Speakers, Discussants, Panelists and Chairs
Mark Watson, Keynote Speaker
Department of Economics and Woodrow Wilson School, Princeton University
Mark Watson is the Howard Harrison and Gabrielle Snyder Beck Professor of Economics and Public Affairs at Princeton University and a research associate at the National Bureau of Economic Research. He is a fellow of the American Academy of Arts and Sciences and of the Econometric Society. His research focuses on time-series econometrics, empirical macroeconomics, and macroeconomic forecasting. He has published articles in these areas and is the author (with James Stock) of Introduction to Econometrics, a leading undergraduate textbook. Watson has served on the editorial board of several journals including the American Economic Review, Journal of Applied Econometrics, Econometrica, the Journal of Business and Economic Statistics, the Journal of Monetary Economics, and Macroeconomic Dynamics. He currently serves as a Co-Editor of the Review of Economics and Statistics. He has served as a consultant for the Federal Reserve Banks of Chicago and Richmond. Before coming to Princeton in 1995, Watson served on the economics faculty at Harvard and Northwestern. Watson did his undergraduate work at Pierce Junior College and California State University at Northridge, and completed his Ph.D. at the University of California at San Diego.
Stephen Cecchetti, Luncheon Speaker
Economic Adviser, Head of Monetary and Economic Department at Bank For International Settlements
Stephen G. Cecchetti is the Economic Adviser and the Head of the Monetary and Economic Department at the Bank for International Settlements in Basel, Switzerland. He is also a Research Associate of the National Bureau of Economic Research and a Research Fellow of the Centre for Economic Research.
Prior to joining the BIS in July 2008, Mr. Cecchetti held a number of positions including Barbara and Richard M Rosenberg Professor of Global Finance at the Brandeis International Business School, Brandeis University in Waltham, Massachusetts, USA; Executive Vice President and Director of Research at the Federal Reserve Bank of New York and editor of the Journal of Money, Credit and Banking. In addition to a textbook entitled Money, Banking and Financial Markets, Stephen Cecchetti has authored numerous articles in top scientific and policy journals focusing on macroeconomics and monetary policy. He has been a regular contributor to the Financial Times and is a founding contributor of VOX, a policy portal.
Mr. Cecchetti holds an undergraduate degree from the Massachusetts Institute of Technology and a doctorate from the University of California Berkeley. He is married with two children.
Tobias Adrian, Federal Reserve Bank of New York
(Moderator for the Volatility Outlook Panel)
Tobias Adrian is a Vice President of the Federal Reserve Bank of New York, with the Capital Markets Function of the Research Group. His research covers asset pricing, financial intermediation, and macroeconomics, with a focus on the aggregate implications of capital market developments. He has contributed to the NY Fed's financial stability policy and to its monetary policy briefings. Tobias Adrian holds a Ph.D. from MIT and an MSc from LSE. He has taught at MIT and Princeton University.
Turan G. Bali, Baruch College, Zicklin School of Business
(Discussant for “Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty”)
Turan Bali is the David Krell Chair Professor of Finance at Baruch College and the Graduate School and University Center of the City University of New York. His fields of specialization are empirical asset pricing, risk management, and financial econometrics. He published in leading journals in economics, finance, and statistics, including the Journal of Finance, Journal of Financial Economics, Management Science, Journal of Monetary Economics, Review of Economics and Statistics, Journal of Business, Journal of Financial and Quantitative Analysis, Journal of Business and Economic Statistics, Journal of Economic Dynamics and Control, Journal of Money, Credit, and Banking, and Journal of Risk and Insurance. He is an associate editor of the Journal of Banking and Finance, Journal of Futures Markets, Journal of Portfolio Management, and the Journal of Risk.
Arthur M. Berd, BERD LLC.
(Volatility Outlook Panel)
Dr. Arthur M. Berd is a well-known author and industry expert in quantitative derivatives strategies, credit risk modeling, and portfolio and risk management. He is a Managing Principal at BERD LLC, an advisory firm focusing on investment management industry.
