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

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Center News

Samim Ghamami presents “Static Models of Central Counterparty Risk” at the Risk Management Institute at the National University of Singapore Symposium on Credit Risk on

May 23, 2014

 

Lisa Goldberg presents: "Risk Management: What We Did and Didn’t Learn From the Financial Crisis" at the SFBAA, June 2

 

Ola Mahmoud is presenting "On a Measure of Drawdown Risk" (joint with Lisa Goldberg) at the 8th Conference on Actuarial Science and Finance on Samos, Greece, May 2014

 

Lisa Goldberg has been appointed to the Academic Advisory Board for the Consortium for Systemic Risk Analytics

 

Robert Anderson presents: "The Decision to Lever" at the Second NUS-Stanford Workshop in Quantitative Finance: Statistical Issues, at the National University of Singapore on May 16

 

Robert Anderson presents: "The Decision to Lever" and Samim Ghamami, presents: "Stochastic Intensity Models of Wrong Way Risk" both will be presenting at the IBEFA conference, June 2014

 

Konstantin Magin and Robert Edelstein publish The Equity Risk Premium for Securitized
Real Estate: The Case for U.S. Real
Estate Investment Trusts
in Journal of Real Estate Research

Samim Ghamami, presents: "Static Models of Central Counterparty Risk" see News and Events for additional information

Samim Ghamami awarded Honorable Mention in INFORMS 2012 Best Presentation Award

The award was for his presentation based on Center Working Paper #2012-09, joint with Lisa R. Goldberg. The paper is forthcoming in The Journal of Derivatives.

Center Working Paper published in Journal of Empirical Finance.

"Autocorrelation and Partial Price Adjustment" is a revision of Working Paper 2007-03, by Anderson, Eom, Hahn and Park.

Coverage of "The Decision to Lever" by Anderson, Bianchi and Goldberg:

A commentary entitled "The Dynamics of Rising Interest Rates," by Anderson, Bianchi and Goldberg, was published in the August 26 issue of Thomson Reuters Westlaw Journal Bank and Lender Liability. The commentary was based on "The Decision to Lever" and "Will My Risk Parity Strategy Outperform?"

"The Decision to Lever"is featured in Asset International's Chief Investment Officer and is the #1 download on SSRN's Risk Management and Analysis in Financial Institutions category as of 9/6/2013; it is in the top 10 downloads in four other SSRN categories.

Center Working Paper wins prestigious award from AQR Asset Management and is accepted for publication in the Journal of Financial Economics:

Martin Lettau, Matteo Maggiori and Michael Weber win the First Prize 2013 AQR Insight Award for their Center Working Paper, "Conditional Risk Premia in Currency Markets and Other Asset Classes," which is now forthcoming in the Journal of Financial Economics.

Coverage of "Will My Risk Parity Strategy Outperform?" by Anderson, Bianchi and Goldberg:

 

On March 1, 2013, "Will My Risk Parity Strategy Outperform?" received the Graham and Dodd Scroll Award. The award, given by Financial Analysts Journal, recognizes excellence in research and financial writing.

Asness, Frazzini and Pedersen publish a long Letter to the Editor in the March/April 2013 issue of the Financial Analysts Journal contesting our findings. Read their letter and our response.

 

 

 

 

 

 

 

Our Newest Working Papers

Static Models of Central Counterparty Risk

                                          Samim Ghamami

The 2009 G20 clearing mandate has increased the importance of central counterparty
(CCP) risk management substantially. International standard setting bodies (SSBs) have outlined
a set of principles for CCP risk management; they have also devised CCP risk capital
requirements on clearing members for their central counterparty exposures. There is still no
consensus among CCP regulators, bank regulators, and CCPs on how central counterparty risk should
be measured coherently in practice. A conceptually sound definition of the CCP risk capital in the
absence of a unifying CCP risk measurement framework is challenging. Incoherent CCP risk capital
requirements may create an obscure environment that disincentivizes the central clearing of over
the counter (OTC) derivatives contracts. more...

 

Restoring Value to Minimum Variance

 Forthcoming in Journal of Investment Management


                                         Lisa Goldberg
                                         Ran Leshem
                                         Patrick Geddes

A long-only investable minimum variance strategy outperformed the S&P 500 over the four decades from January 1973 to December 2012. Through the lens of
a factor model, we show this outperformance can be largely attributed to implicit style bets. Specifically, minimum variance has thrived by tilting away from size and volatility and toward value. As funds have poured into minimum variance in the wake of the financial crisis, and plausibly as a consequence of this trend, the value tilt has disappeared and a momentum tilt has emerged. more...

Centralized Clearing for Over-the-Counter Derivatives

                                         Gordon Rausser
                                         William Balson
                                         Reid Stevens

Systemic risk propagated through over-the-counter (OTC) derivatives can best be managed by a public-private central counterparty clearing house (CCP). Though private CCPs provide an adequate amount of clearing’s private good, they do not provide the socially optimal level of the public good or impure goods. By undersupplying both public and impure goods, private CCPs may exacerbate the conditions under which financial crises develop and propagate. A public-private partnership could align incentives so that the CCP produces the socially optimal level of the private, public, and impure goods. We propose using an RFQ platform with an active transaction permissioning system that uses position risk based on Monte Carlo simulation to estimate default risk and a two-part pricing scheme to efficiently price the risk retained by the clearing function. more...

Pretrade and Risk-based Clearing: A Case Study of American International Group’s Super Senior CDS Portfolio 2005-2008

                                         William Balson
                                         Gordon Rausser

Risk-based clearing has been proposed by Rausser, Balson, and Stevens [2010] for over-the-counter (OTC) derivatives. The Board of Governors of the Federal Reserve Board in FRB [2011] recognize that clearing requires collateral or margin to be posted in order to assure a high likelihood of protection for the clearinghouse from default of its covered contracts. Readily implemented and well understood methodologies are available for setting margin levels at both the contract and portfolio level. more...

 

The Decision to Lever

                                         Robert M. Anderson
                                         Stephen W. Bianchi
                                         Lisa R. Goldberg

Even among the most conservative and highly regulated investors such as US public pension funds, the use of levered investment strategies is widespread and growing. In the period since the financial crisis, strategies such as risk parity that explicitly lever holdings of publicly traded securities have emerged as candidates for these investment portfolios. more...

            

 

 

 

 

More working papers...

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)