PWC 2015 Conference Program Draft Printing · Conference 2015 - Dr Chau Chak Wing Building Thursday...

2015Paul Woolley Centre for the

Study of Capital Market Dysfunctionality Conference

The Paul Woolley Charitable Trust

MAPS

LEVEL 3

Function Space Lunch

Mary A

nne Street

Ultim

o Road

Auditorium

Conference

LEVEL 2

Registration &

Morning Tea

Ultim

o Road

Mary A

nne Street

Conference

Venue

The conference will take place at the Chau Chak Wing Building which is located at 14‐28 Ultimo

Road, Ultimo.

Public transport by train, bus or tram is the most convenient way to get around Sydney. For

information and timetables please visit: www.131500.com.au.

From Central Station Please take the Devonshire St walkway from Central Station followed by the Ultimo

Pedestrian Network directly to the Chau Chak Wing Building.

Note: the Goods Line Bridge has an entrance direct to LEVEL 3 of the Chau Chak Wing Building.

Parking: You can park in the City Market Parking lot at Paddy’s Market. Please park in basement

Levels 2 and 3. You can validate your parking ticket (prior to exiting) at the Security Desk in the UTS

library during the hours of M‐‐‐T 8‐‐‐10, F 8‐‐‐9 (for a reduced rate).

Registration Desk

The Registration Desk is open during the following hours.

LEVEL 2 8 October Thursday: 8:15‐‐‐5:00 LEVEL 8 9 October Friday: 8:30‐‐‐5:00

Helpline

In case you need support and cannot reach us via the Registration Desk, please use our helpline: +612 9514 7777.

Map

Chau Chak Wing Building, Ultimo Road Ultimo

The Pau l Wool ley Cent re fo r the s tudy ofCapital Market Dysfunctionality UNIVERSITY OF TECHNOLOGY SYDNEY AUSTRALIA

Conference 2015 - Dr Chau Chak Wing Building

Thursday 8th October and Friday 9th October

Sponsored by


Are Financial Markets in the Eye of the Storm? Day 1- Thursday 8th October – LEVEL 2

8.15am Registration – Level 2

8.45am Welcome by Professor Glenn Wightwick (Vice President Research at UTS)

Session Chair: Ron Bird

Day 1 Morning Session 8.45am to 12.50pm

Keynote Addresses: 9.00am to 9.45am Professor Catherine Casamatta (Toulouse University)

Financial markets’ short-termism: designing incentives for the long term

9.45am to 10.30am Dr. Geoff Warren (CIFR) Overcoming Short-termism: Long-term Investing as an Agency Problem

Break 10.30am to 11.00am

Keynote Addresses: 11.00am to 11.45am Professor Talis Putnins (UTS)

Regulation of dark trading: A tale of intended and unintendedconsequences

11.45am to 12.30pm Professor Kevin Davis (ACFS)Looking Back on the Murray Inquiry

Debate Part 1

Topic: That this house now agrees with Alan Greenspan's 2004 claimthat "not only have individual financial institutions become lessvulnerable to shocks ... but the financial system as a whole hasbecome more resilient.

Affirmative: Tom Valentine (MGSM) Graham Harman (Russell)

Negative: Ross Barry (First State Super) Brian Parker (Sunsuper

12.50pm – 1.45pm Lunch – Level 3




Sponsored by


Day 1- Thursday 8th October – LEVEL 2

Session Chair: Ron Bird

Day 1 Afternoon Session 1.45pm to 5.15pm

1.45pm to 2.05pm Debate Part 1 Questions to the debaters and final determination of the winners Capital Markets 2.05pm to 2.40pm Dr. John Simon (RBA)

Speech

2.40pm to 3.15pm Professor James Morley (UNSW)Debt and Financial Market Contagion

Break 3.15pm to 3.45pm

Superannuation 3.45pm to 4.15pm Professor Susan Thorp (USYD)

Delegation, trust and defaulting in retirement plans

4.15pm to 4.45pm Professors Peter Dixon and Maureen Rimmer(COPS, Victoria))