Until January 2011, he was the head of macro volatility strategies at Capital Fund Management, a hedge fund specializing in systematic investment strategies headquartered in Paris. Before joining CFM in early 2008, he was a co-founder and head of research at Quantitative Alternatives LLC, a startup hedge fund in Rye Brook, NY, and before that the head of quantitative market strategies at BlueMountain Capital Management, a leading credit hedge fund in New York. Prior to 2005, Arthur was a Senior Vice President at Lehman Brothers where he was responsible for a variety of quantitative credit models and strategies across corporate bonds and credit derivatives, and was instrumental in advising the Firm’s largest institutional clients on credit portfolio strategies. Before joining Lehman Brothers in 2001, he was a Vice President at Goldman Sachs Asset Management, focusing on fixed income and equity risk management and quantitative portfolio analysis for cash and CDO products.
Dr. Berd is a member of the editorial board of the Journal of Credit Risk, and is the founder and coordinator of the quantitative finance section of www.arXiv.org, a global electronic research repository. He is an author of more than 30 publications and a frequently invited speaker at major industry conferences. Dr. Berd edited the recently published book on the “Lessons from the Financial Crisis” (RiskBooks, 2010) which gives unique quantitative insights into many aspects of the ongoing crisis, and contributed chapters to several other books on finance.
He holds a Ph.D. in physics and a Ph.D. Minor in business from Stanford University.
Paul M. Britton, Capstone Holdings Group LLC.
(Volatility Outlook Panel)
Paul M. Britton is the Founder and CEO of Capstone Holdings Group, LLC. Capstone Holdings Group and its affiliates form an innovative, multi-faceted financial services firm that specializes in and supports the trading of volatility as an asset class. The firm's trading and volatility strategies span equities, commodities, currencies, credit and fixed-income on an international basis. Headquartered in New York, the firm has more than 75 employees across its offices in New York, London and Singapore.
Capstone Holdings Group was formed in 2004 following Mr. Britton's purchase of the U.S. operations of Mako Global Derivatives, a leading options market maker in Europe, where he had been its U.S. Chief Executive Officer and a member of its board of directors for 5 years. Mako Global Derivatives was established in 1999 when Mr. Britton and his two partners orchestrated a management buyout of Saratoga Limited, an options trading firm. With Mako Global Derivatives, Mr. Britton moved to New York in 2001 to establish a U.S. presence. Prior to that time, Mr. Britton had been with Saratoga Limited since 1994, where he started his trading career. With Saratoga Limited, he spent time in London, Milan and then Amsterdam in order to establish a Netherlands presence for that firm.
Born in London, Mr. Britton graduated from London Guildhall University/London Metropolitan University in 1994 with a bachelor's degree in European Business Systems. In addition to Mr. Britton's responsibilities, he is an investor in real estate in the United Kingdom and Argentina. He currently resides in Manhattan with his wife Laurel and his three young children.
Vasco M. Carvalho, CREI and Universitat Pompeu Fabra
(Speaker for “The Great Diversification and its Undoing”)
Vasco M. Carvalho is Junior Researcher at the Centre de Recerca en Economia Internacional (CREi), Adjunct Professor at the Department of Economics of Universitat Pompeu Fabra and Affiliated Professor at the Barcelona Graduate School of Economics. He completed his PhD in Economics at the University of Chicago in August 2008. His main research areas are in Macroeconomics and Applied Econometrics.
His research in Macroeconomics has focused on the sectoral origins of business cycle phenomena and, in particular, how the structure of input supply linkages across sectors can facilitate the propagation of shocks and, as an upshot, generate strong cyclical comovement. His research is also concerned with the business cycle implications of processes of structural change and how the latter can explain the evolving patterns of business cycle volatility in the past half-century. In Applied Econometrics, he has focused on the development of time series methods to assess long run processes of cross-country and regional convergence as well as the emergence of common cycles across countries or sectors. He has published his research in international journals such as the Journal of Business and Economic Statistics, the Journal of Applied Econometrics and the International Journal of Forecasting.
