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Fri Sep 14

MCFAM Seminar

5:30pm - Vincent Hall 16
How to Get the Most Out of the MFM
MFM 2nd Yr. Student/Alumni Panel, U of M - School of Mathematics - MCFAM
Fri Sep 21

MCFAM Seminar

5:30pm - Vincent Hall 16
Topological Data applied to Finance
Kaisa Taipale - 2018 MCFAM Summer Seminar Students, University of Minnesota
Fri Oct 05

MCFAM Seminar

5:30pm - Vincent Hall 16
CCAR (Comprehensive Capital Analysis and Review) and Basel Framework - Risk Management Modeling
Dr. Xu Li

Dr.Xu Li will give an overview of what he is does in Market Risk Analytics as a SVP of Risk Analytics at Citi. He will then focus on a default model that is useful for both CCAR, the stress testing framework set out by the Federal Reserve (IDR) and Basel framework which is the international regulatory framework for banks (IRC, DRC). He will show the general ideas on modeling the default risks and discuss some options on the modeling choices.

Fri Oct 12

MCFAM Seminar

5:30pm - Vincent Hall 16
Interpreting Constraints in Mean Variance Optimization
Chris Bemis, Head of Quantitative Analysis and Research, Whitebox Advisors, UMN Math Dpt. Affiliated Faculty

We study the effect linear constraints have on risk in the context of mean variance optimization (MVO). Jagannathan and Ma (2003) establish an equivalence between certain constrained and unconstrained MVO problems via a modification of the covariance matrix. We extend their results to arbitrary linear constraints and provide alternative interpretations for the effect of constraints on both the input parameters to the problems at hand and why ex-post performance is improved in the constrained setting.

Fri Oct 26

MCFAM Seminar

5:30pm - Vincent Hall 16
Dynamic Linear Models
Katy Micek, 3M Finance

Dynamic linear models (DLMs), a subset of state space models, describe the output of a dynamic system as a function of a non-observable state process affected by random errors. Because DLMs can be used either for traditional time series analysis tasks (making inferences on observed states or prediction future observations) or for feature generation in machine learning tasks, they are a very useful tool for any data scientist who works with time series data. As a data scientist on the Data Analytics team for 3M Finance, I work primarily with time series data from the general ledger. Our team both leads data science projects and assists in organizational development of internal capabilities around data science.
In this talk, I will first provide an overview of the Finance organization and describe the technical tasks our team addresses. Next, I will give an introduction on the mathematics of DLMs. Finally, I will conclude showing examples of how DLMs can be used on time series data in a Jupyter notebook demo.

Fri Nov 09

MCFAM Seminar

5:30pm - Vincent Hall 16
Macroecomic Analysis and Insight - Steepness of the Yield Curve As of September 2018
Ujae Kang, UnitedHealth Group

Ujae Kang will present on the Federal Reserve over the years and its influence on the yield curve. Then, he will cover what to expect from the Federal Reserve in the coming years.

Bio: Ujae Kang is Director of Enterprise Risk Management at UnitedHealth Group. He is an Associate of the Society of Actuaries and has an Master of Financial Mathematics from the University of Minnesota's School of Mathematics. He also provides economic research and insights to UnitedHealth Group's Asset Liability Management Committee as well as to other investors. For more information on Ujae go to linkedin.com/in/ujaeaugustinekang

Fri Nov 30

MCFAM Seminar

5:30pm - Vincent Hall 16
The Effect of the Risk Corridors Program on Marketplace Premiums and Participation
Pinar Karaca Mandic, MILI Director/Carlson Finance Professor

We investigate the effect of the Risk Corridors (RC) program
on premiums and insurer participation in the Affordable Care Act
(ACA)’s Health Insurance Marketplaces. The RC program, which was
defunded ahead of coverage year 2016, and ended in 2017, is a risk
sharing mechanism: it makes payments to insurers whose costs are high
relative to their revenue, and collects payments from insurers whose
costs are relatively low. We show theoretically that the RC program
creates strong incentives to lower premiums for some insurers.
Empirically, we find that insurers who claimed RC payments in 2015,
before defunding, had greater premium increases in 2017, after the
program ended. Insurance markets in which more insurers made RC claims
experienced larger premium increases after the program ended,
reflecting equilibrium effects. We do not find robust evidence that
insurers with larger RC claims in 2015 were less likely to participate
in the ACA Marketplaces in 2016 and 2017. Overall we find that the end
of the RC program significantly contributed to premium growth.

Fri Dec 07

MCFAM Seminar

5:30pm - Vincent Hall 16
Data Visualization in R
Chen Zhang, Sr. Consultant, Analytics & Research at Travelers; Ph.D. in Statistics from UConn; UMN MFM Alumnus

Data visualization is often overlooked by people working with data and/or modeling but can in fact reveal very useful insight into problems at hand. R is an open-source programming language for statistical computing and graphics with increasing popularity among practitioners in data science and machine learning in recent years. The "ggplot2" package in R, in particular, provides very powerful, intuitive and versatile tools for data visualization. An overview of these tools will be presented in this talk accompanied by a live demo.

Fri Jan 25

MCFAM Seminar

5:30pm - Vincent Hall 16
Model selection, low/high dimensional regression variable selection
Dr. Jie Dingji