OptionMetrics, an options database and analytics provider for international institutional investors and academic researchers, is announcing Dean Curnutt, Founder and CEO of Macro Risk Advisors, will keynote its 8th Annual Research Conference (ORC2019), Monday, October 28, at Fordham University, New York City. To provide perspective on the current market, Curnutt will provide a retrospective look at some of the largest blow-ups in the derivatives market, what happened, and why, in his talk, “Steroids, Credit Growth and the Derivatives Blow Up Hall of Fame.”
Under Curnutt’s leadership, Macro Risk Advisors has become the highest ranked boutique in the Tabb Group Survey of Option Research providers and offers in-depth global market risk analysis and transaction execution services. Curnutt formerly was managing director and head of equity sales-trading at Banc of America Securities. A recognized expert on risk and cross-asset volatility, he frequently appears on Bloomberg TV to share his views on markets and has delivered keynote presentations at the CBOE Risk Management Conference. Curnutt was named a “Rising Star of Hedge Funds” by Institutional Investor. He is an adjunct professor of finance and a member of the Board of Governors at St. John’s University.
Other original research scheduled for presentation at ORC2019 includes:
- Forward-Looking Expected Tail Loss: An Application of The Recovery Theorem, Anthony Sanford, University of Maryland, College Park
- Option-Implied Expected Returns and the Construction of Mean-Variance Portfolios, Chuanping Sun and Kazuhiro Hiraki, Queen Mary University of London
- Center of Volume Mass: Does Aggregate Option Market Activity Predict Stock Returns?, Jianfeng Hu, Singapore Management University
- Implied Volatility Changes and Corporate Bond Returns, Xiao Xiao, Erasmus University Rotterdam
- Trading Ahead of the Disclosure: Cybersecurity Breaches and Insider Trading, Svetlana Gavrilova, University of Florida
- Option Strangles: An Analysis of Selling Equity Insurance, Clemens Kownatzki, Pepperdine University
- The Impact of Equity Tail Risk on Bond Risk Premia: Evidence of Flight-to-Safety in the US Term Structure, Dario Ruzzi, Bank of Italy / University of Bristol
- Forward-Looking P, Maxim Ulrich and Simon Walther, Karlsruhe Institute of Technology
- Contingent Claims and Hedging of Credit Risk with Equity Options, Davide Avino, University of Liverpool
- The Economic Value of Volatility Forecasting with Machine Learning, Paul Borochin, University of Miami
OptionMetrics CEO David Hait, Ph.D. says, “Options data has become even more useful as a research tool in reflecting historical and changing market conditions, with more instruments listed and more markets active than when we first started providing access to it 20 years ago. We are always amazed at the caliber of research and insights that are gleaned from OptionMetrics data and this year’s papers are no exception. We look forward to hearing from the presenters at ORC2019!”
OptionMetrics, now celebrating its 20th year providing high-quality options databases and analytics, currently distributes its IvyDB historical options databases for U.S., Europe, Asia, Canada, and global indices to corporate and institutional subscribers, as well as top business schools worldwide. It has covered every U.S. strike and expiration option on over 6,000 underlying stocks and indices since 1996. Leading portfolio managers, equity options traders, and quantitative researchers rely on OptionMetrics for extensive, high-quality data to construct and test options investment strategies, perform empirical research, and accurately assess risk. www.optionmetrics.com, LinkedIn, Twitter, Facebook.