Superannuation within a financial CGE model of the Australian economy 4.45pm to 5.15pm Dr. Kevin Liu (UNSW)

Perceived Value of using Superannuation to Purchase a Family Home

5.15pm Close of Day 1




Sponsored by


Are Financial Markets in the Eye of the Storm? Day 2 – Friday 9th October – Level 8

Session Chair: Danny Yeung

Day 2 Morning Session 9.00am to 12.30pm

9.00am to 9.45am Jiasun Li (UCLA)Institutions vs Markets in Information AggregationDiscussant: Dr Jin Yu (UNSW)

9.45am to 10.30am Professor Tony He (UTS)High frequency trading and learningDiscussant: Professor Valentyn Panchenko (UNSW)

Break 10.30am to 11.00am

11.00am to 11.45am Professor Catherine Casamatta (Tolouse)Multiple Lenders, Strategic Default and CovenantsDiscussant: Dr. Hardy Hulley (UTS)

11.45am to 12.30pm Professor Peter Sarlin (Hanken School of Economics)A framework for early-warning modelingDiscussant: Dr. Matthew Greenwood-Nimmo (Melbourne)

12.30 – 1.30pm Lunch - Level 8




Sponsored by


Day 2 – Friday 9th October – Level 8

Session Chair: Paul Woolley

Day 2 Afternoon Session 1.30pm to 5.00pm

1.30pm to 2,15pm Dr. Philip Gharghori (Monash)Informed options trading around stock split announcementsDiscussant: Professor Terry Walter (Sydney University)

2.15pm to 3.00pm Professor Jianfeng Hu (Singapore)Can information be locked up? Informed trading ahead of macro-newsannouncementsDiscussant: Dr. Philip Gharghori (Monash University)

Break 3.00pm to 3.30pm

3.30pm to 4.15pm Dr. Guillaume Roger (USYD)Financial leverage and speculationDiscussant: Professor David Goldbaum (UTS)

4.15pm to 5.00pm Dr. Matthew Greenwood-Nimmo (Melbourne)What's Mine is Yours: Sovereign Risk Transmission during the European DebtCrisis Discussant: Professor Eliza Wu (UTS)

5.00pm Close of Conference

Welcome to the 2015

Paul Woolley Centre for the Study of Capital Market Dysfunctionality

Conference

Welcome to 2015 Conference of the Paul Woolley Centre for the Study of Capital Market

Dysfunctionality at the University of Technology Sydney. The Paul Woolley Centre at UTS is one of

three such Centres established (the others being at the London School of Economics and Toulouse

University) as a result of generous donations by Dr. Paul Woolley, founder of GMO (Europe). The

focus of these Centres is to encourage research that provides insight into whether Society at large is

being served well by its capital markets and financial institutions. More specifically, the intention is

to measure the extent to which financial markets fail to meet the outcomes assumed of them by the

standard theories of efficiencies, to provide insights into the causes of any such shortfalls, to

measure the economic and social impact of these shortfalls, and to develop alternative means for

mitigating these shortfalls.

The theme of our conference is “Are Financial Markets in the Eye of the Storm”. We believe that we

have put together an interesting program designed to further the research objectives of the Centre.

In addition to the strong contribution of local academics, we are also fortunate in having renowned

international presenters included in the Program.

I would like to acknowledge the Centre for International Finance and Regulation, the Reserve Bank

of Australia and the Paul Woolley Charitable Trust who have generously supported the conference.

We trust that you will enjoy the Conference.

Ron Bird

Director,

Paul Woolley Centre for the Study of

Capital Market Dysfunctionality

Arbitrage Of The First Kind And Filtration Enlargements in Financial Markets’ Short‐Termism: Designing Incentives for the Long Term

CatherineCasamattaToulouseSchoolofEconomics,France

ABSTRACT:

Empirical analyses report evidence of short‐termism in financial markets : markets do not always take into account distant cash flows when valuing firms, and information that affects firms’ long‐term performance is not correctly reflected in stock prices. This in turn biases the investment strategies implemented by firms relying on the information contained in their stock prices: Short‐termism in financial markets triggers short‐termism in the firm.

