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August 2017

Michael Ohlrogge, Stanford: Bank Capital and Risk Taking: A Loan Level Analysis

August 29 @ 11:00 am - 12:30 pm
639 Evans Hall at UC Berkeley, 639 Evans Hall
Berkeley, CA 94720 United States
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I examine whether whether low capital levels incentivize banks to systematically originate and hold riskier loans. I construct a novel data set consisting of 1.8 million small business and home mortgage loans, matched to the specific banks that originated them and the capital levels of those banks at the time of origination, and verified to be held on bank portfolios, rather than sold. A one point increase in capital ratios (e.g. from 12% to 13%) is associated with a 4%…

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September 2017

Bob Anderson, UC Berkeley: Sparse Low Rank Dictionary Learning

September 5 @ 11:00 am - 12:30 pm
639 Evans Hall at UC Berkeley, 639 Evans Hall
Berkeley, CA 94720 United States
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Sparse Dictionary Learning (SDL) can be used to extract narrow factors driving stock returns from a stock returns matrix, provided the returns are generated by sparse factors alone.  We describe progress on a variant called Sparse Low Rank Dictionary Learning (SLRDL), designed to simultaneously extract broad and narrow factors for the returns matrix, when the returns are generated by both types of factors.

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Jeremy Evnine, Evnine & Associates: Social Finance and the Postmodern Portfolio: Theory and Practice

September 12 @ 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 formulate the portfolio construction problem as a mean/variance problem which includes a linear term representing an investor’s preference for expected “social return”, in addition to her expected “financial return” of the classical theory. By making various assumptions, we are able to exploit the heterogeneous expectations version of the CAPM to derive an equilibrium model which is an extension of the standard Capital Asset Pricing Model. Among other things, the model implies that, in equilibrium, assets with higher expected social…

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Marco Avellaneda, NYU and Finance Concepts: Some remarks on VIX futures and ETPs

September 26 @ 11:00 am - 12:30 pm
639 Evans Hall at UC Berkeley, 639 Evans Hall
Berkeley, CA 94720 United States
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This talk discusses the "VIX complex'': index, futures and exchange-traded products based on S&P 500 option-implied volatility. We examine the stationarity hypothesis for VIX and its consequences in terms of risk-modeling. PCA analysis and results of Alexander and Kavila suggest that constant-maturity VIX futures may be modeled using two common statistical factors. The VIX dynamics consists of fluctuation around an equilibrium state, which is in contango (ranging approximately from 12 (spot VIX) to 20 (long term futures)), concave down, and…

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October 2017

Nick Gunther

October 3 @ 11:00 am - 12:30 pm
639 Evans Hall at UC Berkeley, 639 Evans Hall
Berkeley, CA 94720 United States
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Alexander N D’amour

October 10 @ 11:00 am - 12:30 pm
639 Evans Hall at UC Berkeley, 639 Evans Hall
Berkeley, CA 94720 United States
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David Bailey, UC Davis

October 17 @ 11:00 am - 12:30 pm
639 Evans Hall at UC Berkeley, 639 Evans Hall
Berkeley, CA 94720 United States
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Read more about his research: http://www.davidhbailey.com/

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Samim Ghamami

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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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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