Financial Engineering Practitioners Seminar: Professor Philip Maymin
Date: September 15, 2014 from 6:00 pm to 7:30 pm EDT
Location: Davis Auditorium, CEPSR Building
Contact: For further information regarding this event, please contact IEOR Department by sending email to info@ieor.columbia.edu .
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Title: Any Regulation of Risk Increases Risk

Citation: Maymin, Philip Z.; Maymin, Zakhar G. (2012), "Any Regulation of Risk Increases Risk," Financial Markets and Portfolio Management 26:3, 299-313.

Abstract:
We show that any objective risk measurement algorithm mandated by central banks for regulated financial entities will result in more risk being taken on by those financial entities than would otherwise be the case. Furthermore, the risks taken on by the regulated financial entities are far more systemically concentrated than they would have been otherwise, making the entire financial system more fragile. This result leaves three directions for the future of financial regulation: continue regulating by enforcing risk measurement algorithms at the cost of occasional severe crises, regulate more severely and subjectively by fully nationalizing all financial entities, or abolish all central banking regulations including deposit insurance to let risk be determined by the entities themselves and, ultimately, by their depositors through voluntary market transactions rather than by the taxpayers through enforced government participation.

Bio:
Dr. Philip Z. Maymin is Assistant Professor of Finance and Risk Engineering at NYU-Polytechnic Institute. He is also the founding managing editor of Algorithmic Finance.

He holds a Ph.D. in Finance from the University of Chicago, a Master's in Applied Mathematics from Harvard University, and a Bachelor's in Computer Science from Harvard University. He also holds a J.D. and is an attorney-at-law admitted to practice in California. 

He has been a portfolio manager at Long-Term Capital Management, Ellington Management Group, and his own hedge fund, Maymin Capital Management. He has also been a policy scholar, a Congressional candidate, and an award-winning journalist. 

His textbook Financial Hacking was recently published by World Scientific.


Presentation Slides