Agency frictions can be at the root of financial markets’ short‐termism. When long‐term investors delegate the management of their money to professional fund managers, the latter may lack incentives to collect long‐term information, giving room to short termism. To improve market efficiency, fund managers’ mandates must be carefully structured. A widespread view is that relying on short‐term performance makes it harder for fund managers to implement a long‐term strategy. When endogenizing the level of price efficiency, the solution is less clearcut. In particular, fund managers' compensation optimally depends on both short‐term and long‐term fund performance. Also, the mix between short‐term and long‐term‐based bonuses varies with information precision and market liquidity.

Overcoming Short‐termism: Long‐term Investing as an Agency Problem

GeoffWarren

CentreforInternationalFinanceandRegulation

ABSTRACTThe agency problems that pervade delegated investment management are exacerbated when

investing for the long term, where the payoff is distant and often highly uncertain. These conditions

compound the difficulty of aligning and monitoring the agents (managers) responsible for making

investment decisions, particularly across multi‐layered investment organizations. Problems arise

from differences in investment horizons; the tendency to evaluate and reward based on short‐term

results; and failure to commit. We delve into these issues, and offer some solutions. Investment

organizations intending to pursue long‐term investing should aim to create an environment where

all principals and agents along the chain of delegations are aligned, engaged on an ongoing basis,

incentivized to work towards long‐term outcomes, and committed to investing for the long run.

Regulation of Dark Trading: A Tale of Intended and Unintended Consequences

TalisJ.Putnins

UTSBusinessSchool,Sydney,Australia

ABSTRACT:

In response to concerns about growing levels of stock trading taking place away from traditional stock exchanges in so called ‘dark pools’, Australian and Canadian regulators (ASIC in Australia and IIROC in Canada) recently introduced new rules that significantly restricted dark trading. This talk will give an overview of dark trading and discuss what we can learn from these two unique cases of regulation. The regulation had both intended and unintended consequences. Among the intended consequences, the new rules decreased the amount of dark trading by one third of its previous level and increased the amount of price improvement in the dark by forcing almost all dark trading to the bid‐ask midpoint. One of the unintended consequences was that liquidity did not improve after the regulation. I will discuss reasons for the unintended consequences and suggest ways of making the regulation more effective.

Looking Back on the Murray Inquiry

KevinDavisAustralianCentreforFinancialStudies

ABSTRACT:

Financial system instability imposes significant costs on society as evidenced by the worldwide

aftermath of the 2007‐8 global financial crisis. Designing regulatory arrangements to ensure that

financial systems are resilient to shocks, while also being competitive, efficient and fair is a major

challenge ‐ particularly at a time when rapid technological innovation can be expected to change the

structure and interrelationships within the system in ways that are hard to predict. The Murray

Inquiry's approach to meeting this challenge will be outlined in this address.

Debt and Financial Market Contagion

JamesMorleyUNSWBusinessSchool,Sydney,Australia

ABSTRACT:

We investigate the role of public, private, and external debt in explaining the propagation of financial shocks during three major financial crises from 2007‐2013. For our analysis, we construct indices of crisis severity in equity markets based on different tests of contagion and investigate whether the transmission of crises across countries can be related to similar debt conditions. We compare the role of debt stocks and flows to traditional channels for contagion based on regional and trade linkages. Our main finding is that, along with regional linkages, public and external debt play a more important role than trade linkages in driving contagion across equity markets.

