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Financial Darwinism
Praise for Financial Darwinism “The world’s political and economic uncertainties, exacerbated by a serious lack of financial transparency, can lead business leaders to feel like they may be virtually flying blind in a rapidly changing global economy. Leo Tilman offers some important tools to address the clear imperative of better strategic and systemic risk management.” William E. Brock Former United States Senator United States Trade Representative and United States Secretary of Labor “History is littered with the wrecks of financial institutions. Some failed to change their strategies. Others pursued tantalizing returns while paying insufficient attention to the risks. Judging from recent financial crises, many financial institutions still have not learned how to avoid crippling, perhaps even life-threatening, wrecks. Leo Tilman’s timely book is a navigator’s manual for managers of 21st-century financial institutions. To prosper, even to survive, Tilman clearly and forcefully shows that they must abandon outmoded strategies, adopt new ones, and pay much more attention to the trade-off between risk and return. He blends theory with experience to show how this can be done, and even how it has been done.” Dr. Richard Sylla Henry Kaufman Professor of The History of Financial Institutions and Markets Professor of Economics Leonard N. Stern School of Business, New York University Financial Darwinism Create Value or Self-Destruct in a World of Risk LEO M. TILMAN John Wiley & Sons, Inc. Copyright C 2009 by Leo M. Tilman. All rights reserved. Published -
The Levy Institute Generates Effective Public Policy Responses to Economic Problems That Profoundly Affect the Quality of Life in the United States and Abroad
Biennial Report 2004–2005 The Levy Economics Institute of Bard College was founded in 1986, through the generous support of Bard College Trustee Leon Levy, as a nonprofit, nonpartisan, public policy research organization. It is independent of any political or other affiliation and encourages diversity of opinion in the examination of economic issues. The purpose of all Levy Institute research and activities is to enable scholars and leaders in business, labor, and government to work together on problems of common interest. Levy Institute findings are disseminated—via publications, conferences, workshops, seminars, congressional testimony, and other activities—to an international audience of public officials, private sector executives, academics, and the general public. Through this process of scholarship, analysis, and informed debate, the Levy Institute generates effective public policy responses to economic problems that profoundly affect the quality of life in the United States and abroad. The Levy Institute’s main conference and research facility is Blithewood Manor, on the campus of Bard College, located 90 miles north of New York City. The Levy Institute is housed in Blithewood Manor at Bard College. 2 MESSAGE FROM THE PRESIDENT 4 NEW INITIATIVE 6 RESEARCH AND PUBLICATIONS : .. , : , - () : : : , , 26 CONFERENCES 36 THE LEVY INSTITUTE BOOK SERIES 37 BIOGRAPHIES OF INSTITUTE SCHOLARS 44 BOARD, ADMINISTRATION, AND RESEARCH STAFF MESSAGE FROM THE PRESIDENT In the biennial reports of previous years, I described how the Levy Institute draws inspiration and guid- ance not only from its founders and scholars but from a world facing many new and daunting chal- lenges. Our efforts to redefine economics and public policy continue to attract notice and exert influ- ence, nationally and internationally. -
Speaker Biographies
The Quantitative Revolution and the Crisis: How Have Quantitative Financial Models Been Used and Misused Speaker Biographies Hugh Patrick is Director of the Center on Japanese Economy and Business at Columbia Business School, co-director of Columbia’s APEC Study Center, and R.D. Calkins Professor of International Business Emeritus. He joined the Columbia faculty in 1984 after some years as Professor of Economics and Director of the Economic Growth Center at Yale University. He has been a visiting professor at Hitotsubashi University, University of Tokyo, and University of Bombay. Professor Patrick has been awarded Guggenheim and Fulbright fellowships and the Ohira Prize. His professional publications include sixteen books and some sixty articles and essays. He is on the Board of Directors of the U.S. Asia Pacific Council and is a member of the Council of Foreign Relations. In November 1994, the Government of Japan awarded him the Order of the Sacred Treasure, Gold and Silver Star (KunnitôZuihôshô). He completed his B.A. at Yale University in 1951, earned M.A. degrees in Japanese Studies (1955) and Economics (1957) and a Ph.D. in Economics at the University of Michigan in 1960. Bruce Kogut is the Sanford C. Bernstein & Co. Professor of Leadership and Ethics and director of the Sanford C. Bernstein Center for Leadership and Ethics at Columbia Business School. He received his Ph.D. from the MIT Sloan School of Management and holds an honorary doctorate from the Stockholm School of Economics. Previously, he was on the faculties of the Wharton School of the University of Pennsylvania and INSEAD, and he has been a research fellow and visiting professor at the Rand Corporation, École Polytechnique, Social Science Research Center Berlin, Stockholm School of Economics, among others. -
