Fall 2018

Tuesday, August 28, 2018

Seminar 217, Risk Management: Is motor insurance ratemaking going to change with telematics and semi-autonomous vehicles?

Seminar: Risk Management | August 28 | 11 a.m.-12:30 p.m. | 1011 Evans Hall

 Speaker: Montserrat Guillen, University of Barcelona

 Consortium for Data Analytics in Risk

Many automobile insurance companies offer the possibility to monitor driving habits and distance driven by means of telematics devices installed in the vehicles. This provides a novel source of data that can be analysed to calculate personalised tariffs. For instance, drivers who accumulate a lot of miles should be charged more for their insurance coverage than those who make little use of their...   More >

Tuesday, September 4, 2018

Seminar 217, Risk Management: On Optimal Options Book Execution Strategies with Market Impact

Seminar: Risk Management | September 4 | 11 a.m.-12:30 p.m. | 1011 Evans Hall

 Speaker: Saad Mouti, UC Berkeley

 Consortium for Data Analytics in Risk

We consider the optimal execution of a book of options when market impact is a driver of the option price. We aim at minimizing the mean-variance risk criterion for a given market impact function. First, we develop a framework to justify the choice of our market impact function. Our model is inspired from Leland’s option replication with transaction costs where the market impact is directly part...   More >

Tuesday, September 11, 2018

Seminar 217, Risk Management: Capacity constraints in earning, and asset prices before earnings announcements

Seminar: Risk Management | September 11 | 11 a.m.-12:30 p.m. | 1011 Evans Hall

 Speaker: Tamas Batyi, UC Berkeley

 Consortium for Data Analytics in Risk

This paper proposes an asset pricing model with endogenous allocation of constrained learning capacity, that provides an explanation for abnormal returns before the scheduled release of information about firms, such as quarterly earnings announcements. In equilibrium investors endogenously focus their learning capacity and acquire information about stocks with upcoming announcements, resulting in...   More >

Tuesday, September 18, 2018

Seminar 217, Risk Management: Nonstandard Analysis and its Application to Markov Processes

Seminar: Risk Management | September 18 | 11 a.m.-12:30 p.m. | 1011 Evans Hall

 Speaker: Haosui Duanmu, UC Berkeley

 Consortium for Data Analytics in Risk

Nonstandard analysis, a powerful machinery derived from mathematical logic, has had many applications in probability theory as well as stochastic processes. Nonstandard analysis allows construction of a single object - a hyperfinite probability space - which satisfies all the first order logical properties of a finite probability space, but which can be simultaneously viewed as a...   More >

Tuesday, September 25, 2018

Seminar 217, Risk Management: A Deep Learning Investigation of One-Month Momentum

Seminar: Risk Management | September 25 | 11 a.m.-12:30 p.m. | 1011 Evans Hall

 Speaker: Ben Gum, AXA Rosenberg

 Consortium for Data Analytics in Risk

The one-month return reversal in equity prices was first documented by Jedadeesh (1990), who found that there was a highly significant negative serial correlation in the monthly return series of stocks. This is in contrast to the positive serial correlation of the annual stock returns. Explanations for this effect differ, but the general consensus has been that the trailing one-month return...   More >

Tuesday, October 2, 2018

Seminar 217, Risk Management: Predicting Portfolio Return Volatility at Median Horizons

Seminar: Risk Management | October 2 | 11 a.m.-12:30 p.m. | 1011 Evans Hall

 Speaker: Dangxing Chen, UC Berkeley

 Consortium for Data Analytics in Risk

Commercially available factor models provide good predictions of short-horizon (e.g. one day or one week) portfolio volatility, based on estimated portfolio factor loadings and responsive estimates of factor volatility. These predictions are of significant value to certain short-term investors, such as hedge funds. However, they provide limited guidance to long-term investors, such as Defined...   More >

Tuesday, October 9, 2018

Seminar 217, Risk Management: Robust Learning: Information Theory and Algorithms

Seminar: Risk Management | October 9 | 11 a.m.-12:30 p.m. | 1011 Evans Hall

 Speaker: Jacob Steinhardt, Stanford

 Consortium for Data Analytics in Risk

This talk will provide an overview of recent results in high-dimensional robust estimation. The key question is the following: given a dataset, some fraction of which consists of arbitrary outliers, what can be learned about the non-outlying points? This is a classical question going back at least to Tukey (1960). However, this question has recently received renewed interest for a combination of...   More >

Tuesday, October 16, 2018

Seminar 217, Risk Management: Asymptotic Spectral Analysis of Markov Chains with Rare Transitions: A Graph-Algorithmic Approach

Seminar: Risk Management | October 16 | 11 a.m.-12:30 p.m. | 1011 Evans Hall

 Speaker: Tingyue Gan, UC Berkeley

 Consortium for Data Analytics in Risk

Parameter-dependent Markov chains with exponentially small transition rates arise in modeling complex systems in physics, chemistry, and biology. Such processes often manifest metastability, and the spectral properties of the generators largely govern their long-term dynamics. In this work, we propose a constructive graph-algorithmic approach to computing the asymptotic estimates of eigenvalues...   More >

Friday, October 19, 2018

4th Annual CDAR Symposium 2018

Conference/Symposium: Risk Management | October 19 | 8:30 a.m.-6:30 p.m. | Memorial Stadium, University Club

 

 Consortium for Data Analytics in Risk

Our conference will feature new developments in data science, highlighting applications to finance and risk management. Confirmed speakers include Jeff Bohn, Olivier Ledoit, Ulrike Malmendier, Steven Kou, Ezra Nahum, Roy Henriksson, and Ken Kroner.

 

  RSVP online or or by emailing Sang Oum at soum@berkeley.edu by October 12.

Tuesday, October 23, 2018

Seminar 217, Risk Management: Proliferation of Anomalies and Zoo of Factors – What does the Hansen–Jagannathan Distance Tell Us?

Seminar: Risk Management | October 23 | 11 a.m.-12:30 p.m. | 1011 Evans Hall

 Speaker: Xiang Zhang, SWUFE

 Consortium for Data Analytics in Risk

Recent research finds that prominent asset pricing models have mixed success in evaluating the cross-section of anomalies, which highlights proliferation of anomalies and zoo of factors. In this paper, I investigate that how is the relative pricing performance of these models to explain anomalies, when comparing their misspecification errors– the Hansen–Jagannathan (HJ) distance measure. I find...   More >

Tuesday, November 13, 2018

Seminar 217, Risk Management: Topic Forthcoming

Seminar: Risk Management | November 13 | 11 a.m.-12:30 p.m. | 1011 Evans Hall

 Speaker: Wachi Bandara, Pluribus Labs

 Consortium for Data Analytics in Risk

Tuesday, November 27, 2018

Seminar 217, Risk Management: Topic Forthcoming

Seminar: Risk Management | November 27 | 11 a.m.-12:30 p.m. | 1011 Evans Hall

 Speaker: Michael Ohlrogge, Stanford

 Consortium for Data Analytics in Risk