Delegation, Trust and Defaulting in Retirement Savings: Perspectives from Plan Executives and Members

SusanThorp

TheUniversityofSydney,Australia

ABSTRACT

We combine survey data from retirement plan members with information from interviews with plan executives to get both perspectives on who accepts the default plan and default investment option and why. We use a natural experiment in default construction where a new regulatory framework required providers to have stipulated default settings in place by early 2014. We find that not all retirement savings plan members who default at the plan choice stage default at the investment choice stage, and vice versa. Only around one third of the sample say they defaulted twice. While some plan executives describe defaulting members as uninterested in their retirement savings, our results highlight that subjective lack of skill combined with trust in the managing agents are the prime motivations for defaulting, rather than low interest. Plan executives set a high risk exposure in default investment strategies to ensure high wealth growth, but defaulting respondents show a lower appetite for risk than active choosers. The heterogeneity and low skill of members make a case for smart defaults.

Money, Banking And Finance in a Computable General Equilibrium Model

PeterB.Dixon,JamesA.GieseckeandMaureenT.RimmerCentreofPolicyStudies,VictoriaUniversity,Melbourne,Australia

ABSTRACT

Computable general equilibrium (CGE) models have been used for many years in Australia and other countries in studying the effects on macro, industry, regional, occupational and environmental variables of changes in tariffs, taxes, commodity prices, technologies, public expenditures, environmental policies, labour market conditions, and regulations affecting capital inflows and outflows. A major omission from most CGE models is explicit specification of financial flows. This presentation describes how we are including these flows in CGE models built by the Centre of Policy Studies at Victoria University. Explicit recognition of the financial flows broadens the scope of CGE analyses to include the effects of monetary policy. It also changes the answers to some traditional CGE questions.

Perceived Value of using Superannuation to Purchase a Family Home

KevinLiu

UniversityofNewSouthWales

ABSTRACT

Family home and superannuation savings represent the two largest household assets in Australia. This thesis aims to investigate the perceived value of using superannuation assets for purchasing a family home, as well as the factors that determine the valuation heterogeneity among different individuals. Furthermore, this thesis examines whether people will become more actively involved with superannuation if superannuation assets were allowed to be used for housing purposes.

Paul Woolley Centre for the Study of Capital Market Dysfunctionality

Conference 2015

Conference Speakers and Discussants

BIOGRAPHIES

RossBarry

Ross Barry is Head of Research at First State Super. He was a Treasury economist and then a

derivatives trader in the 1990s, before becoming a pioneer in research into “alternative”

investments. Since 1997, Barry has acted a principal advisor to many of Australia’s largest

institutional investors. He was the IMCA Global Journalism Award winner in 2004 for his paper,

Hedge Funds, A Walk through the Graveyard.

RonBird

Ron’s academic career commenced at Macquarie University in 1970. At the end of 1972 he moved to

the Australian National University where he was head of the Commerce Department for several

years. Shortly after leaving the ANU in 1988, that university awarded him the title of Emeritus

Professor.Ron then embarked on a career in the private sector; first with Towers Perrin where he

was in charge of their asset consulting practice in the Asian region and then at Westpac Investment

Management where he was in charge of quantitative investment products. In 1995 he established a

new Sydney‐based quantitative funds management firm, in a joint venture with Grantham, Mayo,

Van Otterloo (Boston).

He returned to academia at the beginning of 1999, joining the Finance Discipline at the University of

Technology Sydney where he is Director of the Paul Woolley Centre for Capital Market

Dysfunctionality. In addition, he also holds a part‐time position as Professor of Finance in the School

of Management at Waikato University. Since returning to academia, has also maintained a

consulting link with the financial services industry. In the early 2000s, he was a founder of MIR

Investment Management for who he designed the investment process. Subsequently, he has

undertaken a similar task and/or been an adviser to several funds management firms.

CatherineCasamatta

Catherine Casamatta is Professor of Finance at Toulouse School of Management and Toulouse

School of Economics, University of Toulouse Capitole. She graduated from ESSEC Business School

and obtained a PhD in Finance from the University of Toulouse. Her research focuses on corporate

finance and governance, venture capital, financial intermediation and the organization of the fund

management industry. She has published papers in leading international journals including the

Journal of Finance, the Review of Finance and the Journal of Financial Intermediation. She has run

the PhD program in Management of the University of Toulouse and was the dean of Toulouse School

of Management from 2010 to 2015.

