Fall 2016

SEM217: Alex Papanicolaou: Testing Local Volatility in Short Rate Models

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

Testing Local Volatility in Short Rate Models

Alex Papanicolaou, UC Berkeley

The first CRMR Risk Seminar of Fall 2016 features work by CDAR Postdoc Alex Papanicolaou. Abstract: We provide a simple and easy to use goodness-of-fit test for the misspecification of the volatility function in diffusion models. The test uses power variations constructed as functionals of discretely observed diffusion processes. We introduce an...

SEM217: Baeho Kim, Korea University Business School: Stochastic Intensity Margin Modeling of Credit Default Swap Portfolios

Tuesday, September 6th @ 11:00-12:30 PM (639 Evans Hall)

Stochastic Intensity Margin Modeling of Credit Default Swap Portfolios

Baeho Kim, Korea University Business School

Abstract: We consider the problem of initial margin (IM) modeling for portfolios of credit default swaps (CDS) from the perspective of a derivatives Central Counterparty (CCP). The CCPs' IM models in practice are based on theoretically-unfounded direct statistical modeling of CDS spreads. Using a reduced-form...

SEM217: Bjorn Flesaker, Adjunct Professor at Courant Institute of Mathematical Sciences, NYU: Some Empirical Properties of a Bounded Interest Rate Model

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

Some Empirical Properties of a Bounded Interest Rate Model

Bjorn Flesaker, Adjunct Professor at Courant Institute of Mathematical Sciences, NYU

We consider the two-factor version of a family of time-homogeneous interest rate models introduced by Cairns (Math Finance, 2004) in the Flesaker-Hughston positive interest framework. Specifically, we calibrate the model to cross-sectional USD swap and swaption market data, and we compare...

SEM217: Samim Ghamami, Office of Financial Research: Does OTC Derivatives Reform Incentivize Central Clearing?

Tuesday, October 4th @ 11:00-12:30 PM (639 Evans Hall)

Does OTC Derivatives Reform Incentivize Central Clearing?

Samim Ghamami, Office of Financial Research

Joint Work with Paul Glasserman Abstract: The reform program for the over-the-counter (OTC) derivatives market launched by the G-20 nations in 2009 seeks to reduce systemic risk from OTC derivatives. The reforms require that standardized OTC derivatives be cleared through central counterparties (CCPs), and they set higher capital...

SEM217: Mark Flood, Office of Financial Research: Measures of Financial Network Complexity: A Topological Approach

Tuesday, September 27th @ 11:00-12:30 PM (639 Evans Hall)

Measures of Financial Network Complexity: A Topological Approach

Mark Flood, Office of Financial Research

We present a general definition of complexity appropriate for financial counterparty networks and derive several topologically based implementations. These range from simple and obvious metrics to others that are more mathematically subtle. It is important to tailor a complexity measure to the specific context in which it...

SEM217: Ram Akella, University of California, Berkeley School of Information and TIM/CITRIS/UCSC: Dynamic Multi-modal and Real-Time Causal Predictions and Risks

Tuesday, September 20th @ 11:00-12:30 PM (639 Evans Hall)

Dynamic Multi-modal and Real-Time Causal Predictions and Risks

Ram Akella, University of California, Berkeley School of Information and TIM/CITRIS/UCSC

There are three major trends in prediction and risk analytics. We describe our research on two fronts and speculate on the third. We do this in the context of healthcare analytics and computational advertising at Silicon Valley firms. We first describe prediction and risk...

SEM217: Daniel Mantilla-Garcia, Optimal Asset Management: Disentangling the Volatility Return: A Predictable Return Driver of Any Diversified Portfolio

Tuesday, September 13th @ 11:00-12:30 PM (639 Evans Hall)

Disentangling the Volatility Return: A Predictable Return Driver of Any Diversified Portfolio

Daniel Mantilla-Garcia, Optimal Asset Management

Abstract: The long-term performance of any portfolio can be decomposed as the sum of the weighted average long-term return of its assets plus the volatility return of the portfolio. The volatility return represents a larger proportion of the total return of portfolios with more...

SEM217: Jim Hawley & Hendrik Bartel, TruValue Labs: Big Data Analytics and ‘Non-Financial’ Sustainability Information—uses of and initial findings from TruValue Labs’ first years

Tuesday, November 15th @ 11:00-12:30 PM (639 Evans Hall)

Big Data Analytics and ‘Non-Financial’ Sustainability Information—uses of and initial findings from TruValue Labs’ first years

Jim Hawley & Hendrik Bartel, TruValue Labs

We present an overview of the current state of ESG (environmental, social, and corporate governance) data in the context of the value of so-called non-financial information. TruValue Labs generates real-time ESG/sustainability data using natural language...

SEM217: Farzad Pourbabaee, UC Berkeley: Portfolio selection: Capital at risk minimization under correlation constraint

Tuesday, November 8th @ 11:00-12:30 PM (639 Evans Hall)

Portfolio selection: Capital at risk minimization under correlation constraint

Farzad Pourbabaee, UC Berkeley

We studied the portfolio optimization problem in the Black-Scholes setup, subject to certain constraints. Capital at Risk (CaR) has turned out to resolve many of the shortcomings of the Value at Risk, hence is taken in this presentation as the objective of the optimization problem. Then, the CaR minimizing portfolio is...

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...