## Seminar Categories

## Current Series

Fri Sep 14 |
## MCFAM Seminar5:30pm - Vincent Hall 16How 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 Seminar5:30pm - Vincent Hall 16Topological Data applied to Finance Kaisa Taipale - 2018 MCFAM Summer Seminar Students, University of Minnesota |

Fri Oct 05 |
## MCFAM Seminar5:30pm - Vincent Hall 16CCAR (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 Seminar5:30pm - Vincent Hall 16Interpreting 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 Seminar5:30pm - Vincent Hall 16Dynamic 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. |

Fri Nov 09 |
## MCFAM Seminar5:30pm - Vincent Hall 16Macroecomic 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 Seminar5:30pm - Vincent Hall 16The 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 |

Fri Dec 07 |
## MCFAM Seminar5:30pm - Vincent Hall 16Data 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 Seminar5:30pm - Vincent Hall 16Model selection, low/high dimensional regression variable selection Dr. Jie Dingji |