CSRA Presentations

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Meeting 2015-12-01

CSRA December Agenda and Abstract

Paper: Characterising the financial cycle: a multivariate and time-varying approach
Presented by Paul Hiebert, European Central Bank

Sovereign, Bank and Insurance Credit Spreads: Connectedness and System Networks
Presented by Mila Getmansky Sherman, University of Massachusetts Amherst

The Systemic Effects of Benchmarking
Presented by Gustavo Schwenkler, Boston University

A New Dynamic House-Price Index for Mortgage Valuation and Stress Testing
Presented by Richard Stanton, UC Berkeley

Meeting 2015-05-27


Meeting Agenda

Could recurrence analysis provide insights to understanding the European sovereign debt crisis?
Presented by Peter Martey Addo, Centre d’ Economie de la Sorbonne

Asset-Liability Modeling in National Pension Plans
Presented by Bob Anderson and Jeff Bohn, State Street Global Exchange

SECURQUAL: An Instrument for Evaluating the Effectiveness of Information Security Programs
Presented by Graham Gal, University of Massachusetts Amherst

Derivative Pricing under Bilateral Counterparty Risk
Presented by Samim Ghamami, UC Berkeley

Fixing Sovereign Debt Restructurings
Presented by Martin Guzman, Columbia University

Fixing Sovereign Debt Restructurings
Paper by Martin Guzman and Joseph E. Stiglitz, Columbia University

Panel on Culture as a Risk Factor: The Culture of Greed
Presented by Joe Langsam, University of Maryland

Panel on Culture as a Risk Factor: The Gordon Gekko Effect: The Role of Culture in the Financial Industry
Presented by Andrew Lo, MIT

Does unusual news forecast market stress?
Presented by Harry Mamaysky, Columbia University

Financial Firms as Going Concerns: What it Takes to Transition from Static Stress Tests to Dynamic Analysis
Presented by Allan Mendelowitz, ACTUS and Willi Brammertz, ACTUS

Gauging Form PF: Data tolerances in regulatory reporting on hedge fund risk exposures
Presented by Phillip Monin, Office of Financial Research

Grey Swans: Fifty Shades of Grey Plausible Stress Testing
Presented by Gary Nan Tie, Mu Risk LLC

Grey Swans: Fifty Shades of Grey Plausible Stress Testing
Paper by Gary Nan Tie, Mu Risk LLC

The Systemic Risk of Benchmarking
Presented by Gustavo Schwenkler, Boston University

Securitization Networks and Endogenous Financial Norms in U.S. Mortgage Markets
Presented by Nancy Wallace, UC Berkeley

Meeting 2014-12-15

Blind Signal Separation & Multivariate Non-Linear Dependency Measures
Presented by Peter Martey Addo, Centre d’ Economie de la Sorbonne

Network Connectivity, Systemic Risk and Diversification
Presented by Monica Billio, University Ca’ Foscari Venezia

Applying Semantic Technologies for Risk Data Aggregation
Presented by Tom Butler, University of Cork

Contract as Automaton
Presented by Mark Flood, Office of Financial Research

Contract as Automaton Paper
Written by Mark Flood, Office of Financial Research and Oliver Goodenough, Vermont Law School

Banking System Resilience: Time for a New Paradigm?
Presented by Sridhar Iyer, The Clearing House

Dynamic Macro Prudential Stress Testing Using Network Science
Presented by Dror Kenett, Boston University

Dynamical Macro Prudential Stress Testing Using Network Science Paper
Sary Levy-Carciente, Facultad de Ciencias Economicas y Sociales, Dror Y. Kenett, Boston University, Adam Avakian, Boston University, H. Eugene Stanley, Boston University and Shlomo Havlin, Bar-llan University

What Crypto Can Do for You: Solutions in Search of Problems
Presented by Anna Lysyanskaya, Brown University

Understanding Decision Systems Through Games
Presented by Adam Norige, MIT

Systemic Risk Tomography
Paper: European Sovereign Systemic Risk Zones
Presented by Roberto Savona, University of Brescia

Detecting Financial Danger Zones
Presented by Marika Vezzoli, University of Brescia

Progress and Roadmap for Systemic Risk Dashboard
Presented by Helen Yang, Charles River Development

Meeting 2014-6-11

An Agent-based Model for Assessing Financial Vulnerabilities
Presented by Rick Bookstaber, Office of Financial Research

Risk, Data and Modeling Thoughts
Larry Candell, MIT Lincoln Laboratory

Title II OLA-Resolution Simulation Exercise
Presented by John Court, The Clearing House

Risk Networks
Presented by Sanjiv Das, Santa Clara University

Measuring Counterparty Networks
Presented by Mark D. Flood, Office of Financial Research

How Likely is Contagion in Financial Networks?
Presented by Paul Glasserman, Columbia University

Statistical Measures of Instability and Systemic Risk
Presented by Mark Kritzman, Windham Capital Management and MIT Sloan

Mendelowitz – CSRA Presentation June 11 2014 – Mendelowitz
Presented by Allan I. Mendelowitz, Deloitte Consulting

Data Science Challenges in Real Estate Asset and Capital Markets
Presented by Nancy Wallace, UC Berkeley

Other Papers

Who Owns the Assets?
Barbara Novick, et al, BlackRock

Improving the Financial Ecosystem for All Market Participants
Barbara Novick, BlackRock

Asset Management and Financial Stability
Barbara Novick, BlackRock

The Industrial Organization of the U.S. Residential Mortgage Market
Nancy Wallace, UC Berkeley

Meeting 2013-12-12


Meeting Agenda

Financial Sector, Sovereign, Macro Spillovers, and Risk Transmission
Presented by Dale Gray, IMF

Sovereign Credit Risk, Liquidity, and ECB Intervention
Presented by Loriana Pelizzon, University of Venice

Applying the Absorption Ratio to Flow Data
Presented by Jessica Donohue, State Street Global Exchange and Mark Kritzman, Windham Capital
Management and MIT

Leveraging Existing Research to Deliver Business Value
Presented by Helen Yang, Charles River Associates

The Decision to Lever
Presented by Lisa Goldberg, UC Berkeley

The Removal of Credit Ratings from Capital Regulation: Implications for Systemic Risk
Presented by Kathleen Hanley, University of Maryland

RegRank: Natural Language Analytics to Rank Regulations with Application to Dodd-Frank
Presented by Andrei Kirilenko, MIT Sloan School of Management and Shawn Mankad, University of
Maryland

A Method of Learning the Connectedness Between Equities
Presented by Garthee Ganeshapillai, MIT

Lower Levels of Market Liquidity: Potential Risks
Presented by Sonja Gibbs, International Institute of Finance

 

Meeting 2013-06-05