Spring 2019

Risk Seminar Spring 2019 pic

SEM217: Peng Ding, UC Berkeley: Instrumental variables as bias amplifiers with general outcome and confounding

Tuesday, January 22nd @ 11:00-12:30 PM (1011 Evans Hall)

Drawing causal inference with observational studies is the central pillar of many disciplines. One sufficient condition for identifying the causal effect is that the treatment-outcome relationship is unconfounded conditional on the observed covariates. 

Risk Seminar Spring 2019 pic

SEM217: Matteo Basei, UC Berkeley: The coordination of centralised and distributed generation

Tuesday, January 29th @ 11:00-12:30 PM (1011 Evans Hall)

We analyse the interaction between centralised carbon-emissive technologies and distributed non-emissive technologies. A representative consumer can satisfy her electricity demand by investing in solar panels and by buying power from a centralised firm.

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SEM217: Rama Cont, University of Oxford: Endogenous risk, indirect contagion and systemic risk

Tuesday, February 5th @ 11:00-12:30 PM (1011 Evans Hall)

Deleveraging by financial institutions in response to losses may lead to contagion of losses across institutions with common asset holdings. Unlike direct contagion via counterparty exposures, this channel of contagion -which we call indirect contagion- is mediated through market prices and does not require bilateral exposures or relations.

Risk Seminar Spring 2019 pic

SEM217: Alex Papanicolaou, Intelligent Financial Machines: Computation of Optimal Conditional Expected Drawdown Portfolios

Tuesday, February 12th @ 11:00-12:30 PM (1011 Evans Hall)

We introduce two approaches to computing and minimizing the risk measure Conditional Expected Drawdown (CED) of Goldberg and Mahmoud (2016). One approach is based on a continuous-time formulation yielding a partial differential equation (PDE) solution to computing and minimizing CED while another is a sampling based approach utilizing a linear program (LP) for minimizing CED.

Risk Seminar Spring 2019 pic

SEM217: Saad Mouti, UC Berkeley: Sustainable Responsible Investing and the Cross-Section of Return and Risk

Tuesday, February 19th @ 11:00-12:30 PM (1011 Evans Hall) 

The identification of factors that predict the cross-section of stock returns has been a focus of asset pricing theory for decades. We address this challenging problem for both equity performance and risk, the latter through the maximum drawdown measure. 

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SEM217: Samim Ghamami, Goldman Sachs and UC Berkeley Center for Risk Management Research: Collateralized Networks

Tuesday, February 26th @ 11:00-12:30 PM (1011 Evans Hall)

We study the spread of losses and defaults through financial networks focusing on two important elements of regulatory reforms: collateral requirements and bankruptcy stay rules in over-the-counter (OTC) markets. Under "segregated" collateral requirements, one firm can benefit from the failure of another, the failure frees the committed collateral of the surviving firm giving it additional resources to make other payments.

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SEM217: Ola Mahmoud, University of Zurich: How elementary is diversification?

Tuesday, March 5th @ 11:00-12:30 PM (648 Evans Hall)

Diversification is a fundamental concept in financial economics, risk management, and decision theory. From a broad perspective, it conveys the idea of introducing variety to a set of objects. 

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SEM217: Robert Marquez, UC Davis: Financial Frictions, Foreign Currency Borrowing, and Systemic Risk

Tuesday, March 12th @ 11:00-12:30 PM (1011 Evans Hall)

We present a novel explanation for the prevalence of foreign-currency borrowing in emerging markets. First, under limited liability, foreign-currency denominated debt acts as a state-contingent claim: Borrowers maximizing profits in local currency are partly shielded from large devaluations through bankruptcy, when repaying foreign currency debt is expensive, but pay higher rates in non-devaluation states, when repayment is relatively cheaper.

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SEM217: Raymond Leung, UC Berkeley: Asset Insurance Premium in the Cross-Section of Asset Synchronicity

Tuesday, March 19th @ 11:00-12:30 PM (1011 Evans Hall)

Any asset can use some portfolio of similar assets to insure against its own factor risks, even if the identities of the factors are unknown. A long position of an asset and a short position of this portfolio forms an asset insurance premium (AIP) that is different from the equity risk premium.

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SEM217: Farzad Pourbabaee, UC Berkeley: Robust Experimentation in the Continuous Time Bandit Problem

Tuesday, April 2nd @ 11:00-12:30 PM (1011 Evans Hall)

We consider the experimentation dynamics of a decision maker (DM) in a two-armed bandit setup, where the agent holds ambiguous beliefs regarding the distribution of the return process of one arm and is certain about the other one. 

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SEM217: Tingyue Gan, UC Berkeley: Linking 10-K and the GICS - through Experiments of Text Classification and Clustering

Tuesday, April 16th @ 11:00-12:30 PM (1011 Evans Hall)

A 10-K is an annual report filed by a publicly traded company about its financial performance and is required by the U.S. Securities and Exchange Commission (SEC). 10-Ks are fairly long and tend to be complicated.

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SEM217: Senyang Zhao, SWUFE: The Implication of Information Network in Market Quality and Market Reaction to Public Announcements

Tuesday, April 30th @ 11:00-12:30 PM (1011 Evans Hall)

This research studies the role of information network in market quality and market reaction to public announcements. We propose in this article a three-period rational noisy expected equilibrium model by taking both public and private information into account with an embedded information network structure among market traders.