Seminar 217, Risk Management: Submodular Risk Allocation

Risk Seminar
Oct 24, 2017 11:00am to 1:00pm
Location: 
639 Evans Hall
Status: 
Happening As Scheduled
We analyze the optimal allocation of trades to portfolios when the cost associated with an allocation is proportional to each portfolio's risk. Our investigation is motivated by changes in the over-the-counter derivatives markets, under which some contracts may be traded bilaterally or through central counterparties, splitting a set of trades into two or more portfolios. A derivatives dealer...
Speaker: Samim Ghamami, U.S. Department of the Treasury and UC Berkeley (Speaker - Featured)