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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

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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