Moody's Research Seminar Series

 

Seminars will be on Fridays, 10:30 am to 12:00 pm. Students will have an opportunity to meet with speakers right after the seminar, from 12:00 pm to 12:30 pm.

 

Room for the seminar is Isenberg 106.

 

The seminar is made possible through a generous contribution by Moody's Investors Services.

 

January 24

David Keisman


Moody's Investors Services


1.  Lessons from 25 Years of 'Chapter 22'

 

2.  Lessons from 200 LBO Defaults

 

3.  Next Default Cycle May Feature Lower Default Rate, but Higher Investor Losses

 

4.  Hollow Threat

 

 

January 31

     

Barbara Mack

CAIA and Pingry Hill Enterprises

High Frequency Trading:  Risks, Rewards, and Regulation

February 7

Andrei Kirilenko


MIT
High Frequency Trading

February 14

Ben Branch

UMass Amherst


1.  Managing a Covered Option Portfolio

 

2.  Option Writing Strategies


February 21

Fei Fang

 

 

 

 

 

 

 Chi Zhang


UMass Amherst

 

 

 

 

 

 

UMass Amherst

Volatility Smile and Cross-Section of Expected Stock Returns--The Predictability Attributed to Jump Risk and Risk-neutral Higher Moments (FANG)

 

Hedge Fund Activeness and Performance (ZHANG)

 

 


February 28

Roger Stein

State Street and MIT

Aggregate and firm-level measures of systemic risk from a structural model of default

March 7


Andrey Malenko

MIT

Auctions with Endogenous Initiation

March 14


Jerome P. Taillard
Boston College

Does Risk Management Affect Firm Value? Evidence from a Natural Experiment

March 28


Lu Zheng

UC Irving

Home Bias and Local Contagion:  Evidence from Funds of Hedge Funds

April 4


Boston Seminar

 

 

April 11

Diana Knyazeva

University of Rochester

Creditor Rights and Aggregate Factors in Loan Terms

April 18                                          

Rachita Gullapalli SEC

Foreign Capital and Firm Financial Constraints:  Evidence from Two Systemic Liquidity Crises

April 25                                         

John Lonski
Moody's Investors Services

Tight Credit Spreads atop Extremely Low Yields Dispute Consensus on Rates

 

Thin Spreads Bring More Downgrades than Upgrades

May 2 

     held in ISOM #108

Isenberg Research Day

Andrew Lo

MIT