The Centennial Issue
THE CENTENNIAL ISSUE COLUMBIA IDEAS AT WORK | THE CENTENNIAL ISSUE Columbia Ideas at Work The Centennial Issue INTRODUCTION In celebration of Columbia Business School’s Centennial we sat down with twenty-five professors to discuss the single biggest question facing researchers in their field. From lingering questions left in the wake of the global financial crisis and the future of the global economy to the way we make choices and the very idea of what makes us human, these are just some of the questions that will define the next century at the very center of business. CONTENTS Who won’t be disrupted? ..........................1 Can we design hard measures Bernd Schmitt for soft skills? .........................................................37 Jonah Rockoff What good is a mind that wanders? ........................................................4 How do you set a price for Malia Mason a marketplace? .....................................................40 Garrett van Ryzin How can we help people get what they want? ................................................7 Where do startups start? ............................43 Elke Weber Evan Rawley Have we been thinking about What’s so bad about activists?.............46 diversity all wrong? .........................................10 Wei Jiang Katherine Phillips Is the future local? ............................................49 Can we think flat, but act Bruce Greenwald hierarchically?......................................................13 Adam Galinsky Will you have enough during retirement? -
Paul Wilmott Introduces Quantitative Finance
Paul Wilmott Introduces Quantitative Finance Second Edition Paul Wilmott Introduces Quantitative Finance Second Edition www.wilmott.com Copyright ≤ 2007 John Wiley & Sons Ltd, The Atrium, Southern Gate, Chichester, West Sussex PO19 8SQ, England Telephone (+44) 1243 779777 Email (for orders and customer service enquiries): [email protected] Visit our Home Page on www.wiley.com Copyright ≤ 2007 Paul Wilmott All Rights Reserved. No part of this publication may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical, photocopying, recording, scanning or otherwise, except under the terms of the Copyright, Designs and Patents Act 1988 or under the terms of a licence issued by the Copyright Licensing Agency Ltd, 90 Tottenham Court Road, London W1T 4LP, UK, without the permission in writing of the Publisher. Requests to the Publisher should be addressed to the Permissions Department, John Wiley & Sons Ltd, The Atrium, Southern Gate, Chichester, West Sussex PO19 8SQ, England, or emailed to [email protected], or faxed to (+44) 1243 770620. Designations used by companies to distinguish their products are often claimed as trademarks. All brand names and product names used in this book are trade names, service marks, trademarks or registered trademarks of their respective owners. The Publisher is not associated with any product or vendor mentioned in this book. This publication is designed to provide accurate and authoritative information in regard to the subject matter covered. It is sold on the understanding that the Publisher is not engaged in rendering professional services. If professional advice or other expert assistance is required, the services of a competent professional should be sought. -
Greenwald Explains Value Principles
News Page 1 of 4 Alumni Home | Calendar Contact ALUMNI News DIRECTORY Alumni Search Lost Alumni Published July 20, 2005 News Index | News Arch JOBS & CAREER Post a Job Job Search Greenwald Explains Value Investing Principles Alumni Career Services It’s a dreary time to be an investor. Stock market Lifelong Learning returns are well below the range investors were seei NEWS & a decade ago. Barely a third of professional portfolio FEATURES managers beat the stock market in a given year, and News those who outperform the market over time are eve Hermes fewer. Either way, they charge fees. And there’s nowhere to go Class Notes because bond and money market returns are even lower. Faced COMMUNITY with these challenges, what can investors do? Alumni Relations Events “In a tough environment, one of the things you may have to Reunions Pan Euro 2006 adjust is your expectations,” said Bruce Greenwald, the Robert Clubs & Heilbrunn Professor of Finance and Asset Management and direc Associations of the Heilbrunn Center for Value Investing, at the 2005 Alumni E-mail Lists Reunion in April. “There are stocks out there that won’t return th Alumni Yellow Pages 10 to 11 percent you’re used to, but they will do better than the Library Portals to 7 percent you’re looking at.” SUPPORT THE SCHOOL Finding those stocks requires a good valuation process, Greenwa Annual Fund said. Value investing, developed by Columbia Business School Dean's Reunion Professor Benjamin Graham — and exploited most famously by Fund Warren Buffett, MS ’51 — is that process. Value investors compa Class Gift a company’s fundamental value to its stock price and buy only Matching Gifts stocks that are undervalued by the market. -
A Simple Model for Pricing Securities with Equity, Interest-Rate, and Default Risk∗
