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
Date
: November 17, 2015
"On a Convex Measure of Drawdown Risk"

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

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

Samim Ghamami's - “Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement” appeared in the September 2015 issue of Journal of Credit Risk.

Ola Mahmoud presented "On a Convex Measure of Drawdown Risk" at the 5th Conference on Advances in Financial and Insurance Risk Management organized by the Center for Quantitative Risk Analysis (CEQURA) of Ludwig-Maximilians-University Munich, October 1st, 2014 Munich.

Lisa Goldberg commented on Stranded Carbon: The Alignment of Financial Markets with Climate Science for the Haas Business School's Center for Responsible Business.

Ola Mahmoud presented "On a Convex Measure of Drawdown Risk" (joint with Lisa Goldberg) at the Fifth International Conference on Mathematics in Finance held at Kruger National Park South Africa, August 2014

Samim Ghamami presented “Static Models of Central Counterparty Risk” and was a panel discussion participant on counterparty credit risk at the Quant Congress USA– July 16-18 2014, New York.

Lisa Goldberg presented: "Risk Management: What We Did and Didn’t Learn From the Financial Crisis" at the SFBAA, June 2, 2014

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

Director of Research Lisa Goldberg featured in a Numberphile Video on the Monty Hall Problem
Wednesday, May 28, 2014

Lisa discussed the Monty Hall problem on Numberphile, a mathematical YouTube series produced by British filmmaker Brady Haran. A follow-up video featuring Brady adds to the discussion.

Samim Ghamami presented “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

Robert Anderson presented: "The Decision to Lever" at the Second NUS-Stanford Workshop in Quantitative Finance: Statistical Issues, at the National University of Singapore on May 16, 2014

Ola Mahmoud presented "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

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

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.

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 published 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.

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.

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 available in The Journal of Derivatives.

Samim Ghamami awarded Honorable Mention in INFORMS 2012 Best Presentation Award

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

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