KevinDavis

Kevin Davis is Professor of Finance at the University of Melbourne, Research Director of the

Australian Centre for Financial Studies and a Professor of Finance at Monash University. His primary

research interests are financial regulation, financial institutions and markets, financial innovation

and corporate finance. He is co‐author/editor of16 books in the areas of finance, banking, monetary

economics and macroeconomics and has published numerous journal articles and chapters in books.

He is the Deputy Chair of SIRCA, a member of the Australian Competition Tribunal, and has

undertaken an extensive range of consulting assignments for financial institutions, business and

government. Professor Davis is a Senior Fellow of Finsia, a Fellow of FTA and holds Bachelor of

Economics (Hons I) from Flinders University of South Australia and a Master of Economics from the

Australian National University. He was appointed by the Federal Treasurer in December 2013 as a

panel member of the Financial System Inquiry chaired by Mr David Murray.

PeterDixon

Professor Dixon is known for his work in computable general equilibrium modelling. Together with

colleagues at the IMPACT Project and the Centre of Policy Studies, he created the ORANI model and

its dynamic successor, MONASH. These models have been prominent in the Australian economic

debate for 35 years and have been used as templates for the development of other models

throughout the world. He is the principal author of the ORANI and MONASH books published in the

North Holland Contributions series in 1982 and 2002. In recent years he has led the development of

the USAGE model of the U.S. which is being used by the U. S. International Trade Commission and

the Departments of Agriculture, Commerce, Energy, Transport and Homeland Security, and by the

Canadian Embassy in Washington DC. He is currently professor in the Centre of Policy Studies,

Victoria University, Melbourne.

PhilipGharghori

Philip Gharghori is a Senior Lecturer in Finance at Monash University. Heholds both a PhD

and a Bachelor of Commerce with Honours from Monash.Phil's main research area is asset pricing. In

particular, Phil's researchhas focused on the performance of multifactor models, stock

marketanomalies, the consumption CAPM and the intertemporal CAPM. He also has written papers

in the areas of funds management, default risk modelling, socially responsible investments and the

market reaction to stock splits.

DavidGoldbaum

David Goldbaum joined the School at the beginning of 2007. He received his Ph.D. in economics from

the University of Wisconsin‐Madison in 1996. His research interests include learning, adaptation,

financial markets, information, and rational choice. His most recent research examines social

network formation and the emergence of leaders as a social phenomenon.

MatthewJohnGreenwood‐Nimmo

Matthew Greenwood‐Nimmo is a Senior Lecturer in Economics at the University of Melbourne.

Matthew completed Undergraduate and Postgraduate degrees in economics at the University of

Leeds, graduating with his PhD in 2009. Matthew’s research focuses on macroeconomic and

financial modelling with particular interests in the analysis of multivariate systems and regime‐

switching processes. Matthew has recently published in the Journal of Applied Econometrics and the

Journal of Money, Credit and Banking, among other outlets. Matthew’s current research on

sovereign risk is supported by the Australian Research Council through its DECRA scheme.

GrahamHarman

Graham Harman is the Investment Strategist, Asia‐Pacific at Russell Investments. Based in Sydney,

Graham is responsible for providing asset allocation and investment strategy analysis relating to the

region, to Russell's global team of portfolio managers.

Prior to joining Russell, Graham served as Head of Investment Strategy at Citigroup Australia, where

he was responsible for asset allocation and equity market advice to pension funds, investment

managers and retail investors; and he previously held the position of Director of Quantitative

Analysis, responsible for risk modeling and return and style analysis. Graham has extensive

experience in funds management, managing international and domestic equity portfolios both at

IAG, and also at AMP, where he served as Head of Research and as a member of the private

investments committee. In asset consulting, he has worked for Towers Perrin, with particular

responsibilities for asset allocation, fixed interest manager research, and custody consulting. Graham

has also worked as the Economist at J P Morgan Australia for a number of years; and has worked

with Coca‐Cola Amatil in Investor Relations. Graham is a Fellow of Finsia, and serves on the Financial

Markets Advisory Group.

