Mathematical Finance Seminar

Collateralized Networks

Speaker: Samim Ghamami, Goldman Sachs

Location: Warren Weaver Hall 1302
251 Mercer St, New York, NY 10012

Date: Tuesday, December 4, 2018, 5:30 p.m.

Synopsis:

A combination of changes in regulation and industry practices following the financial crisis of 2007-2009 have greatly expanded the use of collateral in financial markets. Introducing a network model, we study the impact of collateral on the spread of losses and defaults through the financial system. We highlight the potential inefficiency of “ring-fencing” collateral. We also analyze the combined effect of default contagion and collateral fire sales.  Upon Lehman’s failure, its counterparties exercised their right to selectively terminate derivatives contracts. It has been argued that contract termination drains liquidity from the failed entity and increases the cost of recovery and resolution. Regulators have responded by imposing stays on contract termination. We extend our analysis to investigate the impact of different stay rules on the spread of losses and defaults.

Joint work with Paul Glasserman and Peyton Young.

Bio: Samim Ghamami

Samim Ghamami is currently a Financial Economist at Goldman Sachs, a Senior Researcher at UC Berkeley Center for Risk Management Research, and an Adjunct Professor at the New York University. Samim received his Ph.D. in Mathematical Finance and Operations Research from the University of Southern California in 2009, where his principal advisor was Sheldon Ross.

Samim has been an Associate Director (Acting) and a Senior Research Economist at the U.S. Department of the Treasury, Office of Financial Research, an Economist at the Board of Governors of the Federal Reserve System and an Advisor to the Basel Committee on Banking Supervision. He has worked as an expert with the Financial Stability Board on the review of OTC derivatives market reforms in 2016 and 2017. Samim has also served on the National Science Foundation panel on Financial Mathematics in 2017 and 2018.

Samim has also been a Visiting Scholar at the Department of Economics at UC Berkeley, a Senior Quantitative Researcher at MSCI, a Quantitative Analyst at Barclays Capital in New York, an Adjunct Professor at USC, and a Post-Doctoral Researcher at CREATE Homeland Security Center. His publications have appeared in different journals including the Journal of Applied Probability, Management Science, Mathematics of Operations Research, Journal of Financial Intermediation.