Visiting
Scholar Program
The
Zell Center hosts occasional visiting scholars who contribute
to the intellectual environment of the Center and the Kellogg
School. Visitors typically stay from one day to one week,
make presentations at seminars or conferences, and meet with
students and faculty individually as well as in small groups.
This provides an opportunity for potential collaboration on
research and for enhancing student learning.
Visiting
scholars for 2007-2008:
Dr.
Lisa Goldberg
Executive
Director of Analytic Initiatives at MSCI Barra
Presenting
seminar "Factoring Shortfall,"
during her visit on Wednesday, March 19, 2008.
Lisa
Goldberg is Executive Director of Analytic Initiatives at
MSCI Barra with responsibility for developing and prototyping
financial risk and valuation models. Her current areas of
research are credit models and downside risk. She is the director
of MSCI Barra's International Intern program and lectures
extensively at academic and industry events.
Since
joining the firm in 1993, Dr. Goldberg has worked on credit
and fixed income, currency and multi-asset class risk models
and tail risk. She is the primary designer of MSCI Barra's
credit and global fixed income valuation and risk models.
She is an inventor on one patent and has another four pending.
Prior to joining MSCI Barra, Dr. Goldberg held academic positions
at UC Berkeley, City University of New York, The Institute
for Advanced Study, Institut des Hautes Études Scientifiques
and Mathematical Sciences Research Institute.
Dr Goldberg
publishes in numerous academic and industry journals and is
on the editorial board of two Springer book series. She has
research collaborators at Cornell University, the Kellogg
Business School, London School of Economics, Stanford University
and UC Berkeley, and is currently co-authoring a book entitled
"Portfolio Risk Forecasting."
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Returning
Visiting Scholar:
Dean
Thomas E. Zelibor, Rear Admiral, USN (ret)
Dean of the College of Operational and Strategic Leadership,
Naval War College
Download
a printable vita (PDF 14 KB / 2 pages)
Presenting
seminar "How
Leaders Cope with Risk,” during
his visit on Friday, April 4, 2008.
Thomas
E. (Tom) Zelibor joined the Naval War College in Newport,
RI as Dean of the College of Naval Leadership in July 2006.
In this position, he is responsible for the leadership continuum
of Professional Military Education (PME) for Navy officer
and enlisted personnel, which also includes education on ethics,
and character development.
Prior
to this assignment, Dean Zelibor was the site manager and
Vice President for Strategic Operations - Strategies, Simulations,
and Training Business Unit at Science Applications International
Corporation (SAIC) in Omaha, NE. In this position, he was
responsible for interfacing across SAIC to ensure that operational
strategies and capabilities of the United States Strategic
Command and its mission partners were known and included into
business development efforts for SAIC.
Dean
Zelibor is a retired Navy Rear Admiral with 30 years of significant
leadership experience in Naval Operations, Information Operations,
Space Operations, C4ISR, IT, and Nuclear Operations. In his
final military active duty assignment, he served as the Director,
Global Operations (J-3) at US STRATEGIC COMMAND where he was
responsible for maintaining full-spectrum global strike, and
coordinating space, and information capabilities to meet both
deterrent and decisive national security objectives.
In
his varied Navy career, Dean Zelibor, a seasoned combat veteran,
commanded a fighter squadron, carrier air wing, Naval Space
Command and a carrier battle group. The highlight of his command
tours was his assignment as Commander, Task Force Fifty for
Operation Enduring Freedom where he led a three Carrier Task
Force in combat operations in Afghanistan after 9-11. Additionally,
he pioneered transformational efforts in his Battle Group
to create the environment and tools for network centric warfare
capabilities and a knowledge management culture. He has extensive
experience in Information Operations where he served as the
Joint Staff J-39. In this capacity he was at the leading edge
of IO definition, policy, and operations for DoD. While serving
as Commander, Naval Space Command, he was responsible for
the management of Naval space operations and duties as the
Naval Component Commander to the Commander, US Space Command
in Colorado Springs, Colorado. His extensive C4ISR expertise
culminated in his assignment as the Navy’s N-61 and
N6F where he led the definition of warfighting requirements
for all Navy C4ISR programs and budgets. In his final six
months on the Navy Staff, he became the Department of the
Navy, Deputy Chief Information Officer (CIO), Navy, responsible
for implementation of IT policy and procedures.
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Professor
Chun Chang
Chair of
the Finance Department at China Europe International Business
School (CEIBS), Shanghai
Presenting
seminar "China's
latest corporate and financial market reforms and challenges"
during his visit on Jan. 7 and Jan. 8, 2008, co-sponsored
by Financial
Institutions and Markets Research Center.
Professor
Chang is considered "probably the most knowledgeable
academic when it comes to what is happening in financial markets
in China."
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Dr.
