INVITATION
The WU Gutmann Center cordially invites you to the forthcoming
WU GUTMANN CENTER PUBLIC LECTURE
(apologies for duplicated mails!)
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Date: May 21 (Thursday), 2015, 4:00 pm
PLEASE NOTE: THE LOCATION IS DIFFERENT FROM USUAL PUBLIC LECTURES!
Location: WU University of Economics and Business Vienna
Library and Learning Center, LC - Festsaal 2
1020 Vienna, Welthandelsplatz 1
Speaker: Prof. Rossen Valkanov,
http://rady.ucsd.edu/faculty/directory/valkanov/
Title: Complexity in Structured Finance: Financial Wizardry or Smoke and Mirrors?
ABSTRACT: We use data from prospectus supplements to create measures of the complexity of
We We use data from prospectus supplements to create measures of the complexity of
securitized
products. We find that securities in more complex deals default more. However, yields of
more
complex securities are not higher at issuance indicating that investors do not perceive
such assets
as more likely to default. The relation between complexity and default is not primarily
due to
issuers masking low quality loans as it persists after controlling for the collateral
default rate.
Rather than creating safer securities, complexity disadvantages more senior securities
within a
deal. Rating agencies are more lenient in rating complex deals.
About Rossen Valkanov: Rossen Valkanov is Professor of Finance at the Rady School of
Management at the University of California, San Diego (UCSD). He received his Ph.D. in
economics
from Princeton University. In 1999, he became an assistant professor of finance at
UCLA's
Anderson School of Management where he remained until his appointment at UC San Diego.
From
2001 to present he teaches empirical finance at the University of California,
Berkeley's Haas School
of Management. He is also a guest professor of the PhD program at the Vienna Graduate
School of
Finance (VGSF). Rossen Valkanov is a member of many professional organizations including
the
American Finance Association, the American Economic Association, the Econometric Society
and
the Bachelier Society. His research focusses on empirical asset pricing, financial
econometrics,
portfolio choice, monetary policy, and real estate .
More information about Rossen Valkanov:
http://rady.ucsd.edu/faculty/directory/valkanov/
**Please REGISTER**:
Mail: gutmann-center(a)wu.ac.at
Phone: +43-1-31336-5238
CONTACT AND FURTHER INFORMATION:
WU Gutmann Center for Portfolio Management WU (Wirtschaftsuniversität Wien)
Department of Finance, Accounting and Statistics
Sabina Krickl
www.gutmann-center.at