Kat to set up Alternative Investment Research Centre in London

Harry Kat, a former derivatives banker and quantitative finance academic, has been made professor of risk management at the Sir John Cass School of Business at City University in London. Kat, an author of numerous quantitative finance papers and former associate professor of finance at the University of Reading’s Isma Centre, will launch a research centre at Cass aimed at alternative investing.

Kat described the Alternative Investment Research Centre (AIRC) as a “clearing house” for research ideas and data. It is intended to have very low fixed costs and draw together industry participants and academics via a new website due for launch in the coming months. Kat is also planning an annual conference.

Kat told RiskNews that although many academic papers had investigated the pricing of new investment instruments, less attention has been placed on studying their investment opportunities and risk profiles. “The whole area doesn’t get the attention it deserves,” Kat said.

He said fund of funds firm FRM and Frankfurt-based portal ehedge had agreed to feed hedge fund data into AIRC’s database, and the Barclay Group in the US would supply managed futures data. Kat is keen to gain more data from other alternative investment firms, and views the use of cleansed data for academic studies as an essential part of the industry’s future growth. Specific focus areas include private equity, managed futures and hedge funds. But AIRC will also collect data on real estate, private debt, high-yield debt, asset-backed securities, convertibles, preferred stock, commodities, and structured notes and bonds - including those linked to credit, weather, catastrophes, pollution, volatility and inflation. “We will clean the data ourselves and spend a lot of time checking it for errors,” Kat said.

Mark Anson, chief investment officer at California-based pension fund Calpers, and Mark Salmon, professor of financial econometrics at Deutsche Bank, will sit on the AIRC's advisory board.

Prior to academia, Katt worked in London as Bank of America’s head of equity derivatives for Europe from 1997 to 1998, and head of financial engineering at TMG Financial Products. Between 1994 and 1996 he headed structuring and marketing derivatives products for the First National Bank of Chicago – now part of Bank One – in Tokyo. His early career was spent in numerous derivatives positions at Dutch bank MeesPierson, which is now part of the Benelux bancassurer Fortis.

Kat has written a number of technical articles in Risk, including three co-authored with Ron Heynen. These include: ‘Crossing Barriers’ in June 1994, ‘Selective Memory’ in November 1994 and ‘Brick by Brick’ in May 1996. Kat co-authored a technical paper ‘Tree Surgery’, Risk February 1995 with Leen Verdonk. He has also written for the Journal of Financial Engineering, Journal of Derivatives and Journal of Alternative Investments.

The Cass Business School was spawned from the City University Business School in August last year. The name change was in recognition of significant donations from the Sir John Cass Foundation, the largest independent educational charity in inner London. There are about 75 academics in the finance faculty.