Dynamic Leverage
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Date: 02-16-2009
Start Time:
6:00pm
End Time: 7:30pm
Speaker: Mikhail Smirnov, Department of Mathematics: Columbia University
Location: 412 Schapiro CEPSR, Davis Auditorium
ABSTRACT
The talk introduces a concept of dynamic leverage as a risk measure for a fund or a leveraged institution that has certain advantages over traditional notions of leverage and risk.
For a fund dynamic leverage depends on the level of fund volatility, time horizon and distance in terms of NAV to a defined critical liquidation level for a fund. That allows to formalize leverage very generally as a barrier option. The models for dynamic leverage illustrate some of the differing structural features of hedge funds. Dynamic leverage is also a risk measure that allows to compare investments with different time horizons and liquidity in a uniform manner. Dynamic leverage demonstrates the existence of a critical NAV for funds below which the efficacy of de-leveraging is compromised.
BIO
Mikhail Smirnov has Ph.D. in Mathematics from Princeton University and directs Columbia University Masters Program in Mathematics of Finance that along with Columbia Masters in Financial Engineering is one of 2 programs that concentrate Columbia students in Statistics and Mathematics of Finance.