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Greater New Haven Community Index 2019, Mark Abraham, Camille Seaberry Sep 2019

Greater New Haven Community Index 2019, Mark Abraham, Camille Seaberry

Reports

No abstract provided.

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The Economics Of Social Data, Dirk Bergemann, Alessandro Bonatti, Tan Gan Sep 2019

The Economics Of Social Data, Dirk Bergemann, Alessandro Bonatti, Tan Gan

Cowles Foundation Discussion Papers

A data intermediary pays consumers for information about their preferences and sells the information so acquired to firms that use it to tailor their products and prices. The social dimension of the individual data - whereby an individual’s data are predictive of the behavior of others - generates a data externality that reduces the intermediary’s cost of acquiring information. We derive the intermediary’s optimal data policy and show that it preserves the privacy of the consumers’ identities while providing precise information about market demand to the firms. This enables the intermediary to capture the entire value of information as the …

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Information, Market Power And Price Volatility, Dirk Bergemann, Tibor Heumann, Stephen Morris Sep 2019

Information, Market Power And Price Volatility, Dirk Bergemann, Tibor Heumann, Stephen Morris

Cowles Foundation Discussion Papers

We consider demand function competition with a finite number of agents and private information. We show that any degree of market power can arise in the unique equilibrium under an information structure that is arbitrarily close to complete information. In particular, regardless of the number of agents and the correlation of payoff shocks, market power may be arbitrarily close to zero (so we obtain the competitive outcome) or arbitrarily large (so there is no trade in equilibrium). By contrast, price volatility is always less than the variance of the aggregate shock across all information structures.

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A Structural Model Of A Multitasking Salesforce: Multidimensional Incentives And Plan Design, Minkyung Kim, K. Sudhir, Kosuke Uetake Sep 2019

A Structural Model Of A Multitasking Salesforce: Multidimensional Incentives And Plan Design, Minkyung Kim, K. Sudhir, Kosuke Uetake

Cowles Foundation Discussion Papers

We develop the first structural model of a multitasking salesforce to address questions of job design and incentive compensation design. The model incorporates three novel features: (i) multitasking effort choice given a multidimensional incentive plan; (ii) salesperson’s private information about customers and (iii) dynamic intertemporal tradeoffs in effort choice across the tasks. The empirical application uses data from a micro nance bank where loan officers are jointly responsible and incentivized for both loan acquisition repayment but has broad relevance for salesforce management in CRM settings involving customer acquisition and retention. We extend two-step estimation methods used for unidimensional compensation plans …

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Jacob Marschak And The Cowles Approaches To The Theory Of Money And Assets, Robert W. Dimand, Harald Hagemann Sep 2019

Jacob Marschak And The Cowles Approaches To The Theory Of Money And Assets, Robert W. Dimand, Harald Hagemann

Cowles Foundation Discussion Papers

Jacob Marschak shaped the emergence of monetary theory and portfolio choice at the Cowles Commission (which he directed from 1943 to 1948, but with which he was involved already from 1937) at the University of Chicago, where he was the doctoral teacher of Leonid Hurwicz, Harry Markowitz and Don Patinkin, and then from 1955 at the Cowles Foundation at Yale University, where he was a senior colleague of James Tobin until moving to UCLA in 1960. Marschak’s later attempts to clarify the concept of liquidity and to emphasize the role of new information for economic behavior date back as far …

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Social Exclusion, Ambiguity And (Ir)Rationality, Annette Krauss, Donald J. Brown Sep 2019

Social Exclusion, Ambiguity And (Ir)Rationality, Annette Krauss, Donald J. Brown

Cowles Foundation Discussion Papers

This working paper extends the methodology of non-smooth affective portfolio theory (APT) for eliciting (IR)rational preferences of investors endowed with continuous quasilinear utility functions, where assets are portfolios of risky and ambiguous state-contingent claims. The elicitation is a solution of the affective Afriat inequalities;see technical appendix 1. Solving the smooth affective Afriat inequalities is Np-hard; see technical appendices 2, 3, and 4. The proposed extension is a methodology for the elicitation of (IR)rational preferences of individuals endowed with random continuous quasilinear utility functions defined over finite subsets of discrete social goods as a refutable model of social exclusion in the …