Amitabh Arora
Presenting
seminar: "Subprime Crisis,"(PPT 167 KB) on Tuesday, November
13th, 12:15 to 1:30 pm, Tribune Forum at the Allen Center.
Amitabh
Arora heads the G4 rates strategy effort covering government
securities, interest rate derivatives and inflation products.
Rigorous analyses of significant macro developments (e.g.,Conundrum,
central bank reserve accumulation) and quantitative tools
for view development distinguish the team’s research.
Prior to his current role, he was the head of the mortgage
modeling group, charged with developing valuation models for
the mortgage business.
Dr. Arora has a Ph.D. in finance from Columbia Business School
and presents frequently at Columbia Business School on financial
developments.
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Professor
Chiaki Hara
Professor,
Institute for Economic Research, Kyoto University
Download
a printable vita (PDF
57 KB / 6 pages)
Chiaki
Hara is a professor at the Institute of Economic Research
of Kyoto University (Kyoto, Japan). Prior to coming to Kyoto,
he taught at University College London (London, UK) and the
University of Cambridge (Cambridge, UK) and also held visiting
positions at Universite Catholique de Louvain (Louvain-la-Neuve,
Belgium), Kobe University (Kobe, Japan), and Hitotsubashi
University (Tokyo, Japan).
His
research is mostly concerned with general equilibrium theory
and its applications to the analysis of financial markets.
His past research topics include incomplete markets, security
design, and the risk-free rate puzzle.
He
has recently been working on how the heterogeneity in investors'
risk attitudes and impatience affect the term structure of
interest rates and options prices. He has published papers
in Econometrica, Journal of Economic Theory, and Journal of
Mathematical Economics, among others.
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Visiting
scholars for 2006-2007:
Professor
Nick Barberis
Professor
Barberis is the Stephen & Camille Schramm Professor of
Finance at the Yale School of Management.
His
research focuses on behavioral finance and in particular,
on applications of cognitive psychology to understanding the
pricing of financial assets. He has published in the Journal
of Political Economy, the Quarterly Journal of Economics,
the Journal of Finance, and the Journal of Financial Economics,
and has won numerous awards for both research and teaching.
Prior to coming to Yale, Professor Barberis taught at the
Graduate School of Business of the University of Chicago.
He has also held visiting professorships at Harvard University
and the London Business School.
Achievements
and Honors
Yale SOM Alumni Association Teaching Award, 2006
Emory Williams Awards for Excellence in Teaching, 1998, 2000
and 2002
Paul A. Samuelson Prize for Outstanding Scholarly Writing
on Lifelong Financial Security, 2000
FAME Research Prize, 2000
For Professor
Barberis' recent articles and working papers, please visit
his personal Web
site.
Education
PhD Harvard University, 1996
BA Cambridge University, 1991
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Dean
Thomas E. Zelibor, Rear Admiral, USN (ret)
Dean of
the College of Operational and Strategic Leadership, Naval
War College
Download
a printable vita (PDF
14 KB / 2 pages)
(See description
in Visiting Scholar 2007-08, above).
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Professor
Darrell Duffie
Professor
Darrell Duffie (Personal
Web site) from the Graduate School of Business, Stanford
University was a Visiting Scholar at the Zell Center for Risk
Research from Monday, September 18 to Friday, September 22,
2006.
Darrell
Duffie’s research interests include over-the-counter
market financial modeling, financial risk management, credit
risk and valuation of defaultable securities, valuation and
hedging of derivative securities, term structure of interest
rate modeling, financial innovation and security design. Recently,
Duffie has focused on the manner in which capital moves from
one segment of asset markets to another, and the implications
of imperfect trading opportunities for asset price behavior,
especially in over the counter markets. Duffie and several
collaborators have some recent results on portfolio credit
risk, based on the assumption that there are unobservable
common default-risk factors.
Darrell
Duffie is the Dean Witter Distinguished Professor of Finance
at the Graduate School of Business, Stanford University, where
he has been a member of the finance faculty since completing
his Ph.D. at Stanford in 1984. Duffie is the author of Dynamic
Asset Pricing Theory (Princeton University Press, third
edition 2001) and a co-author with Ken Singleton of Credit
Risk (Princeton University Press, 2004). Duffie is a recent
past director of the board of the American Finance Association,
a fellow of the Econometric Society, a research associate
of the National Bureau of Economic Research, a member of Moody's
Academic Research Committee, and the 2003 IAFE/Sunguard Financial
Engineer of the Year. He is currently on the editorial boards
of Econometrica and The Journal of Financial Economics,
among other journals.
Professor
Duffie gave two presentations during his visit:
"Over-the-Counter
Market Dynamics: The Case of Federal Funds”
Download an extended abstract (PDF
17 KB / 4 pages)
"Frailty-Correlated
Default” (PDF
321 KB / 42 pages)
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