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Fri Sep 13

MCFAM Seminar

5:30pm - Vincent Hall 16
MFM Alumni/Student Panel: How the MFM Prepares You to Enter the Field of Quantitative Finance
MFM Alumni/Student Panel, Master of Financial Mathematics Program (MFM)

Learn from current students and MFM alumni in industry about the benefits of this professional master program. Panelists will talk about what attracted them to the program, how to make the most of your time in the MFM and why the practical, real-world learning helps you land jobs in quantitative risk analysis, hedging, trading, portfolio management, fintech, data analytics and other jobs that are hot in the field right now.

Fri Sep 20

MCFAM Seminar

5:30pm - Vincent Hall 16
MCFAM Student Research - Outcome analysis of Indexed Universal Life Insurance based on Monte Carlo Simulation
Songyu Yan and Ian Luo, University of Minnesota

Indexed Universal Life (IUL) Insurance was developed to harness thepower of equity market returns with downside protection. However IUL iscurrently illustrated using a static credited rate which masks market returnvolatility inherent in its structure. As a result, what policyholders see as expectedperformance maybe far from reality in many cases. In our research, we modeledthe pricing algorithms of major IUL products and applied scenario testing usingMonte Carlo simulation of indices used in IUL products. The statistical variance ofindices leads to vastly different results than what is currently demonstrated inmany cases, and this variance may cause the failure of the policy. Our researchindicates a better method for demonstrating policy performance would be basedon an outcome analysis rather than the static method currently in use.Bios: Songyu Yan: https://www.linkedin.com/in/songyu-yan-826bb2126/          Ian Luo: https://www.linkedin.com/in/yifei-luo-9051b1170/

Fri Sep 27

MCFAM Seminar

5:30pm - Vincent Hall 16
Positive Matrices and Derivative Models
Carlos Tolmasky, University of Minnesota 

Principal components analysis has become widely used in a variety of fields. In finance and, more specifically, in the theory of interest rate derivative modeling, its use has been pioneered by R. Litterman and J. Scheinkman. Their key finding was that a few components explain most of the variance of treasury zero-coupon rates and that the first three eigenvectors represent level, slope and curvature changes on the curve. This result has been, since then, observed in various markets.Over the years, there have been several attempts at modeling correlation matrices displaying the observed effects as well as trying to understand what properties of the those matrices are responsible for the effect. Using recent results of the theory of positive matrices we characterize these matrices and, as an application, we shed light on some of the critiques to this methodology.Bio: http://mcfam.math.umn.edu/people/carlos-tolmasky

Fri Oct 04

MCFAM Seminar

5:30pm - Vincent Hall 16
RANDOM RULES AND THE ANCIENT HISTORY OF SIMULATION
Arkady Shemyakin, University of St. Thomas 

Modern approaches to simulation, involving Monte Carlo methods and randomized procedures of decision-making, are usually dated back to the mid-20th century and the arrival of the computer era. Deeper history goes back to the 19th and even 18th centuries and involves such devices as Galton’s board and Buffon’s needle. However, one can argue that long before the invention of computers, older devices such as dice and their predecessors have been effectively used for games and divination. The idea of this paper is to review the use of ancient randomizing devices to trace the history of simulation and random rules of decision-making. Special attention will be paid to some contemporary cultures, which have preserved some unique elements of their ancient history: native cultures of the Americas, the Celtic civilizations of Ireland and Scotland, and the indigenous peoples of Northern and Central Asia (Altai and Siberia).Bio: https://www.stthomas.edu/mathematics/faculty/arkady-shemyakin.html

Fri Oct 25

MCFAM Seminar

5:30pm - Vincent Hall 16
Mortgage Prepayment Behavior
Messan Edorh and Bo Li, US Bank

According to the US Census Bureau, homeownership rates peaked during the first quarter of 2005 at 69.1% but fell to just 63.8% in the fourth quarter of 2015, a year when residential mortgage debt outstanding was still above ten trillion-dollar mark and mortgage origination was about $1.7T. Mortgage Back Security (MBS) originations have continued to experience a steady growth attracting investors, servicers, insurers, lenders, and GSEs (Government Sponsored Enterprises). In contrary, MBS market presented various financial risks including prepayment from the homeowners - be that voluntary or involuntary.