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The Economics Of Social Data, Dirk Bergemann, Alessandro Bonatti, Tan Gan Sep 2019

The Economics Of Social Data, Dirk Bergemann, Alessandro Bonatti, Tan Gan

Cowles Foundation Discussion Papers

A data intermediary pays consumers for information about their preferences, and sells the information so-acquired to firms that use it to tailor their product offers and prices. The social dimension of the individual data - whereby an individual’s data is predictive of the behavior of others - generates a data externality that reduces the intermediary’s cost of acquiring information. We derive the data intermediary’s optimal information policy, and show that it preserves privacy over the identity of the consumers, but provides precise information about market demand to the firms.

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On Her Own Account: How Strengthening Women’S Financial Control Impacts Labor Supply And Gender Norms, Erica Field, Rohini Pande, Natalia Rigol, Simone Schaner, Charity Troyer Moore Sep 2019

On Her Own Account: How Strengthening Women’S Financial Control Impacts Labor Supply And Gender Norms, Erica Field, Rohini Pande, Natalia Rigol, Simone Schaner, Charity Troyer Moore

Cowles Foundation Discussion Papers

Can greater control over earned income incentivize women to work and influence gender norms? In collaboration with Indian government partners, we provided rural women with individual bank accounts and randomly varied whether their wages from a public workfare program were directly deposited into these accounts or into the male household head’s account (the status quo). Women in a random subset of villages were also trained on account use. In the short run, relative to women just offered bank accounts, those who also received direct deposit and training increased their labor supply in the public and private sectors. In the long …

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A Structural Model Of A Multitasking Salesforce: Multidimensional Incentives And Plan Design, Minkyung Kim, K. Sudhir, Kosuke Uetake Sep 2019

A Structural Model Of A Multitasking Salesforce: Multidimensional Incentives And Plan Design, Minkyung Kim, K. Sudhir, Kosuke Uetake

Cowles Foundation Discussion Papers

The paper broadens the focus of empirical research on salesforce management to include multitasking settings with multidimensional incentives, where salespeople have private information about customers. This allows us to ask novel substantive questions around multidimensional incentive design and job design while managing the costs and benefits of private information. To this end, the paper introduces the first structural model of a multitasking salesforce in response to multidimensional incentives. The model also accommodates (i) dynamic intertemporal tradeoffs in effort choice across the tasks and (ii) salesperson’s private information about customers. We apply our model in a rich empirical setting in microfinance …

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The Economics Of Social Data, Dirk Bergemann, Alessandro Bonatti, Tan Gan Sep 2019

The Economics Of Social Data, Dirk Bergemann, Alessandro Bonatti, Tan Gan

Cowles Foundation Discussion Papers

A data intermediary acquires signals from individual consumers regarding their preferences. The intermediary resells the information in a product market wherein firms and consumers tailor their choices to the demand data. The social dimension of the individual data -whereby a consumer’s data are predictive of others’ behavior- generates a data externality that can reduce the intermediary’s cost of acquiring the information. The intermediary optimally preserves the privacy of consumers’ identities if and only if doing so increases social surplus. This policy enables the intermediary to capture the total value of the information as the number of consumers becomes large.

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The Economics Of Social Data, Dirk Bergemann, Alessandro Bonatti, Tan Gan Sep 2019

The Economics Of Social Data, Dirk Bergemann, Alessandro Bonatti, Tan Gan

Cowles Foundation Discussion Papers

We propose a model of data intermediation to analyze the incentives for sharing individual data in the presence of informational externalities. A data intermediary acquires signals from individual consumers regarding their preferences. The intermediary resells the information in a product market in which firms and consumers can tailor their choices to the demand data. The social dimension of the individual data - whereby an individual’s data are predictive of the behavior of others - generates a data externality that can reduce the intermediary’s cost of acquiring information. We derive the intermediary’s optimal data policy and establish that it preserves the …

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Bank Runs And Moral Hazard: A Review Of Deposit Insurance, Deniz Anginer, Asli Demirg¼§-Kunt Sep 2019

Bank Runs And Moral Hazard: A Review Of Deposit Insurance, Deniz Anginer, Asli Demirg¼§-Kunt

Documents

No abstract provided.

