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October 2017

Samim Ghamami, UC Berkeley and US Treasury Office of Financial Research: Submodular Risk Allocation

October 24 @ 11:00 am - 12:30 pm
639 Evans Hall at UC Berkeley, 639 Evans Hall
Berkeley, CA 94720 United States
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We analyze the optimal allocation of trades to portfolios when the cost associated with an allocation is proportional to each portfolio's risk. Our investigation is motivated by changes in the over-the-counter derivatives markets, under which some contracts may be traded bilaterally or through central counterparties, splitting a set of trades into two or more portfolios. A derivatives dealer faces risk-based collateral and capital costs for each portfolio, and it seeks to minimize total margin requirements through its allocation of trades…

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November 2017

Lisa Goldberg and Jeffrey Bohn to speak at Swissquote Conference 2017 on FinTech

November 3 @ 8:20 am - 5:00 pm

From the event website: Innovation in financial technology (FinTech) has transformed the financial services industry over the past decade and the technological changes are ongoing. Continuous pressure to innovate will shape customer behaviours, business models, and the long-term structure of the financial services industry. This unprecedented interplay between finance and technology offers great potential for developing new financial services business models and products. The 8th annual Swissquote Conference will feature current research and insights on FinTech provided by leading experts…

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Mathieu Rosenbaum

November 7 @ 11:00 am - 12:30 pm
639 Evans Hall at UC Berkeley, 639 Evans Hall
Berkeley, CA 94720 United States
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John Arabadjis

November 14 @ 11:00 am - 12:30 pm
639 Evans Hall at UC Berkeley, 639 Evans Hall
Berkeley, CA 94720 United States
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Nick Gunther, UC Berkeley: The Futures Financing Rate

November 28 @ 11:00 am
639 Evans Hall at UC Berkeley, 639 Evans Hall
Berkeley, CA 94720 United States
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