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Tuesday, August 29, 2017

Seminar 217, Risk Management: Bank Capital and Risk Taking: A Loan Level Analysis

Seminar: Risk Management | August 29 | 11 a.m.-1 p.m. | 639 Evans Hall


Speaker: Michael Ohlrogge, Stanford

Center for Risk Management Research


I examine whether whether low capital levels incentivize banks to systematically originate and hold riskier loans. I construct a novel data set consisting of 1.8 million small business and home mortgage loans, matched to the specific banks that originated them and the capital levels of those banks at the time of origination, and verified to be held on bank portfolios, rather than sold. A one...   More >

Tuesday, September 5, 2017

Seminar 217, Risk Management: Sparse Low Rank Dictionary Learning

Seminar: Risk Management | September 5 | 11 a.m.-1 p.m. | 639 Evans Hall


Speaker: Robert Anderson, UC Berkeley

Center for Risk Management Research


Sparse Dictionary Learning (SDL) can be used to extract narrow factors driving stock returns from a stock returns matrix, provided the returns are generated by sparse factors alone.  We describe progress on a variant called Sparse Low Rank Dictionary Learning (SLRDL), designed to simultaneously extract broad and narrow factors for the returns matrix, when the returns are generated by both types...   More >

Tuesday, September 12, 2017

Seminar 217, Risk Management: Social Finance and the Postmodern Portfolio: Theory and Practice

Seminar: Risk Management | September 12 | 11 a.m.-1 p.m. | 639 Evans Hall


Speaker: Jeremy Evnine, Evnine & Associates

Center for Risk Management Research


We formulate the portfolio construction problem as a mean/variance problem which includes a linear term representing an investor’s preference for expected “social return”, in addition to her expected “financial return” of the classical theory. By making various assumptions, we are able to exploit the heterogeneous expectations version of the CAPM to derive an equilibrium model which is an...   More >

Tuesday, September 19, 2017

Seminar 217, Risk Management: Change-point detection for stochastic processes

Seminar: Risk Management | September 19 | 11 a.m.-1 p.m. | 639 Evans Hall


Speaker: Sveinn Olafsson, Visiting Assistant Professor, UC Santa Barbara

Center for Risk Management Research


Since the work of Page in the 1950s, the problem of detecting an abrupt change in the distribution of stochastic processes has received a great deal of attention. There are two main formulations of such problems: A Bayesian approach where the change-point is assumed to be random, and a min-max approach under which the change-point is assumed to be fixed but unknown. In both cases, a deep...   More >

Tuesday, September 26, 2017

Seminar 217, Risk Management:

Seminar: Risk Management | September 26 | 11 a.m.-1 p.m. | 639 Evans Hall


Speaker: Ben Gum, AXA Rosenberg

Center for Risk Management Research

Tuesday, October 3, 2017

Seminar 217, Risk Management: The Futures Financing Rate

Seminar: Risk Management | October 3 | 11 a.m.-1 p.m. | 639 Evans Hall


Speaker: Nicholas Gunther, UC Berkeley

Center for Risk Management Research

Tuesday, October 10, 2017

Seminar 217, Risk Management:

Seminar: Risk Management | October 10 | 11 a.m.-1 p.m. | 639 Evans Hall


Speaker: Alexander D'amour, UC Berkeley

Center for Risk Management Research

Tuesday, October 17, 2017

Seminar 217, Risk Management:

Seminar: Risk Management | October 17 | 11 a.m.-1 p.m. | 639 Evans Hall


Speaker: David Bailey, LBNL

Center for Risk Management Research

Tuesday, October 24, 2017

Seminar 217, Risk Management:

Seminar: Risk Management | October 24 | 11 a.m.-1 p.m. | 639 Evans Hall


Speaker: Samim Ghamami, U.S. Department of the Treasury

Center for Risk Management Research

Tuesday, October 31, 2017

Seminar 217, Risk Management:

Seminar: Risk Management | October 31 | 11 a.m.-1 p.m. | 639 Evans Hall


Speaker:

Center for Risk Management Research

Tuesday, November 7, 2017

Seminar 217, Risk Management:

Seminar: Risk Management | November 7 | 11 a.m.-1 p.m. | 639 Evans Hall


Speaker: Mathieu Rosenbaum, École Polytechnique

Center for Risk Management Research

Tuesday, November 14, 2017

Seminar 217, Risk Management:

Seminar: Risk Management | November 14 | 11 a.m.-1 p.m. | 639 Evans Hall


Speaker: John Arabadjis, State Street

Center for Risk Management Research

Tuesday, November 28, 2017

Seminar 217, Risk Management:

Seminar: Risk Management | November 28 | 11 a.m.-1 p.m. | 639 Evans Hall


Speaker:

Center for Risk Management Research