The Center supports research on quantitative methods to measure and control risk in financial and commodities markets and other contexts.
Our Newest Working Papers
The Pricing of Troubled Assets
Konstantin Magin, UC Berkeley
The Troubled Assets Relief Program (TARP),authorized and appropriated
by Congress in 2008, enables the Secretary of the Treasury to purchase on the
government's behalf so-called "troubled"assets the purchase of which is necessary
in order to more...
NEW PERFORMANCE-VESTED STOCK OPTION SCHEMES
An Chen, University of Bonn
Markus Pelger, UC Berkeley
Klaus Sandmann, University of Bonn
In the present paper, we advocate two effective non-traditional performancebased stock option schemes: Parisian and Asian executives’ stock option plans. Under a Parisian option scheme, the stock price should have outperformed a certain stock price for a fixed length of time. more...
DO SECURITY ANALYSTS SPEAK IN TWO TONGUES?
Ulrike Malmendier, UC Berkeley
Devin Shanthikumar, Harvard
University
Why do security analysts issue overly positive recommendations? We propose a novel empirical strategy to assess the relative importance of the leading explanations: strategic distortion, which reflects incentives to trigger more...
Who We Are
The Fung Center was created by a very generous donation from Coleman Fung, founder and Executive Chairman of Open Link Financial, Inc. (more)