第二百二十四期财务与会计学术论坛

时间:20161216日(周五)15:00-1630

 

地点:嘉庚二号楼501教室

 

题目:Hedge Fund Quantitative Due Diligence

 

报告人Daniel Li Research Director in Markov Processes International

 

主持人:阮军,厦门大学财会研究院助理教授

2016-12-16 150545.jpg 

Presentation Outline

 

Hedge Fund Quantitative Due Diligence

-          What is a hedge fund and why due diligence?

-          Hedge fund returns and factor models

-          A real hedge fund factor analysis: from hedge fund alpha to betas

-          Due diligence case studies

ü  Excess leverage: LTCM 1998

ü  Altering to potential fraud: Madoff 2008

ü  Insider trading: Galleon 2009

ü  Concentrated trades: Peleton 2008

-          Q&A

 

报告人简介:

 

Daniel Li, PhD in Economics, State University of New York at Binghamton, currently served as Research Director in Markov Processes International, a leading investment analysis solution provider with over 300 client organizations globally. Daniel Li has over 10 years financial industry experience with primary focuses on hedge fund analysis and forensics, dynamic models and predictive analytics. He worked as principal consultant with government agencies such as SEC in US and FSA in Japan on forensic analysis of hedge funds.