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Seminario académico de Finanzas y Contabilidad |
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 Fecha: Jueves 10 de mayo, 13:00 horas, sala P307, Facultad de Economía y Negocios
Título: “Banks’ Money Market Funding: Resilience, Network Structure, and Central Bank’s Policies”
Expositor: Alejandro Bernales, profesor Asistente del Departamento de Ingeniería Industrial de la Facultad de Ciencias Físicas y Matemáticas de la Universidad de Chile.
Abstract
Relatively little is known about the factors that may affect the banks' relative preferences between unsecured and collateralized funding. We examine the determinants of the safe-unsafe funding decisions using a unique dataset. We decompose the relative unsecured-collateralized funding activity in migrations and co-movements, including directions of funding flows. Migrations and co-movements depend on various determinants such as systemic risk, collateral availability, central bank policies and the inter-bank network structure in each segment. Interestingly, migrations and co-movements behave differently in periods of strong financial stress, because safe assets (used in collateralized loans), are not perceived any longer as completely safe. |
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Ceremonia de titulación UEjecutivos |
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Fecha: 25 de abril, 19:00 horas, Aula Magna, Facultad de Economía y Negocios
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Seminario académico de Finanzas y Contabilidad |
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Fecha: 26 de abril, 13:00 horas, sala P301, Facultad de Economía y Negocios
Título: Hedge Fund Fee Structure and Risk Exposure: Theory and Empirical Evidence
Exponen:
Hervé Roche, profesor Asociado de la Universidad Adolfo Ibáñez
Abstract
We solve in closed form the optimal investment strategy of an infinitely lived risk neutral hedge fund manager compensated by a management fee and a high water mark (HWM) contract. The fraction of asset under management (AUM) allocated in equity is a convex increasing function of the distance to the HWM as moving away from the HWM is increasingly bad news both for management and incentive fees. This convexity e ect is enhanced by the size of the incentive fee rate. The higher the management fee rate, the larger the risk exposure, as the revenue insurance e ect gets magnified. Frequently beating by a small amount the HWM is optimal as it mitigates the ratchet feature of the HWM. Data seem to support the theoretical predictions of the model: returns' volatility is strongly related to distance to the HWM: being 20% underwater is associated with an increase of 192 bps increase in the ex-post returns' volatility. Also consistent, the time elapsed between hits and the extent to which the fund surpasses the HWM both increase with
distance to the HWM. An extension shows that a fund termination threat reduces risk taking behavior as the fund drifts away from the HWM, which is consistent with our empirical findings. |
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Conferencia NIIF 16: arrendamientos claves para su primera aplicación y transición |
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Fecha: 26 de abril, 18:30 horas, sala P308, Facultad de Economía y Negocios
Título: Conferencia NIIF 16: arrendamientos claves para su primera aplicación y transición
Exponen:
Leonardo Torres, académico Departamento de Control de Gestión y Sistemas de Información |
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Ceremonia de titulación UEjecutivos |
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Fecha: 27 de abril, 19:00 horas, Aula Magna, Facultad de Economía y Negocios
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