Fall 2018

Thursday, January 18, 2018

Seminar 217, Risk Management: Concrete examples of trend analyses and forward-looking modelling in Swiss Re's underwriting

Seminar: Risk Management | January 18 | 12:30-2 p.m. | 1011 Evans Hall

 Speaker: Matthias Weber, Swiss Re

 Center for Risk Management Research

- 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 Re is determining loss relevant trends using advanced analytics, often in collaboration with...   More >

Thursday, January 25, 2018

Seminar 217, Risk Management: PageRank on directed complex networks

Seminar: Risk Management | January 25 | 12:30-2 p.m. | 1011 Evans Hall

 Speaker: Mariana Olvera-Cravioto, UC Berkeley

 Center for Risk Management Research

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 follows a power-law with the same tail-index as the...   More >

Thursday, February 1, 2018

Seminar 217, Risk Management: Interpretable proximate factors for large dimensions

Seminar: Risk Management | February 1 | 12:30-2 p.m. | 1011 Evans Hall

 Speaker: Markus Pelger, Stanford

 Center for Risk Management Research

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 show that proximate factors consisting of...   More >

Thursday, February 15, 2018

Seminar 217, Risk Management: Digitally-driven change in the insurance industry—disruption or transformation?

Seminar: Risk Management | February 15 | 12:30-2 p.m. | 1011 Evans Hall

 Speaker: Jeffrey Bohn, Swiss Re

 Center for Risk Management Research

As technology continues to insinuate itself into all facets of financial services, the insurance industry faces a slow-motion parade of promise, possibilities, prematurity, and pared-down expectations. Digitization, the birth of InsurTech, machine intelligence, and the collection & curation of (orders of magnitude) more structured & unstructured data are changing (and will continue to change) the...   More >

Thursday, February 22, 2018

Seminar 217, Risk Management: Solving the “curse of dimensionality” problem in multi-asset-class risk models

Seminar: Risk Management | February 22 | 12:30-2 p.m. | 1011 Evans Hall

 Speaker: Jose Menchero, Bloomberg

 Center for Risk Management Research

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 relationships that make it unsuitable for portfolio construction purposes....   More >

Thursday, March 1, 2018

Seminar 217, Risk Management: The role of dynamic and static volatility interruptions: Evidence from the Korean stock markets

Seminar: Risk Management | March 1 | 12:30-2 p.m. | 1011 Evans Hall

 Speaker: Kyong Shik Eom, UC Berkeley

 Center for Risk Management Research

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 find that dynamic VI is effective in stabilizing markets and price discovery, while the...   More >

Thursday, March 8, 2018

Seminar 217, Risk Management: Factor Strategies: Crowding, Capacity and Sources of Active Returns

Seminar: Risk Management | March 8 | 12:30-2 p.m. | 1011 Evans Hall

 Speaker: Ananth Madhavan, Blackrock

 Center for Risk Management Research

We develop a methodology to estimate dynamic factor loadings using cross-sectional risk characteristics, which is especially useful when factor loadings significantly vary over time. In comparison, standard regression approaches assume the factor loadings are constant over a particular window. Applying the methodology to a dataset of U.S.-domiciled mutual funds we distinguish the components of...   More >

Thursday, March 15, 2018

Seminar 217, Risk Management: A Credit Risk Framework With Jumps and Stochastic Volatility

Seminar: Risk Management | March 15 | 12:30-2 p.m. | 1011 Evans Hall

 Speaker: Alec Kercheval, Florida State University

 Center for Risk Management Research

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 default swaps, even when the stock has stochastic volatility, the...   More >

Thursday, March 22, 2018

Seminar 217, Risk Management: The Financing Rate Implied by Equity Futures

Seminar: Risk Management | March 22 | 12:30-2 p.m. | 1011 Evans Hall

 Speaker: Nick Gunther, UC Berkeley

 Center for Risk Management Research

This talk will explore the cost of implicit leverage associated with an S&P 500 Index futures contract and derive an implied financing rate. While this implicit financing rate was often attractive relative to market rates on explicit financings, the relationship between the implicit and explicit financing rates was volatile and varied considerably based on legal and economic regimes. Among other...   More >

Thursday, April 5, 2018

Seminar 217, Risk Management: The Securitization and Solicited Refinancing Channel of Monetary Policy

Seminar: Risk Management | April 5 | 12:30-2 p.m. | 1011 Evans Hall

 Speaker: Rupal Kamdar, UC Berkeley

 Center for Risk Management Research

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 when rates drop, these lenders are more likely to signal to...   More >

Thursday, April 12, 2018

Seminar 217, Risk Management: The Long-lasting Effects of Propaganda on Financial Risk-Taking

Seminar: Risk Management | April 12 | 12:30-2 p.m. | 1011 Evans Hall

 Speaker: Ulrike Malmendier, UC Berkeley

 Center for Risk Management Research

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.

Thursday, April 19, 2018

Seminar 217, Risk Management: Could Probability of Informed Trading Predict Market Volatility?

Seminar: Risk Management | April 19 | 12:30-2 p.m. | 1011 Evans Hall

 Speaker: John Wu, LBL

 Center for Risk Management Research

Significant market events such as Flash Crash of 2010 undermine the trust of the capital market system. An ability to forecast such events would give market participants and regulators time to react to such events and mitigate their impact. For this reason, there have been a number of attempts to develop early warning indicators. In this work, we explore one such indicator named Probability of...   More >

Thursday, April 26, 2018

Seminar 217, Risk Management: Statistical Arbitrage

Seminar: Risk Management | April 26 | 12:30-2 p.m. | 1011 Evans Hall

 Speaker: George Papanicolaou, Stanford

 Center for Risk Management Research

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 be presented...   More >