Bloomberg Quant (BBQ) Seminar Series – October 2024
In this seminar chaired by Bruno Dupire, Prof. Robert Engle, NYU Stern, will present the keynote, followed by “lightning talks” of 5 minutes each in quick succession.
5:30 PM
Keynote Speaker: Robert Engle
2003 Nobel Prize in Economics, Professor Emeritus of Finance, New York University
"Mirror, Mirror on the Wall, Who's the Greenest of Us All?"
Climate risks in the far future impact asset prices today. Climate risk portfolios reflect these risks, and different portfolios may capture separate aspects of climate risks. Climate betas associated with these risk portfolios are estimated for individual stocks and are seen to vary across stocks and over time.
What determines these climate betas? Firm characteristics are natural answers. In a panel regression, these are decomposed into industry, balance sheet and ESG sources. Which of these are material?
When applied to financials, this leads to climate stress tests. When applied to stocks, it suggests strategies for greening.
6:30 PM
Lightning Talks
- Rudy Morel | Flatiron Institute
Volatility prediction through path shadowing Monte Carlo
- J. Brooks | GlassView
How neuroscience at scale is changing the landscape of marketing
- Olfa Maalaoui | Bloomberg
A tool for liquidity assessment - Philippe Burke | Apache Capital Management
Mr. Eiffel's impossible challenge - Bryan Liang | Bloomberg
What the options market tells us about the election
Speakers
Robert Engle
2003 Nobel Prize in Economics
Professor Emeritus of Finance, NYU Stern School of Business
Robert Engle, Professor Emeritus of Finance at New York University Stern School of Business, was awarded the 2003 Nobel Prize in Economics for his research on the concept of autoregressive conditional heteroskedasticity (ARCH). He developed this method for statistical modeling of time-varying volatility and demonstrated that these techniques accurately capture the properties of many time series. Professor Engle shared the prize with Clive W. J. Granger of UCSD. Professor Engle is the Co-Director of the Volatility and Risk Institute at NYU Stern. In this role he has developed research tools to track risks in the global economy and make these publicly available on the V-LAB website.
Bruno Dupire
Global Head of Quantitative Research, CTO Office
Bloomberg
Bruno Dupire is the Global Head of Quantitative Research, CTO Office at Bloomberg, which he joined in 2004. Prior to this assignment in New York, he has headed the Derivatives Research teams at Société Générale, Paribas Capital Markets and Nikko Financial Products where he was a Managing Director. He is best known for having pioneered the widely used Local Volatility model (simplest extension of the Black-Scholes-Merton model to fit all option prices) in 1993 and the Functional Itô Calculus (framework for path dependency) in 2009. He is a Fellow and Adjunct Professor at NYU and he is in the Risk magazine “Hall of Fame”. He is the recipient of the 2006 “Cutting edge research” award of Wilmott Magazine and of the Risk Magazine “Lifetime Achievement” award for 2008. He runs and organizes the Bloomberg Quant (BBQ) seminar, the largest monthly event of this kind.