Events

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

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

The coordination of centralised and distributed generation

Matteo Basei, UC Berkeley

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. We consider the point of view of the consumer, the firm and a social planner, formulating...

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

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

Endogenous risk, indirect contagion and systemic risk

Rama Cont, University of Oxford

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. We...

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

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

Computation of Optimal Conditional Expected Drawdown Portfolios

Alex Papanicolaou, Intelligent Financial Machines

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...

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)

Sustainable Responsible Investing and the Cross-Section of Return and Risk

Saad Mouti, UC Berkeley

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. We test a variety of regression-based models used in the field of supervised...

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)

Collateralized Networks

Samim Ghamami, Goldman Sachs and UC Berkeley Center for Risk Management Research

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...

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

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

How elementary is diversification?

Ola Mahmoud, University of Zurich

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. Today, there is general consensus that some form of diversification is beneficial in asset allocation, however its definition is context-dependent and there is no consensus...

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

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

Financial Frictions, Foreign Currency Borrowing, and Systemic Risk

Robert Marquez, UC Davis

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...

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)

Asset Insurance Premium in the Cross-Section of Asset Synchronicity

Raymond Leung, UC Berkeley

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. We estimate the AIP by projecting a stock’s...

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

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

Robust Experimentation in the Continuous-Time Bandit Problem

Farzad Pourbabaee, UC Berkeley

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. The DM entertains Multiplier preferences a la Hansen and Sargent [2001], thus we frame the decision making...

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)

Linking 10-K and the GICS - through Experiments of Text Classification and Clustering

Tingyue Gan, UC Berkeley

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. But this is one of the most comprehensive and most important documents a public company can publish on a...