[Todos] Mañana miercoles: Seminario en el IC

[gduran en dm.uba.ar]

Seminario de Matemática Aplicada e Industrial del Instituto de Cálculo

Miércoles 25 de Abril de 2012

Lugar: Instituto de Cálculo, Segundo Piso, Pabellón II, Ciudad Universitaria

Título global: “Técnicas cuantitativas en Economía y Finanzas”

De 14:00 a 15:30, 2 charlas, a cargo de Nicolás Stier Moses y Nicolás Merener

14:00 hs: Nicolás Stier Moses, “The Cost of Moral Hazard and Limited
Liability in the Principal-Agent Problem”

Abstract:

In the classical principal-agent problem, a principal hires an agent to
perform a task. The principal cares about the task's output but has no
control over it. The agent can perform the task at different effort
intensities, and that choice affects the task's output. To provide an
incentive to the agent to work hard and since his effort intensity cannot
be observed, the principal ties the agent's compensation to the task's
output. If both the principal and the agent are risk-neutral and no
further constraints are imposed, it is well-known that the outcome of the
game maximizes social welfare.
We quantify the potential social-welfare loss due to the existence of
limited liability in a principal-agent relationship with moral hazard. The
worst-case welfare loss is defined as the largest possible ratio between
the social welfare when the agent chooses the effort that is optimal for
the system and that of the sub-game perfect equilibrium of the game. Our
main results provide bounds for the worst-case welfare loss of second-best
contracts with respect to the effort that would be chosen if the agent and
the principal were the same person. They are for both the cases of
discrete and continuous efforts and are valid under the monotone
likelihood-ratio property and under one of the two following alternative
assumptions: the social welfare is increasing on the effort exerted by the
agent, or there are decreasing marginal returns to effort.

Bio:

Nicolas E. Stier Moses es Profesor Asociado de las Escuelas de Negocios de
Columbia University (Nueva York) y de la Universidad Torcuato Di Tella. Es
Licenciado en Ciencias de la Computación de la FCEN-UBA y posee un
doctorado en Investigación de Operaciones otorgado por el Massachusetts
Institute of Technology (2004). Su investigación se enfoca en gestión de
operaciones, en particular en aspectos competitivos de redes logísticas,
de distribución, de transito y de telecomunicaciones.


14:50: Nicolás Merener, “Globally Distributed Production and the Pricing
of CME Commodity Futures”

Abstract:

The most widely used agricultural futures contracts are traded at the
Chicago Mercantile Exchange (CME). Yet global commodity production is
increasingly based in regions far from the US. I investigate how local
supply shocks in the globally distributed production of commodities are
incorporated into CME futures prices. I exploit that the soybean market
share of the US (Argentina) decreased (increased) between 1996 and 2010,
and use rain, which tends to increase output, as a source of exogenous
supply shocks. I find a significantly negative response of CME soybean
prices to daily rain across regions and time. Remarkably, the impact of
local rain in the CME price is close to linear in the local share of
global output (R2 > 0.88), and indifferent to the geographical origin of
supply. CME traders seem to aggregate supply in a globally integrated
manner, therefore US based hedgers are increasingly exposed to shocks
outside of the US.

Bio:

Nicolas Merener es profesor e investigador en Finanzas en la Universidad
Torcuato Di Tella. Obtuvo su Licenciatura en Física en la UBA (1997) y su
Ph.D. en Matemática Aplicada en Columbia University (2002). Estuvo a cargo
de la valuación y cobertura de riesgo de derivados de tasa de interés e
híbridos en Lehman Brothers New York. Tiene experiencia en el desarrollo
de estrategias cuantitativas de trading sobre volatilidad, y ha realizado
trabajos de consultoría en el sector financiero. Sus intereses de
investigación se centran en Finanzas Cuantitativas, Commodities y Mercados
Emergentes.