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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: Machine Learning and Alternative Data in Fundamental-based Quantitative Equity

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


Speaker: Ben Gum, AXA Rosenberg

Center for Risk Management Research


We begin with a survey of machine learning techniques and applications outside of finance. Then we discuss our use of Machine Learning techniques at Rosenberg. Finally, we explore some alternative data sources.

Tuesday, October 3, 2017

Seminar 217, Risk Management: Nonparametric Risk Attribution for Factor Models of Portfolios

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


Speaker: Kellie Ottoboni, UC Berkeley

Center for Risk Management Research


Factor models are used to predict the future returns of a portfolio with known positions in many assets. These simulations yield a distribution of future returns and various measures of the risk of the portfolio. Clients would often like to identify sources of risk in their portfolios, but this is difficult when factors influence the portfolio in nonlinear ways, such as when returns are measured...   More >

Tuesday, October 10, 2017

Seminar 217, Risk Management: Advances in Basketball Analytics Using Player Tracking Data

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


In the 2013-2014 season, the National Basketball League, in conjunction with STATS LLC, implemented a league-wide program to collect player-tracking data for all NBA games. The data feed now provides 25-FPS records of all players' XY coordinates on the court, as well as XYZ coordinates for the ball. This data source has opened up new lines in inquiry into the quantitative analysis of basketball...   More >

Tuesday, October 17, 2017

Seminar 217, Risk Management: Backtest overfitting, stock fund design and forecast performance

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


Speaker: David Bailey, LBNL and UC Davis

Center for Risk Management Research


Backtest overfitting means the usage of backtests (historical market data) to construct an investment strategy, fund or portfolio, when the number of variations explored exceeds limits of statistical reliability. We show that backtest overfitting is inevitable when computer programs are employed to explore millions or even billions of parameter variations (as is typical) to select an optimal...   More >

Tuesday, October 24, 2017

Seminar 217, Risk Management: Submodular Risk Allocation

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


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

Center for Risk Management Research


We analyze the optimal allocation of trades to portfolios when the cost associated with an allocation is proportional to each portfolio's risk. Our investigation is motivated by changes in the over-the-counter derivatives markets, under which some contracts may be traded bilaterally or through central counterparties, splitting a set of trades into two or more portfolios. A derivatives dealer...   More >

Tuesday, October 31, 2017

Seminar 217, Risk Management: CANCELLED

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


No Speaker

Center for Risk Management Research

Tuesday, November 7, 2017

Seminar 217, Risk Management: Rough Heston model: Pricing, hedging and microstructural foundations

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


Speaker: Mathieu Rosenbaum, École Polytechnique

Center for Risk Management Research


It has been recently shown that rough volatility models, where the volatility is driven by a fractional  Brownian motion with small Hurst parameter, provide very relevant dynamics in order to reproduce the  behavior of both historical and implied volatilities. However, due to the non-Markovian nature of the fractional Brownian motion, they raise new issues when it comes to the risk management of...   More >

Tuesday, November 14, 2017

Seminar 217, Risk Management: Investor Behavior and Market Dynamics

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


Speaker: John Arabadjis, State Street

Center for Risk Management Research


The Market is a consensual hallucination that commands attention by wielding its Invisible Hand. In this talk we will examine the ways that Adam Smith’s 250-year-old appendage makes itself felt – positioning, trading, and hurting herding – and their implications for the investment process.

Tuesday, November 28, 2017

Seminar 217, Risk Management: The Futures Financing Rate

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


Speaker: Nicholas Gunther, UC Berkeley

Center for Risk Management Research


We estimate the financing rate implicit in equity index futures (“FIR”) by comparing the prices of the near and next contracts and adjusting for expected dividends and convexity. We provide a direct estimate of the FIR volatility, along with the correlation of the FIR and the underlying stock index, which are required for the convexity adjustment and the specification of confidence intervals. Our...   More >