[CvGmt News] avviso Seminario di Finanza Quantitativa prof. Gabriele La Spada (13.09.2016)

Valeria Giuliani valeria.giuliani at sns.it
Mon Sep 5 10:33:18 CEST 2016


SEMINARIO DI FINANZA QUANTITATIVA



Martedì 13 settembre 2016

ore 11:00



*Scuola Normale Superiore*

Pisa

Aula Bianchi Scienze



*Gabrilele La Spada*

*(Federal Reserve Bank of New York)*



terrà un seminario dal titolo:



*“**Competition, Reach for Yield, and Money Market Funds**”*



*Abstract:*

*Do asset managers reach for yield because of competitive pressures in a
low-rate environment? I propose a tournament model of money market funds
(MMFs) to study this issue. When funds care about relative performance, an
increase in the risk premium leads funds with lower default costs to
increase risk-taking, while funds with higher default costs decrease
risk-taking. Without changes in the premium, lower risk-free rates reduce
the risk-taking of all funds. I show that these predictions are consistent
with MMF risk-taking during the 2002-08 period and that rank-based
performance is indeed a key determinant of money flows to MMFs. *





Tutti gli interessati sono invitati a partecipare.



Classe di Scienze Matematiche e Naturali




Valeria Giuliani
Scuola Normale Superiore
Servizio alla Didattica e Allievi
tel. 050 509260
Piazza dei Cavalieri, 7
56126 Pisa
E-mail: valeria.giuliani at sns.it
E-mail: classi at sns.it
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