The Center performs and disseminates research on the most important and pressing issues in risk and portfolio management in financial markets.


Who we are

The UC Berkeley Center for Risk Management Research was established on July 1, 2013 as the successor to the Coleman Fung Risk Management Research Center. (more)

Site News

Robert M. Anderson and Kyong Shik Eom's Risk Center working paper (#2017-01), "Controlling shareholders’ value, long-run firm value and short-term performance" is forthcoming in the Journal of Corporate Finance.

Kyong Shik Eom's Risk Center working paper (#2016-04) "The effect of listing switches from a growth market to a main board: An alternative perspective," has been published in  Emerging Markets Review Volume 29, December 2016, Pages 246–273 (PDF of article)

Konstantin Magin's Risk Center working paper (# 2009-01 and 2013-04), "Equity Risk Premium and Insecure Property Rights," has been published in Economic Theory Bulletin. The final publication is available here.

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Presentations and Speaking Engagements

Samim Ghamami presented “Static Models of Central Counterparty Risk” at the upcoming “Regulating Systemic Risk: Insights from Mathematical Modeling” workshop at the Isaac Newton Institute for Mathematical Sciences at University of Cambridge between December 15th and December 19th, 2015

Alex Shkolnik presented "Systemic Risk in the Repo Market" at the Consortium for Systemic Risk Meeting (CSRA) on December 15th, 2015

Global Derivatives USA
Speaker: Lisa Goldberg
: November 17, 2015
"On a Convex Measure of Drawdown Risk"

Stanford University
Speaker: Lisa Goldberg
November 5, 2015
Center for Financial and Risk Analytics Seminar
"Futures Financing Rates"

Northfield Conference
Speaker: Lisa Goldberg
October 8, 2015
"What Would Yale Do if it Were Taxable"

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Newest Working Papers

Controlling shareholders’value, long-run firm value and short-term performance
Hyung Cheol Kang, Robert M. Anderson, Kyong Shik Eom, and Sang Koo Kang

We propose a new determinant of firm value within a business group: controlling shareholders’ value (CSV), the value of controlling shareholders’ stake in an affiliate divided by their stake in all affiliates.  We posit that controlling shareholders focus attention on the high-CSV affiliates. Using data on Korean family-controlled business groups, we find that CSV has greater explanatory power for firm performance than traditional cash flow rights (CFR).  We also find that, among affiliates with non-family CEOs, higher CSV is associated with higher Tobin’s Q and lower EBITDA, indicating that controlling shareholders and non-family CEO have successfully addressed their principal-agent problem.

Infinite Horizon CCAPM with Stochastic Taxation and Monetary Policy
Konstantin Magin

This paper derives the infnite horizon CCAPM with heterogeneous agents, stochastic dividend taxation and monetary policy. I find that under reasonable assumptions on assets' dividends and probability distributions of the future dividend taxes and consumption, the model implies the constant price/after-tax dividend ratios. I also obtain that the higher current and expected dividend tax rates imply lower current asset prices. Finally, contrary to popular belief, monetary policy is neutral, in the long run, with respect to the real equilibrium asset prices.

Comparative Statics in Finite Horizon Finance Economies with Stochastic Taxation
Konstantin Magin

This paper studies comparative statics of Financial Markets (FM) equilibria in the finite horizon General Equilibrium with Incomplete Markets (GEI) model with respect to changes in stochastic tax rates imposed on agent’s endowments and dividends. We show that under reasonable assumptions, without assuming CRRA and identical agents, an increase in the current dividend tax rate unambiguously reduces current asset prices. The paper also finds that there exists a bound B such that for a coefficient of relative risk aversion less than B, an increase in a future dividend tax rate reduces current price of tradable assets. At the same time, for a coefficient of relative risk aversion greater than B, an increase in a future dividend tax rate boosts the current price of tradable assets. Finally, for a coefficient of relative risk aversion equal to B, an increase in a future dividend tax rate leaves current consumption and current price of tradable assets unchanged. As a special case, under additional assumptions, B is equal to 1. Also, under reasonable assumptions, an increase in the current endowment tax rate reduces current asset prices, while an increase in a future endowment tax rate boosts current asset prices.

The effect of listing switches from a growth market to a main board: An alternative perspective
Jong-Ho Park, Ki Beom Binh, and Kyong Shik Eom
Published in Emerging Markets Review Volume 29, December 2016, Pages 246–273 (PDF of article)

We examine whether firms switching listings from the Korean growth market (KOSDAQ) to the main board (KOSPI) experienced improved trading-related market quality. We focus on market macrostructure and use a difference-in-difference technique with nearest matching. Contrary to previous research and practitioners’ opinions, we find that trading-related market quality mostly deteriorated or remained unchanged following the switch, indicating that the specific market macrostructure of a country matters. Listing switches produce a negative externality by weakening KOSDAQ and thereby impairing funding for innovative new firms, suggesting that policymakers should encourage firms whose characteristics fit the standalone growth market to remain listed there.

Stochastic Taxation and REITS Pricing Bubbles: A Statistical Analysis
Robert H. Edelstein and Konstantin Magin

Using a modified Consumption Capital Asset Pricing Model (CCAPM) with stochastic taxation, we create estimates of fundamental values and fundamental overall rates of returns for United States Real Estate Investment Trusts (REITs) for our data sample, 1972 — 2013. Comparing actual, observed REITs prices (and overall rates of return) with model-generated fundamental values (and fundamental overall rates of return), we examine the presence of bubbles. For our purposes, for publicly traded equity REITs, we define a bubble to be the difference between actual stock market price (overall rates of return) and fundamental value (fundamental overall rate of return). United States REITs have, among other features, special rules governing dividend distributions and corporate taxation treatment that makes them an especially attractive and a preferred vehicle to test the presence of pricing and rate of return bubbles. Using this notion for bubbles, our study suggests that during the sample time horizon, United States REITs experienced statistically significant price and rates of return bubbles for a preponderance of the time.

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