Events

SEM217: Kyong Shik Eom, UC Berkeley: The role of dynamic and static volatility interruptions: Evidence from the Korean stock markets

Tuesday, March 1st @ 12:30-2:00 PM (1011 Evans Hall)

The role of dynamic and static volatility interruptions: Evidence from the Korean stock markets

Kyong Shik Eom, UC Berkeley

We conduct a comprehensive analysis on the sequential introductions of dynamic and static volatility interruption (VI) in the Korean stock markets. The Korea Exchange introduced VIs to improve price formation, and to limit damage to investors from brief periods of abnormal volatility, for individual stocks. We...

SEM217: Alec Kercheval, Florida State University: A Credit Risk Framework With Jumps and Stochastic Volatility

Tuesday, March 15th @ 12:30-2:00 PM (1011 Evans Hall)

A Credit Risk Framework With Jumps and Stochastic Volatility

Alec Kercheval, Florida State University

The jump threshold perspective is a view of credit risk in which the event of default corresponds to the first time a stock's log price experiences a downward jump exceeding a certain threshold size. We will describe and motivate this perspective and show that we may obtain explicit formulas for default probabilities and credit...

SEM217: Rupal Kamdar, UC Berkeley: The Securitization and Solicited Refinancing Channel of Monetary Policy

Tuesday, April 5th @ 12:30-2:00 PM (1011 Evans Hall)

The Securitization and Solicited Refinancing Channel of Monetary Policy

Rupal Kamdar, UC Berkeley

I document the “securitization and solicited refinancing channel,” a novel transmission mechanism of monetary policy and its heterogenous regional effects. The mechanism predicts that mortgage lenders who sell their originations to Government Sponsored Enterprises or into securitizations no longer hold the loan’s prepayment risk, and...

SEM217: Ulrike Malmendier, UC Berkeley: The Long-lasting Effects of Propaganda on Financial Risk-Taking

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

The Long-lasting Effects of Propaganda on Financial Risk-Taking

Ulrike Malmendier, UC Berkeley

We argue that emotional coloring of experiences via political propaganda has long-term effects on risk taking. We show that living in an anti-capitalist system reduces individuals' willingness to invest in the stock market even decades later. Utilizing a large comprehensive data set of 300,000 clients of a German discount broker, we find...

SEM217: George Papanicolaou, Stanford: Statistical Arbitrage

Tuesday, April 26th @ 12:30-2:00 PM (1011 Evans Hall)

Statistical Arbitrage

George Papanicolaou, Stanford

Statistical arbitrage is a collection of trading algorithms that are widely used today but can have very uneven performance, depending on their detailed implementation. I will introduce these methods and explain how the data used as trading signals are prepared so that they depend weakly on market dynamics but have adequate statistical regularity. The trading algorithm itself will...

SEM217: Jeffrey Bohn, Swiss Re: Digitally-driven change in the insurance industry—disruption or transformation?

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

Digitally-driven change in the insurance industry—disruption or transformation?

Jeffrey Bohn, Swiss Re

Abstract: As technology continues to insinuate itself into all facets of financial services, the insurance industry faces a slow-motion parade of promise, possibilities, prematurity, and pared-down expectations. Digitization, the birth of InsurTech, machine intelligence, and the collection & curation of (orders of magnitude)...

SEM217: John Wu, LBL: Could Probability of Informed Trading Predict Market Volatility?

Tuesday, April 19th @ 12:30-2:00 PM (1011 Evans Hall)

Could Probability of Informed Trading Predict Market Volatility?

John Wu, LBL

Significant market events such as Flash Crash of 2010 undermine the trust of the capital market system. An ability to forecast such events would give market participants and regulators time to react to such events and mitigate their impact. For this reason, there have been a number of attempts to develop early warning indicators. In this work, we explore...

SEM217: Ananth Madhavan, Blackrock: Factor Strategies: Crowding, Capacity and Sources of Active Returns

Tuesday, March 8th @ 12:30-2:00 PM (1011 Evans Hall)

Factor Strategies: Crowding, Capacity and Sources of Active Returns

Ananth Madhavan, Blackrock

We develop a methodology to estimate dynamic factor loadings using cross-sectional risk characteristics, which is especially useful when factor loadings significantly vary over time. In comparison, standard regression approaches assume the factor loadings are constant over a particular window. Applying the methodology to a dataset of U.S.-...

SEM217: Nick Gunther, UC Berkeley: The Financing Rate Implied by Equity Futures

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

The Financing Rate Implied by Equity Futures

Nick Gunther, UC Berkeley

This talk will explore the cost of implicit leverage associated with an S&P 500 Index futures contract and derive an implied financing rate. While this implicit financing rate was often attractive relative to market rates on explicit financings, the relationship between the implicit and explicit financing rates was volatile and varied considerably based on...

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)

Instrumental variables as bias amplifiers with general outcome and confounding

Peng Ding, UC Berkeley

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. It is often believed that the more covariates we condition on, the more...