Spring 2018

Special Event: Lisa Goldberg, John Arabadjis, and Jeff Bohn to speak at Stanford's AI in Fintech Forum

Tuesday, February 8th @ 8:30-5:30 PM (Arrillaga Alumni Center, Mccaw Hall)

Lisa Goldberg, John Arabadjis, and Jeff Bohn to speak at Stanford's AI in Fintech Forum

Read the agenda here.

SEM217: Matthias Weber, Swiss Re: Concrete examples of trend analyses and forward-looking modeling in Swiss Re's underwriting

Tuesday, January 18th @12:30-2:00 PM (1011 Evans Hall)

Concrete examples of trend analyses and forward-looking modeling in Swiss Re's underwriting

Matthias Weber, Swiss Re

Abstract:

In insurance, underwriting performance is a function of exposures, losses relative to exposures and premiums relative to exposures. Getting losses and loss trends right (--> cost of goods sold) is critically important. A small estimation mistake typically has a large impact on the bottom line. Swiss...

SEM217: Mariana Olvera-Cravioto, UC Berkeley: PageRank on directed complex networks

Tuesday, January 25th @ 12:30-2:00 PM (1011 Evans Hall)

PageRank on directed complex networks

Mariana Olvera-Cravioto, UC Berkeley

Abstract: The talk will center around a set of recent results on the analysis of Google’s PageRank algorithm on directed complex networks. In particular, it will focus on the so-called power-law hypothesis, which states that the distribution of the ranks produced by PageRank on a scale-free graph (whose in-degree distribution follows a power-law) also...

SEM217: Markus Pelger, Stanford: Interpretable proximate factors for large dimensions

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

Interpretable proximate factors for large dimensions

Markus Pelger, Stanford

This papers deals with the approximation of latent statistical factors with sparse and easy-to-interpret proximate factors. Latent factors in a large-dimensional factor model can be estimated by principal component analysis, but are usually hard to interpret. By shrinking the factor weights, we obtain proximate factors that are easier to interpret. We...

SEM217: Jose Menchero, Bloomberg: Solving the "Curse of Dimensionality" Problem in Multi-Asset-Class Risk Models

Tuesday, February 22nd @ 12:30-2:00 PM (1011 Evans Hall)

Solving the "Curse of Dimensionality" Problem in Multi-Asset-Class Risk Models

Jose Menchero, Bloomberg

Estimating a robust risk model risk for a portfolio that spans multiple asset classes is a challenging task due to the “curse of dimensionality” (i.e., the problem of estimating too many relationships from too few observations). While the sample covariance matrix is easily computed, it is susceptible to capturing spurious...

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...