Events

SEM217: Danny Ebanks, Federal Reserve: The Network of Large-Value Loans in the US: Concentration and Segregation

Tuesday, November 1st @ 11:00-12:30 PM (639 Evans Hall)

The Network of Large-Value Loans in the US: Concentration and Segregation

Danny Ebanks, Federal Reserve

On this joint project with Anton Badev, we analyze the universe of large-value loans intermediated through Fedwire, the primary U.S. real-time, gross settlement service provided by the Federal Reserve System for the period from 2007 to 2015. We embed banks' bilateral lending relationships and interest rate quotes in a game on a...

SEM217: Ryan Copus and Hannah Laqueur, UC Berkeley: Machines Learning Justice: A New Approach to the Problems of Inconsistency and Bias in Adjudication

Tuesday, October 25th @ 11:00-12:30 PM (639 Evans Hall)

Machines Learning Justice: A New Approach to the Problems of Inconsistency and Bias in Adjudication

Ryan Copus and Hannah Laqueur, UC Berkeley

Abstract: We offer a two-step algorithmic approach to the problems of inconsistency and bias in legal decision making. First, we propose a new tool for reducing inconsistency: Judgmental Bootstrapping Models (“JBMs”) built with machine learning methods. JBMs, by providing judges with...

SEM217: Thomas Idzorek, CFA, Head of Investment Methodology and Economic Research at Morningstar: Popularity: A Unifying Asset Pricing Framework?

Tuesday, October 18th @ 11:00-12:30 PM (639 Evans Hall)

Popularity: A Unifying Asset Pricing Framework?

Thomas Idzorek, CFA, Head of Investment Methodology and Economic Research at Morningstar

In a 2014 article, Thomas Idzorek and Roger Ibbotson introduced popularity as an asset pricing framework....

SEM217: Robert M. Anderson, CDAR Co-Director: PCA with Model Misspecification

Tuesday, November 29th @ 11:00-12:30 PM (639 Evans Hall)

PCA with Model Misspecification

Robert M. Anderson, CDAR Co-Director

In this project with UC Berkeley Ph.D. Candidate Farzad Pourbabaee, Principal Component Analysis (PCA) relies on the assumption that the data being analyzed is IID over the estimation window. PCA is frequently applied to financial data, such as stock returns, despite the fact that these data exhibit obvious and substantial changes in volatility. We show that...

SEM217: Lionel Martellini (EDHEC-Risk Institute), Mass Customisation versus Mass Production in Retirement Investment Management: Addressing a “Tough Engineering Problem”

Tuesday, July 25th @ 11:00-12:30 PM (1011 Evans Hall)

Addressing a “Tough Engineering Problem”

Lionel Martellini (EDHEC-Risk Institute), Mass Customisation versus Mass Production in Retirement Investment Management

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...

SEM217: Michael Ohlrogge, Stanford: Bank Capital and Risk Taking: A Loan Level Analysis

Tuesday, August 29th @ 11:00-12:30 PM (639 Evans Hall)

Bank Capital and Risk-Taking: A Loan Level Analysis

Michael Ohlrogge, Stanford

I examine 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...

SEM217: Robert Anderson, UC Berkeley: Sparse Low Rank Dictionary Learning

Tuesday, September 5th @ 11:00-12:30 PM (639 Evans Hall)

Sparse Low-Rank Dictionary Learning

Robert Anderson, UC Berkeley

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...

SEM217: Jeremy Evnine, Evnine & Associates: Social Finance and the Postmodern Portfolio: Theory and Practice

Tuesday, September 12th @ 11:00-12:30 PM (639 Evans Hall)

Social Finance and the Postmodern Portfolio: Theory and Practice

Jeremy Evnine, Evnine & Associates

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...

SEM217: Ben Gum, AXA Rosenberg: Machine Learning and Alternative Data in Fundamental-based Quantitative Equity

Tuesday, September 26th @ 11:00-12:30 PM (639 Evans Hall)

Machine Learning and Alternative Data in Fundamental-based Quantitative Equity

Ben Gum, AXA Rosenberg

We begin with a survey of machine learning techniques and applications outside of finance. Then we discuss our use of Machine Learning techniques at Rosenberg. Finally, we explore some alternative data sources.

SEM217: Nick Gunther, UC Berkeley: The Futures Financing Rate

Tuesday, November 28th @ 11:00-12:30 PM (639 Evans Hall)

The Futures Financing Rate

Nick Gunther, UC Berkeley

We estimate the financing rate implicit in equity index futures (“FIR”) by comparing the prices of the near and next contracts and adjusting for expected dividends and convexity. We provide a direct estimate of the FIR volatility, along with...