Seminar 217, Risk Management: Submodular Risk Allocation

Seminar 217, Risk Management: Submodular Risk Allocation

Risk Seminar
Oct 24, 2017, 11:00 AM - 01:00 PM | 639 Evans Hall | Happening As Scheduled
Speaker: Samim Ghamami, U.S. Department of the Treasury and UC Berkeley (Speaker - Featured)
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...