Pricing greenhouse gas emissions involves making trade-offs between consumption today and unknown damages in the (distant) future. This setup calls for an optimal control model to determine the carbon dioxide (CO2) price. The Epstein-Zin Climate model suggests a high optimal carbon price today that is expected to decline over time as uncertainty about the damages is resolved. It also points to the importance of backstop technologies and to very large deadweight costs of delay. Join Robert Litterman as he discusses pricing climate change risk in markets.

Speaker:

Oct. 19–Nov. 6, 2020

This comprehensive set of learning modules led by senior risk leaders at mortgage-specializing institutions. Topics include elements of risk governance, mortgage credit risk management, operational risk management for mortgage lending, secondary marketing risk management and mortgage risk analytics, among other key risk topics. 

How risk managers are adapting.

The pandemic has How have risk managers adapted to this new world where public safety issues drive economic and financial outcomes?

Sridhar "Subra" Subramanian, Head of US Consumer Risk, BMO Harris Bank will discuss with Professor Cliff Rossi the challenges associated with developing reasonable scenarios for stress testing bank portfolios during unprecedented times, data issues and key assumptions that go into building robust scenario analysis.

In lieu of our traditional annual Mortgage Risk Summit, please join us for the first of three digital events, all featuring key speakers and industry leaders from the MRS itself.

Join Stefano Giglio as he proposes and implements a procedure to dynamically hedge climate change risk. The resulting hedge portfolios outperform alternative hedging strategies based primarily on industry tilts. Stefano will conclude his discussion and explore directions for future research on financial approaches to managing climate risk.

Speaker:

Stefano Giglio, Yale School of Management

Read Professor Giglio’s research co-authored by Nobel Laureate Robert Engle before the event.

The Conference on Health IT and Analytics is an annual health IT and analytics research summit, including a doctoral consortium that each year gathers prominent scholars from more than 40 research institutes, and leading policy and practitioner attendees in a vibrant setting to discuss opportunities and challenges in the design, implementation and management of health information technology and analytics.

We find that stocks of firms with higher total CO2 emissions (and changes in emissions) earn higher returns, after controlling for size, book-to-market, momentum, and other factors that predict returns. We cannot explain this carbon premium through differences in unexpected profitability or other known risk factors. Overall, our results are consistent with an interpretation that investors are already demanding compensation for their exposure to carbon emission risk. Join Patrick Bolton and Marcin Kacperczyk as they discuss carbon risk and if investors care.

Speakers:

David Hirshleifer, Distinguished Professor of Finance, Merage Chair in Business Growth, UC Irvine

Join the CFP and UBS where Russ Wermers and David Hirshleifer discuss social transmission bias in economics and finance and how it affects social processes shaping economic thinking and behavior. David uses “fables” (models) to illustrate the novelty and scope of the transmission bias approach, and offers several emergent themes which can help explain booms, bubbles, return anomalies, and swings in economic sentiment.

Where the data gaps that present risks to financial markets and the economy lie.

Annual conference with the Federal Reserve Board

The Federal Reserve Board and Center for Financial Policy to host the third annual conference on short-term funding markets in Washington, D.C.

Download Agenda.