TonyHe

Prof. Xuezhong (Tony) completed a BSc in Pure Mathematics in 1982 (Ningxia University, China), a

MSc in Applied Mathematics in 1987 (Hebei Normal University, China), a PhD in Applied

Mathematics in 1995 (Flinders University), and a PhD in Finance in 2001 (the University of

Technology, Sydney).Tony He's international research profile in areas of financial market modelling,

asset pricing with heterogeneous beliefs, and nonlinear economic dynamics is attested by his

publications in a number of the leading international journals in economics and econometrics

including Journal of Economic Dynamics and Control, Journal of Economic Behavior and

Organization, Macroeconomic Dynamics, Journal of Evolutionary Economics, European Journal of

Finance, Quantitative Finance, and Computational Economic.

JianfengHu

Jianfeng Hu is an Assistant Professor of Finance in Lee Kong Chian School of Business at Singapore

Management University. His research interests include informed trading, derivatives, and market

microstructure. His research papers have been published in the Journal of Financial Economics and

the Journal of Derivatives, and featured in the Wall Street Journal, Bloomberg, and CNBC. His recent

research has been presented in various international academic conferences and won several best‐

paper awards such as the first place of CQAsia academic competition. Jianfeng obtained his PhD in

finance from Baruch College, the City University of New York. Prior to the academic life, he was a

fixed income derivative analyst at Credit Suisse.

HardyHulley

Hardy Hulley has a Ph.D. in Finance from UTS. His research interests focus on topics from Investment

Management, Mathematical Finance, and Applied Probability Theory, and he has a number of

publications in these areas. He also teaches a range of subjects in the areas of Investment

Management, Derivative Securities, Mathematical Finance, and Corporate Finance.

JiasunLi

Jiasun Li is a Ph.D candidate at the UCLA Anderson School of Management. Prior to joining UCLA

Anderson, he received his Bachelor in mathematics from Fudan University in Shanghai, China. His

research on after‐hours trading was a winner of the 2014 Chicago Quantitative Alliance (CQA)

Annual Academic Competition, and his study on the theory of the firm won first prize in the 2014

Australasian Finance and Banking Conference PhD Forum. He is a recipient of the 2009 Goldman

Sachs Global Leaders Award. He teaches statistical arbitrage, credit risk modeling, and takeovers,

restructuring and corporate governance for MFE and MBA students at UCLA Anderson. His research

interest covers information economics, market microstructure, corporate governance, and the

theory of the firm.

KevinLiu

Kevin Liu is Lecturer at the School of Risk and Actuarial Studies, UNSW Australia Business School.

Prior to joining UNSW, Kevin worked in the research department at the Australian Prudential

Regulation Authority (APRA). Kevin has also served on two APRA working groups on investment and

trustee governance in conjunction with the post‐Cooper Review (Super System Review)

superannuation reform. Kevin has research interests in the areas of superannuation and retirement

income policy. His current research investigates the governance and performance of superannuation

funds; systemic risk in retirement income systems; and retirement saving and investment decisions.

JamesMorley

James Morley is Associate Dean (Research) and Professor of Economics in the UNSW Australia

Business School. Before moving to Australia in 2010, he was a faculty member at Washington

University in St. Louis (1999‐2010) and Research Fellow at the Federal Reserve Bank of St. Louis

(2004‐2010). He has also held many visiting positions, including at the Bank of Canada, the Reserve

Bank of New Zealand, and the Bank of International Settlements. His research has been published in

many top academic journals and focuses on the empirical analysis of business cycles, stabilization

policy, and sources of persistent changes in macroeconomic and financial variables

ValentynPanchenko

Valentyn Panchenko is an Associate Professor in Economics at the UNSW Business School. He is

currently a team leader on CIFR research project: Too Central to Fail: Financial Networks, Risks and