Mustafa Chowdhury, Deutsche Bank
(Volatility Outlook Panel)
Mustafa Chowdhury is a Managing Director and Chief US Rates Strategist at Deutsche Bank, based in New York. Prior to this, Mustafa was a Managing Director in Fixed Income Research with Bear Stearns. Before that, Mustafa was Co-Head of Asset-Liability Management at Freddie Mac, with responsibility for interest rate derivatives trading and portfolio management. Prior to joining the financial services industry, Mustafa was an Assistant Professor of finance at Louisiana State University. Mustafa holds a PhD from the University of California San Diego.
Peter Christoffersen, University of Toronto, Rotman School of Management
(Speaker for “Is the Potential for International Diversification Disappearing?”)
Peter Christoffersen is a Professor of Finance at the Rotman School of Management at the University of Toronto. He is the author of the book Elements of Financial Risk Management and his research articles have also been published in a number of leading finance and econometrics journals. He is currently an associate editor of the Journal of Applied Econometrics, the Journal of Financial Econometrics, and the Journal of Risk. He has won research awards from the Q-Group, KPMG, the Montreal Exchange, and STOXX. He has given invited lectures at the Bank of America, the Bank of Canada, the European Central Bank, the Board of Governors of the Federal Reserve, and the International Monetary Fund among others. Before joining the Rotman School in 2010 he taught at McGill University for twelve years and previously he worked as an economist at the International Monetary Fund in Washington, DC. You can find him on the web at www.christoffersen.com.
Christian Dorion, HEC Montréal
(Speaker for “Business Conditions, Market Volatility and Option Prices”)
Since June 2010, Christian Dorion is an Assistant Professor of Finance at HEC Montreal and a research fellow at the Institut de Finance Mathématique de Montréal (IFM2). His research interests include asset pricing, derivatives valuation, risk management, credit risk, and financial econometrics. He obtained his Ph.D. from McGill University in November 2010. Prior to joining McGill, he completed a M.Sc. in computer science and operations research, and worked as a quantitative analyst for a consulting firm.
Robert F. Engle, NYU, Stern School of Business
(Scientific Committee, Speaker for "What's new in Vlab?" session and Discussant for "Is the Potential for International Diversification Disappearing"?)
Robert Engle, the Michael Armellino Professor 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 the University of California at San Diego. Professor Engle is an expert in time series analysis with a long-standing interest in the analysis of financial markets. His ARCH model and its generalizations have become indispensable tools not only for researchers, but also for analysts of financial markets, who use them in asset pricing and in evaluating portfolio risk. His research has also produced such innovative statistical methods as cointegration, common features, autoregressive conditional duration (ACD), CAViaR and now dynamic conditional correlation (DCC) models. He is currently the Director of the newly created NYU Stern Volatility Institute and is the Co-Founding President of the Society for Financial Econometrics (SoFiE), a global non-profit organization housed at NYU. Before joining NYU Stern in 2000, Professor Engle was Chancellor's Associates Professor and Economics Department Chair at the University of California, San Diego, and Associate Professor of Economics at the Massachusetts Institute of Technology. He received his bachelor of science in physics from Williams College and his master of science in physics and doctor of philosophy in economics from Cornell University. Born in Syracuse, NY, he grew up in Media, Pennsylvania, spent 25 years in San Diego, and now lives in New York.
Eric Ghysels, University of North Carolina - Chapel Hill
(Scientific Committee and Speaker for "Conditional Skewness of Stock Market Returns in Developed and Emerging Markets and its Economic Fundamentals")
Eric Ghysels is the Bernstein Distinguished Professor of Economics at the University of North Carolina - Chapel Hill and Professor of Finance at the Kenan-Flagler Business School. His main research interests are time series econometrics and finance. He obtained his Ph.D. from the Kellogg Graduate School of Management at Northwestern University. He has been a visiting professor or scholar at several major U.S., European and Asian universities. He gave invited lectures, including at the World Congress of the Econometric Society, the American Statistical Association Meetings, and several (EC)2 Conferences, among many others. He serves on the editorial boards of several academic journals and was co-editor of the Journal of Business and Economic Statistics (2000-2003) and is currently co-editor of the Journal of Financial Econometrics. He has published in the leading economics, finance and statistics journals and has published several books. He is a fellow of the American Statistical Association and The Journal of Econometrics. He is also the Founding Co-President of the Society for Financial Econometrics (SoFiE). His most recent research focuses on MIDAS (mixed data sampling) regression models and related econometric methods, Quality Control for Risk Management, and asset pricing with heterogeneous agents and model uncertainty.
