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Risk: Retrospective Lessons & Prospective Strategies Speakers

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SFI ACtioN Topical Meeting
Co-organzied by Morgan Stanley

October 4, 2018
Venue: Morgan Stanley: New York, NY

Panelists and moderators will include:

Cliff Asness
Founder, Managing Principal and Chief Investment Officer at AQR Capital Management

Cliff.Asness.jpg

Cliff is a Founder, Managing Principal and Chief Investment Officer at AQR Capital Management. He is an active researcher and has authored articles on a variety of financial topics for many publications, including The Journal of Portfolio Management, Financial Analysts Journal and The Journal of Finance. He has received five Bernstein Fabozzi/Jacobs Levy Awards from The Journal of Portfolio Management, in 2002, 2004, 2005, 2014 and 2015. Financial Analysts Journal has twice awarded him the Graham and Dodd Award for the year’s best paper, as well as a Graham and Dodd Excellence Award, the award for the best perspectives piece, and the Graham and Dodd Readers’ Choice Award. In 2006, CFA Institute presented Cliff with the James R. Vertin Award, which is periodically given to individuals who have produced a body of research notable for its relevance and enduring value to investment professionals. Prior to cofounding AQR Capital Management, he was a managing director and director of quantitative research for the Asset Management Division of Goldman, Sachs & Co. He is on the editorial board of The Journal of Portfolio Management, the governing board of the Courant Institute of Mathematical Finance at NYU, the board of directors of the Q-Group and the board of the International Rescue Committee. Cliff received a B.S. in economics from the Wharton School and a B.S. in engineering from the Moore School of Electrical Engineering at the University of Pennsylvania, graduating summa cum laude in both. He received an M.B.A. with high honors and a Ph.D. in finance from the University of Chicago, where he was Eugene Fama’s student and teaching assistant for two years (so he still feels guilty when trying to beat the market).


Rick Bookstaber
Chief Risk Officer, Office of the CIO, University of California

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Rick is the author of The End of Theory (2017, Princeton University Press), which critiques the applicability of economics in dealing with financial crises, and proposes an alternative paradigm using agent-based models. He is also the author of A Demon Of Our Own Design (2007), a book highlighting the fragility of the financial system that occurs from tight coupling and complexity. The book is noted for its foreshadowing of the financial crisis of 2007–08.

He has worked in risk management with chief risk officer roles on both the buy-side at Moore Capital and Bridgewater, and on the sell-side at Morgan Stanley and Salomon, and from 2009 to 2015 he served in the public sector at the SEC and the U.S. Treasury, drafting the Volcker Rule, building out the risk management structure for the Financial Stability Oversight Council, and developing an agent-based model to assess financial vulnerabilities.

Currently, he is the Chief Risk Office for the Office of the CIO at the University of California, overseeing their $110 billion pension and endowment portfolios. In this role he is continuing to apply agent-based models for risk management.

He received a Ph.D. in economics from MIT. He is currently working on a book that looks at the rise and fall of civilizations through the lens of complexity.