Apr 28, 2016
from 01:00 PM to 02:00 PM
|Where||Room W4.03, Cambridge Judge Business School|
|Contact Name||Kat Ndrepepaj|
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Dean Buckner (Bank of England)
Dean has worked in the financial services industry for 28 years (starting work just before the 1987 stock market crash). He has a PhD in philosophy and an MSc in computer science. He worked as a trader and hedge fund manager before moving into risk management and risk systems design. He has had two spells at the FSA (now the PRA), working in the banking sector on capital model recognition until 2007, and is now working in the insurance sector on Solvency II capital models, looking at data quality and data used for valuation.
Title: "Time and value: traps and fallacies of asset pricing"
We are familiar with the concept of 'statistical illusion', that is, the tendency for human beings to make statistically incorrect inferences from empirical data. Examples of these include the clustering illusion ('hot hand fallacy'), and the gambler's fallacy. This presentation discusses statistical illusion and cognitive bias in the financial markets, and how it can impact the decisions of buyers and sellers. Examples include technical analysis, correlation products, long-term discount rates, securitisation products and mortgage break clauses. To what extent are all market agents prone to cognitive bias? If so, what implication does such bias have for regulation and market ethics?