Tony Hall, University of Technology, Sydney
(Chair for "Diversification and Tail Risk" session)
Tony Hall holds a PhD in econometrics (London School of Economics, 1976). He has taught econometrics at the Australian National University and the University of California, San Diego (both recognised internationally as leading institutions for this discipline) and finance at the School of Business, Bond University and the University of Technology, Sydney. He has publications in a number of the leading international journals in economics and econometrics including The Review of Economics and Statistics, The Review of Economic Studies, The International Economic Review, The Journal of Econometrics, Econometric Theory, Econometric Reviews, The Journal of Business and Economic Statistics, Biometrika, and The Journal of Time Series Analysis. His research interests cover all aspects of financial econometrics, with a special interest in modelling the term structure of interest rates. Tony is currently the Head of the School of Finance and Economics.
Peter Reinhard Hansen, Stanford University
(Discussant for “Conditional Skewness of Stock Market Returns in Developed and Emerging Markets and its Economic Fundamentals”)
Peter Hansen is Assistant Professor of Economics at Stanford University. He holds a M.Sc in Mathematics and Economics from University of Copenhagen and a Ph.D. in Economics from University of California, San Diego. Before joining the Department of Economics at Stanford University in 2004, he was Assistant Professor of Economics at Brown University (2000-2004). His main contributions include the Test for Superior Predictability; the Model Confidence Set and volatility estimators that utilize high frequency data such as the Realized Kernel, and the Markov Chain Estimator. He is the discoverer of the Winner's Curse of Econometric Models. He has co-authored the book "Workbook on Cointegration", published by Oxford University Press in 1998 and he has published research articles on cointegration, forecasting, and financial volatility. He is associate editor for the Journal of Applied Econometrics, a research fellow of Center for Research in Econometric Analysis of Time Series, and the Volatility Institute at NYU, Stern. His research has been supported by grants from the Danish Research Council and the Salomon Research Grant. His current research is concerned with the estimation of financial volatility using high-frequency data, the theory behind the 'winner's curse of econometric models', and the development of GARCH models that utilize realized measures of volatility. Peter Hansen lives in Palo Alto, California, with his wife, Gridt, and their two sons.
Peter Hooper, Deutsche Bank
(Scientific Committee and Chair for “Great Moderation” session)
Peter Hooper is currently Managing Director and Chief Economist for Deutsche Bank Securities. He joined Deutsche Bank Securities in the fall of 1999, first as Chief International Economist and shortly thereafter as Chief US Economist. He became Chief Economist and co-head of global economics in 2006. Prior to joining Deutsche Bank, Hooper enjoyed a distinguished 26-year career at the Federal Reserve Board in Washington, D.C. While rising to senior levels of the Fed staff, he held numerous positions, including as an economist on the FOMC and as Deputy Director of the Division of International Finance. Hooper produces weekly and quarterly publications for Deutsche Bank and often comments on US and global economic and financial developments in the news media. He is currently a member of the Economic Advisory Panel of the Federal Reserve Bank of New York, a member of the Economic Leadership Council for the University of Michigan, and a member of the Forecasters' Club of New York. Hooper earned a BA in Economics (cum laude) from Princeton University and an MA and Ph.D. in Economics from University of Michigan. He has published numerous books, journal articles, and reviews on economics and policy analysis.