To manage the risks presented by the borrowers, modeling prepayment behavior is critical in the work banks do. Four fundamental components of mortgage prepayment activity will be examined in this presentation.

Fri Nov 01

MCFAM Seminar

5:30pm - Vincent Hall 16
Extrapolative Expectations, Financial Frictions, and Asset Prices
Yao Deng, University of Minnesota

  I study how extrapolative expectations affect corporate real and financial activities and asset prices. Empirically, high misperception on earnings growth, a measure constructed to proxy for extrapolation, is associated with an increase in investment, debt issuance, equity issuance, and firm-level bond and stock prices in the short-term, but predicts a decline in all these activities and prices in the long-term. These patterns are more pronounced among small and financially constrained firms. Theoretically, I build a dynamic model with extrapolative expectations and financial frictions, and show that the interaction of these two frictions is crucial to explain the empirical findings. Intuitively, after a sequence of favorable shocks, agents extrapolate and become overoptimistic about future productivities. Firms invest and borrow more in the short-term. Lower perceived default probability improves financing conditions, further increasing investment and borrowing. Future realizations turn out worse than expected, making real and financial activities and asset prices subject to predictable reversals in the long-term.Bio: https://carlsonschool.umn.edu/faculty/yao-deng

Fri Nov 15

MCFAM Seminar

5:30pm - Vincent Hall 16
Data Science in the Life Insurance Industry
Gary Hatfield, Securian/University of Minnesota

Data Scientist has emerged as one of the hottest and most talked about jobs in the world today.  In my talk, I will provide an overview of how data science has emerged in the insurance industry. I will give some examples of how data science is being applied in life insurance and describe how the Actuarial profession is adapting. Bio: https://mcfam.dl.umn.edu/people/gary-hatfield

Fri Nov 22

MCFAM Seminar

5:30pm - Vincent Hall 16
The impact of negative interest rate policy and its effectiveness of stimulating economic growth
Perry Li, University of Minnesota

According to the Bloomberg Barclays Global Aggregate Index, there were $17 trillion (or 30%) bonds traded with negative yields within that popular fixed income benchmark, at the end of August 2019. Government bonds in Germany, Japan, and Switzerland all carry negative yields - meaning investors will lose money to hold them to maturity. How did we get here? Are those policies introduced by global central banks, after the 2008 financial crisis, effective (to spur inflation)? In this talk, I seek to use some case studies like reserve banking system, asset bubbles, and “currency war” to explore this topic.Bio: https://www.linkedin.com/in/liyuepeng/

Fri Dec 06

MCFAM Seminar

5:30pm - Vincent Hall 16
GUN VIOLENCE: ACTUARIAL ANALYSIS AND MATHEMATICAL MODELING
Kristen Moore, University of Michigan

Firearm deaths and injuries are a significant problem in the United States. Indeed, the American Medical Association recently called firearm violence “a public health crisis” and called for a comprehensive public health response and solution. Gun violence in America exacts a significant toll on our society in both human and economic terms. Some argue that Americans have a moral obligation to address the issue of gun violence. But even from a more concrete perspective, the economic cost of firearms directly impacts the financial outcomes of insurers and taxpayers. There is a clear need for unbiased and objective research on the societal and economic impact of firearms. Actuaries are well positioned to study the mortality and morbidity related to firearms, both to quantify the risk and to inform governmental and public health interventions to mitigate the risk associated with firearms. Yet there is little on the topic in the actuarial and insurance literature. In this talk, I will provide a brief overview on the scope of firearm deaths and injuries and examine the extent to which actuaries and insurance professionals have studied or addressed the issue. I will compare firearm risk to risks that are considered in the underwriting process for life and homeowners insurance. I will describe some existing insurance products related to firearm risk as well as proposed legislation regarding gun liability insurance. In a different vein, if time permits, I will discuss preliminary work on a dynamical systems model of gun violence within a population. We are studying how, in an idealized model, changes to various policy parameters affect the long-term behavior of a system. Finally, I will describe some of the many open questions related to gun violence that are amenable to study by actuaries and mathematicians. Bio: https://sites.lsa.umich.edu/ksmoore/

