All seminars are held in 639 Evans Hall at UC Berkeley, unless otherwise notified.

Upcoming seminar

Tuesday, August 29, 2017 
11:00 AM to 12:30 PM

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

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% decrease in the default risk of mortgage loans held on portfolio (from a net foreclosure rate of 2.5% to 2.4%). Bank capital has macro impacts. When considering the average capital of banks in counties during the pre-crisis period, a one point increase in capital levels is associated with a 2.9% reduction in foreclosures during the financial crisis. A five point increase in capital ratios, which was achieved post-crisis, could have prevented at least 430,000 foreclosures had it occurred earlier. These results are robust to bank and time fixed effects and an instrumental variables strategy for predicting bank capital.

All seminars


Tuesday, July 25, 2017 
11:00 AM to 12:30 PM
Lionel Martellini (EDHEC-Risk Institute), Mass Customisation versus Mass Production in Retirement Investment Management: Addressing a “Tough Engineering Problem”

The seminar will be held at 1011 Evans Hall, UC Berkeley.

Abstract:
Triggered by the introduction of ever stricter accounting and prudential pension fund regulations, a massive shift from defined-benefit to defined-contribution pension schemes is taking place across the world. As a result of this massive shift of retirement risks on individuals, the investment management industry is facing an increasing responsibility in terms of the need to provide households with suitable retirement solutions. Existing retirement products such as target date funds, annuities and variable annuities suffer from a number of shortcomings which make them ill-suited for investors saving for retirement in the accumulation phase of their life-cycle. In this paper, we describe how dynamic asset pricing theory and financial engineering can be used to design scalable mass-customised forms of retirement solutions that can address the specific retirement needs and constraints of a large number of individuals in a parsimonious manner.

Speaker Bio:
Lionel Martellini is Professor of Finance at EDHEC Business School, Director of EDHEC-Risk Institute and Senior Scientific Advisor for ERI Scientific Beta. He is a former member of the faculty at the Marshall School of Business, University of Southern California, and has been a visiting fellow at the Operations Research and Financial Engineering department at Princeton University.

Lionel holds Master’s Degrees in Business Administration (ESCP Europe), Economics and Statistics (ENSAE) and Mathematics (Paris 6 University), as well as a PhD in Finance from the Haas School of Business, University of California at Berkeley. He also recently completed a PhD in Relativistic Astrophysics (University Côte d'Azur) and has been involved in the LIGO/Virgo international collaboration for the observation of gravitational waves.

Lionel is a member of the editorial board of The Journal of Portfolio Management, The Journal of Alternative Investments, and The Journal of Retirement. He conducts active research in a broad range of topics investment solutions for individual and institutional investors, equity and fixed-income portfolio construction, risk management and derivatives valuation. His work has been published in leading academic and practitioner journals and has been featured in major European and global dailies such as The Financial Times and The Wall Street Journal. He has co-authored reference textbooks on topics related to Alternative Investment Strategies, Fixed-Income Securities and Investment Solutions.

Lionel has served as a consultant for institutional investors, investments banks and asset management firms on a number of questions related to risk and asset allocation decisions, and is a regular speaker in seminars and conferences on these subjects.



Tuesday, August 29, 2017 
11:00 AM to 12:30 PM
Michael Ohlrogge, Stanford: Bank Capital and Risk Taking: A Loan Level Analysis

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% decrease in the default risk of mortgage loans held on portfolio (from a net foreclosure rate of 2.5% to 2.4%). Bank capital has macro impacts. When considering the average capital of banks in counties during the pre-crisis period, a one point increase in capital levels is associated with a 2.9% reduction in foreclosures during the financial crisis. A five point increase in capital ratios, which was achieved post-crisis, could have prevented at least 430,000 foreclosures had it occurred earlier. These results are robust to bank and time fixed effects and an instrumental variables strategy for predicting bank capital.



Tuesday, September 5, 2017 
11:00 AM to 12:30 PM
Bob Anderson, UC Berkeley: Sparse Low Rank Dictionary Learning

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.



Tuesday, September 12, 2017 
11:00 AM to 12:30 PM
Jeremy Evnine, Evnine & Associates: Social Finance and the Postmodern Portfolio: Theory and Practice

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 return that is valued by investors will have, ceteris paribus, lower financial expected return. We also present guidelines for practical implementation of this approach to portfolio management.



Tuesday, September 26, 2017 
11:00 AM to 12:30 PM
Marco Avellaneda, NYU and Finance Concepts: Some remarks on VIX futures and ETPs
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 more concave for short tenors, and  a second factor associated with exogenous shocks, which tends to invert the term structure and has large amplitudes for short-tenor futures. The latter factor has short half-life compared to the first mode. It is responsible for sporadic "wild'' dislocation of the VIX futures during periods of market uncertainty, such as 2008, 2001, Brexit, French elections, etc. Using parametric as well as non-parametric models, we study the dynamics of VIX exchange-traded products (ETPs) associated with rolling futures strategies, and study the risk-return of volatility-selling schemes. This is joint work with Andrew Papanicolaou from NYU Engineering.

 

 



Tuesday, October 3, 2017 
11:00 AM to 12:30 PM


Tuesday, October 10, 2017 
11:00 AM to 12:30 PM


Tuesday, October 17, 2017 
11:00 AM to 12:30 PM


Tuesday, October 24, 2017 
11:00 AM to 12:30 PM


Tuesday, November 7, 2017 
11:00 AM to 12:30 PM


Tuesday, November 14, 2017 
11:00 AM to 12:30 PM