Kris Jacobs, University of Houston, C.T. Bauer College of Business
(Speaker for "A GARCH Option Model with Variance-Dependent Pricing Kernel")
Kris Jacobs is the C.T. Bauer Professor of Finance at the University of Houston's Bauer School of Business. His research and teaching interests are in the areas of applied investments, option valuation, credit risk, and fixed income. Previously he was a Faculty member at McGill's Desautels School of Management in Montreal, and he also served as the research director for the Institut de Finance Mathematique de Montreal (IFM2) from 2006 to 2009.
He has published his research in most leading finance journals. His research has won awards from the Q-group, the Montreal Exchange, and STOXX, and has been funded by grants from SSHRC, FQRSC, and IFM2.
Malcolm D. Knight, Deutsche Bank
(Opening Remarks for Luncheon Speaker)
Dr. Knight is Vice Chairman of Deutsche Bank Global Group, responsible for developing a globally-coherent strategy and coordinating DB Group-wide issues on regulation, supervision and financial stability. He is based in New York at the Bank’s offices at 60 Wall Street. Concurrently, Dr. Knight is also Visiting Professor in Finance at the London School of Economics and Political Science.
Dr. Knight served as General Manager and Chief Executive Officer of the Bank for International Settlements during 2003-2008. From 1999 to 2003 he was Senior Deputy Governor of the Bank of Canada, where he was the Bank’s chief operating officer and a member of the Board of Directors.
From 1975 to 1999 Dr. Knight was with the International Monetary Fund, where he held senior positions in both research and operations. While at the IMF, Dr. Knight was also an adjunct professor at the Johns Hopkins University School of Advanced International Studies. From 1971 to 1975 he taught at the University of Toronto and the London School of Economics and Political Science.
Dr. Knight holds an Honour BA in Political Science and Economics from the University of Toronto, and MSc (Econ) and PhD degrees in economics from the London School of Economics and Political Science. He has published widely in the fields of macroeconomics, international finance and banking.
Aleksandar Kocic, Deutsche Bank
(Discussant for "The Great Diversification and its Undoing”)
Aleksandar Kocic is the Managing Director of Interest Rates Strategies at Deutsche Bank Securities. Prior to joining Deutsche Bank, Aleksandar held the position of Interest Rates Research at Lehman Brothers. He has a Ph.D. in Physics.
Ken Kroner, BlackRock
(Volatility Outlook Panel)
Ken Kroner, PhD, Managing Director, is Chief Investment Officer and head of BlackRock Scientific Active Equity, and head of the Global Market Strategies Group (GMSG).
Dr. Kroner is the head of Scientific Active Equities and the Global Market Strategies Group. His service with the firm dates back to 1994, including his years with Barclays Global Investors (BGI), which merged with BlackRock in 2009. At BGI, he served as head of the Global Market Strategies Group, head of the Hedge Fund Management Group and co-head of the Client Solutions Group. These teams were responsible for BGI's asset allocation, global macro, currency, active commodity, fund of hedge funds and client solutions businesses. Prior to joining BGI in 1994, Dr. Kroner was an associate professor of economics and finance at the University of Arizona.
Dr. Kroner serves or has served on various academic boards, foundation boards and academic journal editorial boards. His research on forecasting volatility and asset returns has been widely published in both academic and practitioner journals. Dr. Kroner earned a BA degree in mathematics and economics from the University of Alberta in 1983 and a PhD in economics from the University of California at San Diego in 1988.
Anthony W. Lynch, NYU, Stern School of Business
(Discussant for “The FX Comovements: Disentangling the Role of Market Factors, Carry-Trades and Idiosyncratic Components”)
Professor Lynch completed his undergraduate studies at the University of Queensland in 1989 earning a BCom (Hons), a LLB (Hons), and a University Medal. He received his PhD in Finance and Economics at the University of Chicago in 1994. He has been a finance professor at NYU's Stern School of Business since that time, receiving tenure and promotion to associate professor in 2001. He was appointed a research associate of the NBER in 2002. He has conducted research on a broad range of financial issues, but he has particular expertise in the areas of portfolio allocation, asset pricing and mutual funds. His research has been published in all the major academic finance journals including the Journal of Finance, the Journal of Business, the Journal of Financial Economics, the Journal of Financial and Quantitative Analysis, and the Review of Financial Studies. He is currently an Associate Editor of the Review of Finance.