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Lessons Learned : James (Jim) Millstein, Rosalind Z. Wiggins, Alec Buchholtz Sep 2019

Lessons Learned : James (Jim) Millstein, Rosalind Z. Wiggins, Alec Buchholtz

Documents

Recommended Citation: Buchholtz, Alec and Wiggins, Rosalind Z. () "Lessons Learned: James (Jim) Millstein," Journal of Financial Crises: Vol. 2 : Iss. 1, 146-147.

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Lessons Learned : Edwin (Ted) Truman, Yasemin Esmen Sep 2019

Lessons Learned : Edwin (Ted) Truman, Yasemin Esmen

Documents

Recommended Citation: Sim Esmen, Yasemin (2019) "Lessons Learned: Edwin (Ted) Truman," Journal of Financial Crises: Vol. 1 : Iss. 4, 123-127.

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Capital And Liquidity Interaction In Banking, Jonathan Acosta-Smith, Guillaume Arnold, Kristoffer Milonas, Quynh-Anh Vo Sep 2019

Capital And Liquidity Interaction In Banking, Jonathan Acosta-Smith, Guillaume Arnold, Kristoffer Milonas, Quynh-Anh Vo

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No abstract provided.

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Affective Portfolio Analysis: Risk, Ambiguity And (Ir)Rationality, Donald J. Brown Sep 2019

Affective Portfolio Analysis: Risk, Ambiguity And (Ir)Rationality, Donald J. Brown

Cowles Foundation Discussion Papers

Ambiguous assets are characterized as assets where objective and subjective probabilities of tomorrow’s asset-returns are ill-defined or may not exist, e.g., bitcoin, volatility indices or any IPO. Investors may choose to diversify their portfolios of fiat money, stocks and bonds by investing in ambiguous assets, a fourth asset class, to hedge the uncertainties of future returns that are not risks. (IR)rational probabilities are computable alternative descriptions of the distribution of returns for ambiguous assets. (IR)rational probabilities can be used to define an investor’s (IR)rational expected utility function in the class of non-expected utilities. Investment advisors use revealed preference analysis to …

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Macroeconomic Dynamics At The Cowles Commission From The 1930s To The 1950s, Robert W. Dimand Sep 2019

Macroeconomic Dynamics At The Cowles Commission From The 1930s To The 1950s, Robert W. Dimand

Cowles Foundation Discussion Papers

This paper explores the development of dynamic modelling of macroeconomic fluctuations at the Cowles Commission from Roos, Dynamic Economics (Cowles Monograph No. 1, 1934) and Davis, Analysis of Economic Time Series (Cowles Monograph No. 6, 1941) to Koopmans, ed., Statistical Inference in Dynamic Economic Models (Cowles Monograph No. 10, 1950) and Klein’s Economic Fluctuations in the United States, 1921-1941 (Cowles Monograph No. 11, 1950), emphasizing the emergence of a distinctive Cowles Commission approach to structural modelling of macroeconomic fluctuations influenced by Cowles Commission work on structural estimation of simulation equations models, as advanced by Haavelmo (“A Probability Approach to Econometrics,” …

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Durables And Lemons: Private Information And The Market For Cars, Richard Blundell, Ran Gu, Soren Leth-Petersen, Hamish Low, Costas Meghir Sep 2019

Durables And Lemons: Private Information And The Market For Cars, Richard Blundell, Ran Gu, Soren Leth-Petersen, Hamish Low, Costas Meghir

Cowles Foundation Discussion Papers

We specify an equilibrium model of car ownership with private information where individuals sell and purchase new and second-hand cars over their life-cycle. Private information induces a transaction cost and distorts the market reducing the value of a car as a savings instrument. We estimate the model using data on car ownership in Denmark, linked to register data. The lemons penalty is estimated to be 18% of the price in the rst year of ownership, declining with the length of ownership. It leads to large reductions in the turnover of cars and in the probability of downgrading at job loss.

