Tag Archives: risk management

Seminar

Brooklyn Quant Experience Lecture Series: Samim Ghamami

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Brooklyn Quant Experience Lecture Series, NYU Tandon

Samim Ghamami, Senior Researcher at NYU and UC Berkeley, Senior Economist and Managing Director at the Financial Services Forum, and an Adjunct Professor of Finance at New York University, will give the following talk on Thursday, April  8th at 9:30 AM EST. 
*Kindly note that we have changed the time to 9:30 AM on Thursdays. The new time change allows our invited international guests to join these important virtual talks.

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Meeting ID: 950 8799 6334
Password: FREBQESG

Title

The Impact of Collateral and Stays on Financial Stability

Abstract

We study the spread of losses and defaults in financial networks with two features: collateral requirements and resolution and bankruptcy stay rules. When collateral is committed to a firm’s counterparties, a solvent firm may default if it lacks sufficient liquid assets to meet its payment obligations. Collateral requirements can thus increase the risk of contagion. Moreover, one firm may benefit from the failure of another if the failure frees collateral committed by the surviving firm, giving it additional resources to make other payments. Contract termination at default may also similarly improve the ability of other firms to meet their obligations. As a consequence of these features, the timing of payments and collateral liquidation must be carefully specified to establish the existence of payments that clear the network. Using this framework, we show that committed collateral in the form of initial margin in over-the-counter derivatives markets may increase contagion and financial instability. We also compare networks under different stay rules in OTC markets. Our analysis shows that when firms are not highly leveraged in terms of derivatives transactions, full contract termination may reduce contagion.

Bio

Samim Ghamami is a senior researcher at NYU and UC Berkeley, the senior economist and managing director at the Financial Services Forum, and an adjunct professor of finance at New York University. Ghamami also serves on the advisory board of the Mathematics in Finance Program at the NYU Courant Institute. He has also been a senior financial economist and senior vice president at Goldman Sachs, an associate director, and a senior economist at the U.S. Department of the Treasury, Office of Financial Research, and an economist at the Board of Governors of the Federal Reserve System.

Ghamami’s work has broadly focused on financial economics and more recently on the interplay of finance and macroeconomics. Ghamami has been an advisor to the Bank for International Settlements and has also worked as an expert with the Financial Stability Board on post-financial crisis reforms. He served on the National Science Foundation panel on Financial Mathematics in 2017 and 2018.

Seminar

Brooklyn Quant Experience Lecture Series: David Shimko

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Brooklyn Quant Experience Lecture Series, NYU Tandon

The Department of Finance and Risk Engineering welcomes David Shimko, NYU Tandon, Industry Full Professor, to the BQE Lecture Series on Thursday, November 12, 2020, at 6 p.m. on Zoom.

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Meeting ID: 993 5500 0941
Password: BQEDS

Title

A Theory of Equivalent Expectations Measures for Expected Prices of Contingent Claims

Abstract

Reframing modern portfolio theory with Gaussian cash flows rather than percentage returns, the CFPM (cash flow portfolio model) sets a structural foundation for valuing both traditional capital assets and derivatives. Asset prices are shown to be decreasing functions of both cash flow covariances and variances. The usual single-period CAPM formulas follow, but the expected returns are determined endogenously. All risk is implicitly priced in expected returns, leading to reinterpreted rules for portfolio selection and capital budgeting. Derivatives obey the same total covariance-based pricing relationships as cash flows, except that they exist in zero net supply. After applying a regularity condition, the Bachelier option pricing model obtains in a discrete-time setting without continuous trading. The closed-form CFPM extends to multiple periods. The multiperiod CFPM generalizes risk-neutral pricing to discrete multi-period contingent claim models, such as valuing the capital structure of a firm and CDOs.

Bio

Professor Shimko joined FRE in 2017 following a 30+ year career in investment banking and consulting. After beginning his career as an Assistant Professor at USC, he left to become a Vice President at JPMorgan, and a Principal at Bankers Trust. He co-founded Risk Capital, a successful independent risk management consulting firm, which was sold in 2006. Since that time, he has combined private consulting with entrepreneurial ventures in asset management and credit. His current research focuses on advanced valuation techniques, such as the application of derivative pricing technology to corporate assets, liabilities, and decisions.

Seminar

Brooklyn Quant Experience Lecture Series: Pasquale Cirillo

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Brooklyn Quant Experience Lecture Series, NYU TandonDear All,

You are cordially invited to the Brooklyn Quant Experience Lecture Series (BQE) on Thursday, October 1st at 6 p.m. on Zoom.

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*Please note a meeting password is required for this event.
Meeting ID: 925 3238 8440
Password: BQEPC

Pasquale Cirillo, Professor of Risk Management at the University of Nicosia, Cyprus, and NYU FRE Boot Camp Instructor, will give the following talk:

Title

From P to Q and Beyond, a Tale of Inequality

Abstract

We use tools from inequality studies, like the Lorenz curve and the Gini index, to study the relation between the market measure P and the risk-neutral measure Q, but we also deal with the share measure and the T-forward measure. This alternative approach to the change of measure operation is extremely useful to understand some profound and non-trivial connections among measures, and—in some cases— it can also simplify pricing problems. No preliminary knowledge of inequality measures will be assumed.