Lasse H. Pedersen, NYU, Stern School of Business
(Chair for "Short Run and Long Run Volatility" session)
Lasse H. Pedersen is the John A. Paulson Professor of Finance and Alternative Investments at the NYU Stern School of Business and a research associate at CEPR and NBER. Lasse is part of the Liquidity Working Group meeting at the Federal Reserve Bank of New York to address liquidity issues. He also serves on the New York Fed’s Monetary Policy Panel, the American Finance Association’s Board of Directors, the Economic Advisory Boards of NASDAQ and FTSE, and is associate editor at The Journal of Finance, Journal of Economic Theory, and The Review of Asset Pricing Studies. Lasse’s research focuses on liquidity risk. He studies the origins of market and funding liquidity risks and their effects on asset prices, systemic crises, margin requirements, and monetary policy. His academic awards include the Fama/DFA First Prize for the best papers published in the Journal of Financial Economics. Lasse received his B.S. and M.S. from University of Copenhagen and his Ph.D. from Stanford Graduate School of Business.
José Gonzalo Rangel, Bank of Mexico
(Speaker for "The FX Comovements: Disentangling the Role of Market Factors, Carry-Trades and Idiosyncratic Components")
Dr. José Gonzalo Rangel is a research economist in the Economic Research Department of the Central Bank of Mexico. Prior to joining the Bank, he was a postdoctoral research fellow at the NYU Volatility Institute where he contributed to develop the Institute’s Volatility Laboratory (Vlab). He holds a Ph.D. in economics from the University of California, San Diego, a master’s degree in economics from El Colegio de Mexico, and a bachelor’s honours degree in actuarial mathematics from the National University of Mexico. He specializes in modeling asset volatilities and correlations focusing on their linkages with economic fundamentals at high and low frequencies. His doctoral dissertation research on this topic has been published in prestigious finance journals such as the Review of Financial Studies and the Journal of Banking and Finance.
Marti G. Subrahmanyam, NYU, Stern School of Business
(Chair for "Variance Risk Premia" session)
Marti G. Subrahmanyam is the Charles E. Merrill Professor of Finance and Economics in the Stern School of Business at New York University. He holds degrees from the Indian Institute of Technology, Madras, and the Indian Institute of Management, Ahmedabad, and a doctorate from the Massachusetts Institute of Technology. Professor Subrahmanyam has published numerous articles in leading academic journals and books in the areas of corporate finance, capital markets and international finance. He has been a visiting professor at leading academic institutions around the world including, most recently, the University of Melbourne in Australia, LUISS in Italy and the National University of Singapore.
Professor Subrahmanyam currently serves on the editorial boards of many academic
journals and was the founding editor of the Review of Derivatives Research. He has won many teaching awards including New York University’s Distinguished Teaching Medal.
He has served as a consultant to several corporations, industrial groups, and financial institutions around the world. He also sits on the boards of several companies, including theICICI Prudential Life Insurance Co. Ltd., Infosys Technologies Ltd. (NASDAQ: INFY), Nomura Asset Management Inc, and the board of advisers of Apollo Management L.P. He has also served as an advisor to international and government organizations.
George Tauchen, Duke University, Fuqua School of Business
(Discussant for "Business Conditions, Market Volatility and Option Prices")
George Tauchen is the W. H. Glasson Professor of Economics and Professor of Finance, Fuqua School of Business at Duke University. He received his Ph.D. in 1977 from the University of Minnesota. Tauchen is a fellow of the Econometric Society, a fellow of the American Statistical Association, and a fellow of the Journal of Econometrics. He is also the 2003 Duke University Scholar/Teacher of the Year. Tauchen’s specialty is financial econometrics. Tauchen regularly gives research seminars at major U.S. research universities and at international meetings, conferences, and research institutes. He was Visiting Fellow at the Australian National University. He gave a major invited address at the Seventh World Congress of the Econometric Society in Tokyo, Japan. He has lectured in such diverse places as Taipei, Santiago de Chile, London, Madrid, Toulouse, Paris, Sydney, Melbourne, Vienna, Helsinki, Xiamen (China), and Tokyo. He is former Editor of the Journal of Business and Economic Statistics (JBES) and Associate Editor of Econometrica, Econometric Theory, The Journal of the American Statistical Association, and JBES. He is currently Co-Editor of the Journal of Financial Econometrics. Professor Tauchen regularly spends March and April in New York City to teach in the Duke-in-NY program, a semester of study in New York for Duke undergraduates taught at NYU facilities.