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Lessons Learned: James B. Lockhart Iii, Ben Henken, Dan Thompson Aug 2019

Lessons Learned: James B. Lockhart Iii, Ben Henken, Dan Thompson

Journal of Financial Crises

Insights from discussions with James B. Lockhart III, who was the Director (CEO) and Chairman of the Oversight Board of the Federal Housing Finance Agency (FHFA) upon the agency’s creation on July 30, 2008. Topics include the conservatorships of Fannie Mae and Freddie Mac as well as other elements of the Bush Administration's 2008 crisis response activities.

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Jpmorgan Chase London Whale H: Cross-Border Regulation, Arwin G. Zeissler, Andrew Metrick Aug 2019

Jpmorgan Chase London Whale H: Cross-Border Regulation, Arwin G. Zeissler, Andrew Metrick

Journal of Financial Crises

As a global financial service provider, JPMorgan Chase (JPM) is supervised by banking regulatory agencies in different countries. Bruno Iksil, the derivatives trader primarily responsible for the $6 billion trading loss in 2012, was based in JPM’s London office. This office was regulated both by the Office of the Comptroller of the Currency (OCC) of the United States (US) and by the Financial Services Authority (FSA), which served as the sole regulator of all financial services in the United Kingdom (UK). Banking regulators in the US and the UK have entered into agreements with one another to define basic parameters …

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Jpmorgan Chase London Whale G: Hedging Versus Proprietary Trading, Arwin G. Zeissler, Andrew Metrick Aug 2019

Jpmorgan Chase London Whale G: Hedging Versus Proprietary Trading, Arwin G. Zeissler, Andrew Metrick

Journal of Financial Crises

In December 2013, the primary United States financial regulatory agencies jointly adopted final rules to implement Section 619 of the Dodd-Frank Wall Street Reform and Consumer Protection Act, which is often referred to as the “Volcker Rule”. Section 619 prohibits banks from engaging in activities considered to be particularly risky, including proprietary trading and owning hedge funds or private equity funds. Banking regulators designed the final rule against proprietary trading in part to prevent losses like the $6 billion London Whale loss that took place in 2012 at JPMorgan Chase. Given the controversial nature of the Volcker Rule, it is …

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Jpmorgan Chase London Whale F: Required Securities Disclosures, Arwin G. Zeissler, Giulio Girardi, Andrew Metrick Aug 2019

Jpmorgan Chase London Whale F: Required Securities Disclosures, Arwin G. Zeissler, Giulio Girardi, Andrew Metrick

Journal of Financial Crises

On April 13, 2012, JPMorgan Chase (JPM) Chief Financial Officer Douglas Braunstein took part in a conference call to discuss the bank’s first quarter 2012 earnings. Coming just a week after media reports first questioned the risks taken by JPM derivatives trader Bruno Iksil, Braunstein made a series of assertions about the trades. On May 10, JPM finalized its first quarter financial results, which included some disclosures regarding Iksil’s trading that were substantially different from Braunstein’s statements of April 13. At issue is whether the regulatory filings on April 13 and May 10, as well as verbal comments by Braunstein …

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Jpmorgan Chase London Whale E: Supervisory Oversight, Arwin G. Zeissler, Andrew Metrick Aug 2019

Jpmorgan Chase London Whale E: Supervisory Oversight, Arwin G. Zeissler, Andrew Metrick

Journal of Financial Crises

As a diversified financial service provider and the largest United States bank holding company, JPMorgan Chase (JPM) is supervised by multiple regulatory agencies. JPM’s commercial bank subsidiaries hold a national charter and therefore are regulated by the Office of the Comptroller of the Currency (OCC). Since the bank’s Chief Investment Office (CIO) invested the surplus deposits of JPM’s commercial bank units, the OCC was also CIO’s primary regulator. During the critical period from late January through March 2012, when CIO traders undertook the failed derivatives strategy that ultimately cost the bank $6 billion, JPM did not provide the OCC with …

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Jpmorgan Chase London Whale D: Risk-Management Practices, Arwin G. Zeissler, Andrew Metrick Aug 2019

Jpmorgan Chase London Whale D: Risk-Management Practices, Arwin G. Zeissler, Andrew Metrick

