offering a seminar called "Conference on the Future of Risk Management" organized by "The Mathematics in Finance Workshop" and the Courant Institute (the NYU math department).

But wait. The math department? Wasn't the reliance on mathematical models sometimes with little relevance to reality what got us here in the first place? Doesn't matter. NYU is just trying to recruit 2010 applicants for their mathematical finance program (applications have been down for some reason).

So who are the speakers/panelists for the program? Well, here is the list:

Ken Abbott, Morgan Stanley
Steve Allen, Courant Institute
Richard Bookstaber
Aaron Brown, AQR
Christine Cumming, New York Fed
Robert Engle, NYU Stern Business School
Petter Kolm, Courant Institute
William Morokoff, Standard & Poor's
Brian Peters, New York Fed
Lesley Rahl, Capital Market Risk Advisors
Matthew Richardson, NYU Stern Business School
Marc Saidenberg, New York Fed
Anurag Saksena, Freddie Mac
Til Schuermann, New York Fed

This list looks about the same as it did in 2007 for similar conferences. Many of these folks were in senior positions in the last few years. These positions had given them tremendous visibility into the madness that some areas of structured finance had become prior to the crisis. But they went on their speaking circuits, wrote their books, did their consulting work, and developed their VAR models. None of them had been vocal about the rising leverage, the ratings arbitrage and conflicts, the regulatory capital arbitrage, the loose monetary policy, and the mispricing of risk. And now they are here to teach people about risk management? The lesson one will learn from these folks is simple: stick with the status quo, don't rock the boat, "reinvent" yourself after the crisis, and watch your career take off - setting you up for another crisis.