Ingo Walter, NYU, Stern School of Business
Ingo Walter is Dean of the Faculty and the Seymour Milstein Professor of Finance, Corporate Governance and Ethics at the Stern School of Business, New York University.
He has been on the faculty at New York University since 1970, and has served a number of terms as Associate Dean for Academic Affairs, Chair of International Business, and Chair of Finance. He was Director of the New York University Salomon Center for the Study of Financial Institutions from 1990 to 2003. Since 1985 he has also been affiliated with Insead in Fontainebleau, France, and has served as a consultant to various corporations, banks, governments and international institutions.
Prof. Walter’s principal areas of academic activity have included international trade policy, environmental economics, economics of multinational corporate operations, and since the mid-1980s the industrial organization of global financial intermediation. He has published papers in all of the professional journals in these fields, and is the author of over 20 books. These include Mergers and Acquisitions in Banking and Finance (2004) and Governing the Modern Corporation (2006), and Global Banking – Fourth Edition (2011) all published by Oxford University Press.
Liuren Wu, Baruch College, Zicklin School of Business
(Discussant for “A GARCH Option Model with Variance-Dependent Pricing Kernel”)
Liuren is a professor of economics and finance at Zicklin School of Business, Baruch College, the City University of New York. Before he joined Zicklin in 2003, he was an assistant professor at Fordham University. Liuren's major research interests include option pricing, credit risk, term structure modeling, market microstructure, and general asset pricing. During the past ten years, Liuren has published over 30 articles, many of them in top finance journals such as the Journal of Finance, the Journal of Financial Economics, Review of Financial Studies, the Journal of Financial and Quantitative Analysis, Management Science, and Journal of Monetary Economics. Liuren has worked extensively as consultants in the finance industry, including Bloomberg, Morgan Stanley, Royal Bank of Canada, and several fixed income and equity hedge funds. As a consultant, he has developed statistical arbitrage strategies, risk management procedures, and quantitative models for pricing fixed income and equity derivative securities.
Hao Zhou, Federal Reserve Board
(Speaker for “Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty”)
Hao Zhou is a senior economist in the Risk Analysis Section at the Board of Governors of the Federal Reserve System. His official duty involves supervising and regulating the large bank holding companies’ risk management models and advising the Board of Governors on market risk and credit risk capital requirements. Hao’s research agenda covers the areas of financial market volatility and return predictability, dynamic term structure of interest rates, structural models of credit risk and credit derivatives market, and macroprudential regulation of systemically important financial institutions (SIFI). He has published in leading academic journals, including Journal of Finance, Review of Financial Studies, Journal of Econometrics, Journal of Business and Economic Statistics, Journal of Banking and Finance, Journal of Financial Econometrics. His research has received recognitions from Crowell Memorial Prize of PanAgora Asset Management, BankScope Prize of Australasian Finance and Banking Conference (AFBC), Chicago Quantitative Alliance (CQA) Academic Competition, Centre for Hedge Fund Research (CHFR) at Imperial College, Global Association of Risk Professional (GARP), among others. Hao was a technical advisor for the Bank for International Settlements in spring 2009, a visiting professor of finance at MIT Sloan School of Management in fall 2007, and a visiting professor of economics at Peking University China Center for Economic Research (CCER) in fall 2005. He joined the Federal Reserve in 2000 after receiving his PhD degree in economics from Duke University. He also holds a BA degree in economics and an MA degree in management from Peking University.