Bio

Pasquale Cirillo is a Professor of Risk Management at the University of Nicosia, Cyprus, where he is also a member of the Institute For the Future. He previously held positions at the Delft University of Technology (NL) and the University of Bern (CH). He has been a visiting scholar of NYU FRE, and one of the instructors of the FRE Summer boot camp. His research interests include quantitative risk management, extreme value theory, and urn models. He has published in top international journals and is currently writing a book on fat tails. Besides his academic career, Pasquale has also collaborated with international institutions and many top private companies and banks as a statistical consultant. His MOOCs in risk management have been attended by more than a hundred thousand students from all over the world. He is a proud amateur cook.

Seminar

NYU Courant: Mathematical Finance Seminar

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The mathematical finance seminar covers a broad range of topics in mathematical and quantitative finance, including:

  • Data science and machine learning in finance
  • Big data and econometric techniques
  • Quantitative finance
  • Portfolio and risk management
  • Pricing and risk models
  • Regulation and regulatory models
  • Trading strategies and back testing

Presenters include invited visitors and NYU Courant faculty. A seminar presentation often covers original research. The seminar meets monthly on Tuesdays at 5:30 pm to 7 pm in room 1302 of Warren Weaver Hall at 251 Mercer Street, unless specified otherwise. Please make sure to check the exact schedule and room assignment. Talks generally last an hour, followed by networking.

Seminars are open to the public.

The seminar coordinator is Petter Kolm (email: petter DOT kolm AT nyu DOT edu).

Seminar Organizer(s): Petter Kolm

Tuesday, November 12, 2019
5:30PM 
251 Mercer St.
Warren Weaver Hall 1302
Model Risk Management for Alpha Strategies created with Deep Learning
Ben Steiner, Global Fixed Income, BNP Paribas Asset Management

Seminar

NYU FRE Lecture Series: Pasquale Cirillo

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NYU Tandon School of Engineering

Dear All,

You are cordially invited to attend the FRE Lecture Series on Thursday, October 31st, 6 MetroTech Center),at 6:00PM.

Dr. Pasquale Cirillo will present a talk on the following topic:

Title:

The Distortions of Finance

Abstract:

Finance is a world of distortions. Many tools we use, many findings we know are actually the result of a distortion. Take the well-known Black-Scholes model: the probability to be in the money at maturity under P and Q is a distortion. And the price of a European call? Another distortion. Consider risk management, think about the expected shortfall, and—guess what—a distortion. And if you think that copulas are immune, you are wrong, plenty of distortions there. Model risk is often represented in terms of distortions. So, let’s talk about distortions, and in particular about the special class of Lorenz transforms.

Bio:

Pasquale Cirillo is associate professor of applied probability at Delft University of Technology, The Netherlands, where he also coordinates the Financial Engineering Specialization of the Master in Applied Mathematics. His research interests include quantitative risk management (in particular credit and operational risk), extreme value theory and combinatorial stochastic processes. Besides the academic career, as a statistical consultant, he has collaborated with international institutions, like the World Bank and the European Food Safety Authority, and many private companies and banks.
His MOOCs in risk management have been attended by more than 110’000 students from all over the world. He is a proud amateur cook.

We look forward to having you join us for the talk and refreshments. Please mark your calendars.

Seminar

NYU Courant: Mathematical Finance Seminar

Leave a comment

The mathematical finance seminar covers a broad range of topics in mathematical and quantitative finance, including:

  • Data science and machine learning in finance
  • Big data and econometric techniques
  • Quantitative finance
  • Portfolio and risk management
  • Pricing and risk models
  • Regulation and regulatory models
  • Trading strategies and back testing

Presenters include invited visitors and NYU Courant faculty. A seminar presentation often covers original research. The seminar meets monthly on Tuesdays at 5:30 pm to 7 pm in room 1302 of Warren Weaver Hall at 251 Mercer Street, unless specified otherwise. Please make sure to check the exact schedule and room assignment. Talks generally last an hour, followed by networking.

Seminars are open to the public.

The seminar coordinator is Petter Kolm (email: petter DOT kolm AT nyu DOT edu).

Seminar Organizer(s): Petter Kolm

Tuesday, October 29, 2019
5:30PM, Warren Weaver Hall 1302
Relearning the Lessons of the Global Financial Crisis
David M. Rowe, President of David M. Rowe Risk Advisory

Seminar

NYU FRE Lecture Series: Nassim Nicholas Taleb

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NYU Tandon School of Engineering

Dear All,

You are cordially invited to attend the FRE Lecture Series on Thursday, October 24th in the Pfizer Auditorium  on the 1st Floor of the Dibner Library (5 MetroTech Center) at 6:30PM.

Dr. Nassim N. Taleb will present a talk on the following topic:

Title:

The Statistical Consequences of Fat Tails

Abstract:

While everyone seems to be aware of Fat Tailedness, little has been done to take them into account in statistical inference, particularly where it cancels current methods in use. Modern Portfolio Theory, for instance, becomes merely a rent seeking academic exercise. We present the contradictions with conventional tools used in statistics and risk management and propose solutions. The discussion is presented in a book found at: https://www.academia.edu/37221402/STATISTICAL_CONSEQUENCES_OF_FAT_TAILS_TECHNICAL_INCERTO_COLLECTION_

Bio:

Nassim Nicholas Taleb was an options trader for 23 years before starting a career as a researcher dealing with mathematical, philosophical, and, mostly, practical problems with probability. He is currently the Distinguished Professor of Risk Engineering at NYU’s Tandon School of Engineering.

We look forward to having you join us for the talk and refreshments. Please mark your calendars.