Fri Jan 24

MCFAM Seminar

5:30pm - Vincent Hall 16
U of MN Women in Math and Stats Graduate Team - 2019 MinneMUDAC Award Winning Analytics Presentation on Commodity Pricing
Cora Brown, Somyi Baek, Sarah Milstein, and Yu Yang, University of Minnesota

University of Minnesota mathematics and statistics graduate students formed a team called "Women in Math and Stats" and competed in the MinneMUDAC 2019 Challenge. They took 2nd place in a field of 24 teams in the graduate division of the challenge. They also received the Analytic Acumen Award for the 2nd year in a row. This year’s challenge required students to analyze a variety of data to predict trends in soybean prices. Teams were evaluated based on a number of factors, including data preparation, team synergy, and communication of results. Teams in the Undergraduate and Graduate divisions were also scored on the accuracy of their predictions. The challenge and data were curated by Farm Femmes. “We firmly believe that investing in the next generation grows the future,” said Karen Hildebrand, Co-Founder of Farm Femmes. “Some days the seeds we plant are literal as farmers, but MinneMUDAC gave us the opportunity to grow the knowledge of agriculture and agtech.”Members of the team who will presenting include: Cora Brown, Somyi Baek, Sarah Milstein, and Yu Yang. Their faculty advisor was Dr. Gilad Lerman.

Fri Feb 07

MCFAM Seminar

5:30pm - Vincent Hall 16
Pricing in Contractual Freight Compared to Finance
Kaisa Taipale, C.H. Robinson

 In this talk, I'll discuss the contractual freight business, in which a large shipper makes a contract with a company like CH Robinson to procure carriers (trucks) for their goods over the course of a year for a given rate, as opposed to using the volatile "spot" or transactional market. Because these year-long contracts aren't legally binding, some shippers treat them more like an American option on the underlying price of freight, but this has game-theoretic economic consequences for the shipper! Dr. Taipale, Data Scientist at C.H. Robinson will also talk about the data science and mathematical skills that are important for her job at C.H. Robinson

 

Bio :  https://www.linkedin.com/in/kaisa-taipale-2630256/detail/contact-info/

Fri Feb 21

MCFAM Seminar

5:30pm - VinH 16
2020 Winter FM Modeling Workshop Presentations
2020 Financial Mathematics (FM) Modeling Workshop Graduate Students, University of Minnesota

 Two teams of Financial Mathematics graduate students will present the results of their projects completed over an intensive 10-day winter workshop.  The first presentation will be on Data Analysis, Visualization and Statistical/Machine Learning Modeling for Mortgage Prepayment and Delinquency Rates. The Industry Mentor for this project , in attendance for the talk, was: He LuThe second presentation will be on Inflation Rate Curve Modeling.  This project was led by Industry Mentor Matt Abroe.  

Fri Feb 28

MCFAM Seminar

5:30pm - Vincent Hall 16
Environmental, Social and Governance (ESG) in Finance Through the Lens of a Quant
Michael (Zicong) Zhang, Bloomberg LP

If you can't measure it, you can't manage it - Using math tricks in measuring ESG performance.
We will look at the science of scoring, focusing on quant techniques that enable investors to make choices based on meaningful ESG data.

Bio: https://www.linkedin.com/in/michaelzhan/

Fri Mar 27

MCFAM Seminar

5:30pm - Vincent Hall 16
Social Determinants of Health
Shae Armstrong, Optum

Bio: https://www.linkedin.com/in/shaearmstrong/

Fri Apr 17

MCFAM Seminar

5:30pm - Vincent Hall 16
MCFAM Seminar
MFM Modeling Workshop Presenations, University of Minnesota