Dr Gerard Hoberg, University of Southern California

We use computational linguistics to analyse risk factors in bank 10-Ks to develop an empirical model of dynamic, interpretable emerging risks that is grounded in the theory of Gorton and Ordonez (2014) and that successfully predicts financial instability. The model detects risks in advance of the 2008 financial crisis as early as the first quarter of 2006. Risks related to credit default, mortgage loan risk, capital structures and fair value accounting became highly elevated during this pre-crisis period, with individual bank risk exposures strongly predicting future stock returns, volatility and the probability of bank failure. Tests using very recent data indicate a rise in market instability since 2014 related to interest rate risk, sources of funding risk, and commercial paper. Overall, our model reliably assesses both the build-up of systemic risk in the financial system, and bank-specific exposures in a timely fashion.

Speaker bio

Dr Gerard Hoberg’s research interests include corporate finance, industrial organisation, IPOs, mergers, payout policy, corporate liquidity, and systemic risk. His recent work on corporate liquidity and risk examines financial constraints, operational hedging, and financial crises. His work on product markets examines the role of competition in merger decisions, product innovation, payout policy, and how firms are related to form industries. His work in IPOs examines the role of prospectus disclosure, litigation exposure, and the role of the underwriter in resolving IPO prices. Much of Hoberg’s work also uses methods in computational linguistics to examine theories relating to corporate finance and accounting. Prior to earning his doctorate, Hoberg worked as a vice president at a quantitative transaction optimisation firm. His teaching interests include corporate finance and corporate restructuring.

Address

Trumpington St
Cambridge, CB2 1AG,
United Kingdom

Date & time

Date: 4 October 2016
Start Time: 10:00
End Time: 11:30

Audience

Open to: Members of the University of Cambridge

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Event location


Trumpington St
Cambridge, CB2 1AG,
United Kingdom

Event timings

Date: 4 October 2016
Start Time: 10:00
End Time: 11:30