A Simple Model for Pricing Securities with Equity, Interest-Rate, and Default Risk∗ Sanjiv R. Das Rangarajan K. Sundaram Santa Clara University New York University Santa Clara, CA 95053 New York, NY 10012. June 2002, November 2003; Current version: October 2004. ∗The authors’ respective e-mail addresses are [email protected], and [email protected]. We owe a huge debt of grati- tude for extensive discussions and correspondence with Suresh Sundaresan and Mehrdad Noorani. We are very grateful for the use of data from CreditMetrics. Our thanks also to Jan Ericsson, Kian Esteghamat, Rong Fan, Gary Geng, and Maxime Popineau for several helpful comments. The paper benefitted from the comments of seminar participants at York University, New York University, University of Oklahoma, Stanford University, Santa Clara University, Universita La Sapienza, Cred- itMetrics, MKMV Corp., the 2003 European Finance Association Meetings in Glasgow, Morgan Stanley, Archeus Capital Management, Lehman Brothers, and University of Massachusetts, Amherst. 1 Equity, Interest-rate, Default Risk . .2 A Simple Model for Pricing Securities with Equity, Interest-Rate, and Default Risk Abstract We develop a model for pricing derivative and hybrid securities whose value may depend on dif- ferent sources of risk, namely, equity, interest-rate, and default risks. In addition to valuing such secu- rities the framework is also useful for extracting probabilities of default (PD) functions from market data. Our model is not based on the stochastic process for the value of the firm, which is unobservable, but on the stochastic processes for interest rates and the equity price, which are observable. The model comprises a risk-neutral setting in which the joint process of interest rates and equity are modeled to- gether with the default conditions for security payoffs. -
Greenwald on Graham
9/13/05 Benjamin Graham by Bruce Greenwald A brilliant investor and magnetic teacher, Benjamin Graham contributed more to the development of modern professional investment practices than any other single individual. He created an approach to analyzing securities that even today, seventy years after his pioneering work, is the basis for the success of a strikingly large fraction of outstanding investors. The idea that business practices, even in agriculture, should be the object of professional study and continuous improvement is a surprisingly recent one. From Roman times until roughly 1800, there appears to have been no significant increase in economic productivity and hence no measurable improvement in average global standards of living. From 1800 to 1850, economic growth began at a relatively slow but steady pace in Europe and North America. Relatively rapid improvements in living standards only arrived in the latter half of the nineteenth century. Adjusting for inflation, the wages of American workers rose by about 70 percent in the forty years between 1850 and 1890, doubled between 1890 and 1930 and, despite the Depression, tripled between 1930 and 1970. Life expectancy over this period rose from 41 to 70 years. Since 1970, modern standards of living have begun to spread beyond Europe and North America, most notably to Japan, China, India, and other parts of Asia. Although scientific progress provided the basis for these changes, it is notable that the relevant developments in science preceded the rise in living standards by many years. The proximate cause of rising productivity appears to have been the systematic application of technology though sustained attention to improving business (including agricultural) practices. -
24Th Annual CSIMA Conference but First, a Word from Our Sponsors
Thursday, February 4, 2021 Friday, February 5, 2021 10:30am – 2:00pm 24th Annual CSIMA Conference But first, a word from our sponsors... The Columbia Student Investment Management Association and the Heilbrunn Center for Graham & Dodd Investing at Columbia Business School are grateful to the following firms for their generous sponsorship of this conference. The 24th Annual Columbia Student Investment Management Association Conference 3 Agenda Featured Speakers Thursday, February 4, 2021 Anne-Sophie D’andlu CIAM 10:30 a.m.—11:30 a.m. Bill Miller Miller Value Funds Anne-Sophie is Co-Founder and Deputy CEO at CIAM, a European Event Driven & Activist investment Moderated by: management firm, which she co-founded with Catherine Michael Mauboussin, Counterpoint Global Berjal in 2010. Over the last seven years, the funds managed by CIAM have been involved in a number of 11:35 a.m.—12:50 p.m. Best Ideas Panel engaged/activist situations, the most public ones being Joyce Meng, FACT Capital Club Med and Euro Disney, which each time addressed Rishi Renjen, ROAM Global poor corporate governance practices. More recently, CIAM also engaged on social and environmental issues. Management Anne-Sophie has a professional experience of almost Amy Zhang '97, Alger twenty five years in Finance, amongst which eighteen years in the Hedge Fund industry. Prior to launching Moderated by: CIAM, Anne-Sophie worked seven years at Systeia Andrew Skatoff '09, Bancreek Capital Capital Management, a Paris based hedge fund Management, LP manager, subsidiary of Amundi, mainly as a portfolio manager of their Event Driven funds. 1:00 p.m.—2:00 p.m Bruce Greenwald Columbia Business School Before this, she worked six years at PwC from 1995 to 2001, first in their Audit department and then in their Corporate Finance department, doing M&A advisory Friday, February 5, 2021 to non-listed companies. -