Journal of Financial Crises

JPMorgan Chase (JPM) prided itself on having the best risk-management practices in the financial industry, having survived the 2007-09 financial crisis in better shape than many competitors. Chief Executive Officer Jamie Dimon often spoke of the bank’s “fortress balance sheet.” A keen focus on risk management is vital to JPM’s longevity, as is the case with all highly leveraged financial institutions. However, the JPM Task Force that investigated the $6 billion 2012 London Whale trading loss concluded that risk-management practices at the bank’s Chief Investment Office (CIO), the unit in which the loss occurred, were given less scrutiny by senior …

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Jpmorgan Chase London Whale C: Risk Limits, Metrics, And Models, Arwin G. Zeissler, Andrew Metrick Aug 2019

Jpmorgan Chase London Whale C: Risk Limits, Metrics, And Models, Arwin G. Zeissler, Andrew Metrick

Journal of Financial Crises

Value at Risk (VaR) is one of the most commonly used ways to measure and monitor market risk. At JPMorgan Chase (JPM), very large derivative positions established by Bruno Iksil in the Synthetic Credit Portfolio (SCP) caused the bank’s Chief Investment Office (CIO) to exceed its VaR limit for four days in a row in January 2012. In response, the CIO changed to a new VaR model on January 30, which appeared to immediately reduce VaR by half. However, JPM soon discovered that this new VaR model had not been properly implemented and the bank went back to using the …

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Jpmorgan Chase London Whale B: Derivatives Valuation, Arwin G. Zeissler, Andrew Metrick Aug 2019

Jpmorgan Chase London Whale B: Derivatives Valuation, Arwin G. Zeissler, Andrew Metrick

Journal of Financial Crises

After consistently producing positive results through 2011, the JPMorgan Chase (JPM) traders who oversaw the bank’s Synthetic Credit Portfolio (SCP) grew alarmed by a consistent string of losses beginning in January 2012. (The SCP was maintained by JPM to help hedge default risk and was the source of the 2012 London Whale trading loss.) To minimize the losses reported to their superiors until such time that market prices hopefully turned in their favor, the SCP traders began valuing their largest derivative positions in a manner that was not consistent with Generally Accepted Accounting Principles (GAAP) and JPM policy. The fair …

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Jpmorgan Chase London Whale A: Risky Business, Arwin G. Zeissler, Daisuke Ikeda, Andrew Metrick Aug 2019

Jpmorgan Chase London Whale A: Risky Business, Arwin G. Zeissler, Daisuke Ikeda, Andrew Metrick

Journal of Financial Crises

In December 2011, the Chief Executive Officer and Chief Financial Officer of JPMorgan Chase (JPM) instructed the bank’s Chief Investment Office to reduce the size of its Synthetic Credit Portfolio (SCP) during 2012, so that JPM could decrease its RiskWeighted Assets as the bank prepared to adopt the impending Basel III bank capital regulations. However, the SCP traders were also told to minimize the trading costs incurred to reduce Risk-Weighted Assets, while still maintaining the opportunity to profit from unexpected corporate bankruptcies. In an attempt to balance these competing objectives, head SCP derivatives trader Bruno Iksil suggested in January 2012 …

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The Temporary Liquidity Guarantee Program: A Systemwide Systemic Risk Exception, Lee Davison Aug 2019

The Temporary Liquidity Guarantee Program: A Systemwide Systemic Risk Exception, Lee Davison

Journal of Financial Crises

In the fall of 2008, short-term credit markets were all but frozen, creating liquidity issues for banks and bank holding companies that could not rollover their debt at reasonable rates. Fearing that the situation would worsen if something was not done, the Federal Deposit Insurance Corporation (FDIC) and the Federal Reserve Board invoked, and the Secretary of the Treasury approved, the use of the “systemic risk exception” (SRE) under the Federal Deposit Insurance Corporation Improvement Act of 1991, to provide unprecedented broad-based relief to struggling banks. The SRE permitted the FDIC to depart from its “least-cost” requirement when addressing failing …

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What's Going To Happen To Common Investment Funds With Profiled Letters?, Ce Noticiasfinancieras Aug 2019

What's Going To Happen To Common Investment Funds With Profiled Letters?, Ce Noticiasfinancieras

Documents

No abstract provided.

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The Cnv Unveiled Regulations For Fcis, Ce Noticiasfinancieras Aug 2019

The Cnv Unveiled Regulations For Fcis, Ce Noticiasfinancieras

Documents

No abstract provided.

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