Tuesday, March 13, 2007

Andrew Lo in NYC on Systemic Risk

Andrew Lo was in town last week to talk Systemic Risk but I missed the event. If anyone has soft copy of the presentation please email me. I'm particularly interested in hearing his evidence on increasing systemic risk and thoughts on regulatory need:

Prof. Lo attempts to quantify the potential impact of hedge funds on systemic risk by proposing several new risk measures for hedge funds and applying them to individual and aggregate hedge-fund returns data. His preliminary findings suggest that the hedge-fund industry may be heading into a challenging period of lower expected returns, and that systemic risk is currently on the rise. Professor Lo will conclude by proposing a new regulatory body designed to address these issues directly.