Course Syllabus
Course Syllabus University of Pennsylvania The Wharton School Operations, Information and Decisions Mathematical Modeling and its Application in Finance OIDD 353/653 – Spring 2018 Tuesday & Thursday, 3:00pm - 6:00pm January 11 – February 27, 2018 Room: TBD JMHH Office Hours: Tue & Thu 1:30-2:45pm or by appointment Professor Ziv Katalan Office: 3454 SHDH Phone (215) 898-7290 Cell (215) 715-5676 email: [email protected] Teaching Assistant: TBD Modern financial markets are marked by the widespread prevalence of new financial products, the importance of risk management, and the availability of powerful computational technology. Quantitative methods have become fundamental tools in the analysis and planning of financial operations. There are many reasons for this development: the emergence of a whole range of new and complex financial instruments, innovations in securitization, the increased globalization of the financial markets, the proliferation of information technology, and so on. In this class, we develop financial models and computational methods to solve pricing, hedging, and portfolio optimization problems that appear every day in financial markets. The emphasis is on a practical approach: we apply models and methods in a hands-on fashion to real problems, and simultaneously highlight their limitations in real situations. We develop techniques to price a wide array of equity derivatives, including path-dependent options and multi-asset options. We explore the related problems of hedging and risk management, and we address issues that arise in short and long term portfolio optimization. We construct models for the evolution of interest rates, to allow for the pricing and hedging of interest rate derivatives. -
Security Analysis by Benjamin Graham and David L. Dodd
PRAISE FOR THE SIXTH EDITION OF SECURITY ANALYSIS “The sixth edition of the iconic Security Analysis disproves the adage ‘’tis best to leave well enough alone.’ An extraordinary team of commentators, led by Seth Klarman and James Grant, bridge the gap between the sim- pler financial world of the 1930s and the more complex investment arena of the new millennium. Readers benefit from the experience and wisdom of some of the financial world’s finest practitioners and best informed market observers. The new edition of Security Analysis belongs in the library of every serious student of finance.” David F. Swensen Chief Investment Officer Yale University author of Pioneering Portfolio Management and Unconventional Success “The best of the past made current by the best of the present. Tiger Woods updates Ben Hogan. It has to be good for your game.” Jack Meyer Managing Partner and CEO Convexity Capital “Security Analysis, a 1940 classic updated by some of the greatest financial minds of our generation, is more essential than ever as a learning tool and reference book for disciplined investors today.” Jamie Dimon Chairman and CEO JPMorgan Chase “While Coca-Cola found it couldn’t improve on a time-tested classic, Seth Klarman, Jim Grant, Bruce Greenwald, et al., prove that a great book can be made even better. Seth Klarman’s preface should be required reading for all investors, and collectively, the contributing editors’ updates make for a classic in their own right. The enduring lesson is that an understand- ing of human behavior is a critical part of the process of security analysis.” Brian C. -
THE EVOLUTION of VALUE INVESTING Past, Present and Beyond
THE EVOLUTION OF VALUE INVESTING Past, Present and Beyond 20 FINANCIAL HISTORY | Spring 2014 | www.MoAF.org By Joseph Calandro, Jr. (where risk is defined as the possibility of and Frederick J. Sheehan loss) due to the “margin of safety” afforded by the discount from liquidation value. Considering the popularity of value Over time, some investors would come to investing, it is somewhat surprising that a base margins of safety off of earnings power paper recently published by Joseph Calan- and even growth value in addition to the dro in the Journal of Investing was the first balance sheet. Exhibit 1, taken from Profes- formal attempt to categorize the develop- sor Bruce Greenwald’s popular book Value ment of this highly-effective and influential Investing: From Graham to Buffett and school of thought over time. The following Beyond, profiles the different approaches article summarizes this categorization of of modern value investing, as well as some value investing’s past and present and offers of the professionals associated with each suggestions on what its future may hold. approach as of the book’s publication. The cornerstone of value investing has Founding Era: 1934 to 1973 always been, and will always remain, firmly grounded in the margin of safety principle, The “official” founding of value investing regardless of how any specific margin may can be dated to 1934 with the publication be estimated. The Founding Era effec- of Benjamin Graham and David Dodd’s tively ends with the publication of the 1973 seminal book, Security Analysis. The stra- edition of Graham’s immensely popular tegic concept upon which value investing book, The Intelligent Investor, which dis- was founded is as insightful as it is simple; tills lessons from Security Analysis to a namely, that assets purchased at prices for non-professional audience.