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...
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...
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...
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...
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...
Tuesday, February 26th @ 11:00-12:30 PM (1011 Evans Hall)
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...
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...
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...
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...
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 , thus we frame the decision making...