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Dan diBartolomeo, a pioneer in socially responsible investing metrics and indexes and judge at the prestigious Moskowitz Prize competition, will look at the economic sustainability of stocks that are considered sustainable from a social point of view based on a new methodology of defining a corporate sustainability framework.
diBartolomeo will review and discuss the framework that was presented in his Journal of Investing article (Winter 2010) which calculates an expected life of a company based on the premise that credit risk is brought about by the fact that stockholders have an implicit call option on debt of a company. This expected life number can be viewed as an alternative measure of risk and shows some relationship to social sustainability.
Register now to hear about this more rigorous and mathematically-based formulation of sustainability that uses well-known risk models.
At this program, you will learn:
- How sustainability can be linked to standard credit risk models
- A new use for standard credit risk models to obtain the expected life of the firm as an alternative risk measure
- Two methods to improve the estimation of default correlation
Who should attend
Security and credit analysts, portfolio managers, risk managers, asset management and portfolio selection positions, quantitatively oriented investment practitioners.
Biography
Dan diBartolomeo is president and founder of Northfield Information Services, Inc. Based in Boston since 1986, Northfield develops quantitative models of financial markets. diBartolomeo is a visiting professor at the CARISMA research center of Brunel University in London. In addition, he serves on the board of directors of the Chicago Quantitative Alliance and the advisory board of the International Association of Financial Engineers. He is also an active member of the Financial Management Association, and “QWAFAFEW”. He has been admitted as an expert witness in US federal courts for litigation matters regarding investment management practices and derivatives.
diBartolomeo is a director of the American Computer Foundation, a former member of the board of directors of The Boston Computer Society, and formerly served on the industry liaison committee of the Department of Statistics and Actuarial Sciences at New Jersey Institute of Technology. He is vice-chairman of the board of trustees of Woodbury College, Montpelier, VT and continues his several years of service as a judge in the Moscowitz Prize competition, given for excellence in academic research on socially responsible investing.
diBartolomeo has written extensively for the CFA Research Foundation. This work includes “The Risk of Equity Securities and Portfolios” published in Equity Specialization Program Readings 1997 and a new wealth management textbook Investment Management for Private, Taxable Wealth (with Jarrod Wilcox and Jeffrey Horvitz). He also provided a chapter on asset allocation for high-net worth individuals for CFA’s recent book, Global Perspectives on Investment Management. Other writings include chapters in four other textbooks and many journal publications.
Note: Please remember to bring lunch. Lunch will not be provided.
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