Policy Responses. Valentyn received a PhD degree in Financial Econometrics from the University of

Amsterdam in 2006. His research interests are in econometrics including topics in dependence

modelling, Granger causality testing, model evaluation and prediction and state‐space modelling;

and structural modelling in economics and finance including networks, heterogeneous agents and

learning. He has published articles in the Journal of Econometrics, Journal of Economic Dynamics and

Control, Journal of Economic Behaviour and Organisation, and Journal of Banking and Finance

among others. Valentyn has been the chief investigator on various research projects and grants

including the ARC Discovery, DECRA and CIFR projects.

BrianParker

Brian Parker is the chief economist of Sunsuper. He recently held the position of head of portfolio

specialists for NAB Asset Management. Prior to that Mr Parker’s roles included investment strategist

at MLC Investment Management, regional economist, Asia‐Pacific at Citigroup Asset Management,

and senior economist at Rothschild Australia Limited.

He has also held roles with JP Morgan, Legg Mason, and the Reserve Bank of Australia and has an

honours degree in economics from the University of Queensland, where he also taught

macroeconomics. Additionally, he is a chartered financial analyst.

TalisPutnins

Talis Putnins is a Professor in the Finance Discipline Group at UTS and a member of the Quantitative

Finance Research Centre. He has also held positions at the Stockholm School of Economics in Riga

and the Baltic International Centre for Economic Policy Studies, and has been a Visiting Scholar at

Columbia University and New York University. His main research interests include financial markets,

market microstructure, market manipulation, insider trading and shadow economies. His research

has been published in international peer‐reviewed journals including the Journal of Financial

Economics, Journal of Financial and Quantitative Analysis, Journal of Financial Intermediation,

Review of Finance, and Experimental Economics. Talis is the recipient of a Discovery Early Career

Researcher Award (DECRA) from the Australian Research Council (ARC). Talis has done consulting

and policy work for governments, stock exchanges, and financial institutions and served as an expert

witness in legal cases. Talis has a PhD from the University of Sydney.

MaureenT.Rimmer

Professor Rimmer is the co‐developer of the MONASH model of the Australian economy and the co‐

author of the MONASH book, published in 2002 in North‐Holland’s Contributions to Economic

Analysis. In the last fifteen years she has been a key contributor in the development, application and

documentation of USAGE. This is a 500‐industry, dynamic model of the U.S. economy, with facilities

for generating results for the 50 States and 700 occupations. The model is used in Washington by

the U.S. International Trade Commission and the U.S. Departments of Commerce, Homeland

Security, Agriculture, Transport and Energy. She has made major contributions in applications of the

model to key policy areas such as: the replacement of imported crude oil with domestically

produced biofuels; legalization of unauthorized immigrants; and the effects of the Obama stimulus

package to combat the 2008‐9 U.S. recession. Her current position is Professor, Centre of Policy

Studies, Victoria University, Melbourne.

GuillaumeRoger

Professor Rimmer is the co‐developer of the MONASH model of the Australian economy and the co‐

author of the MONASH book, published in 2002 in North‐Holland’s Contributions to Economic

Analysis. In the last fifteen years she has been a key contributor in the development, application and

documentation of USAGE. This is a 500‐industry, dynamic model of the U.S. economy, with facilities

for generating results for the 50 States and 700 occupations. The model is used in Washington by

the U.S. International Trade Commission and the U.S. Departments of Commerce, Homeland

Security, Agriculture, Transport and Energy. She has made major contributions in applications of the

model to key policy areas such as: the replacement of imported crude oil with domestically

produced biofuels; legalization of unauthorized immigrants; and the effects of the Obama stimulus

package to combat the 2008‐9 U.S. recession. Her current position is Professor, Centre of Policy

Studies, Victoria University, Melbourne.

PeterSarlin

Peter Sarlin is an Associate Professor of Economics at Hanken School of Economics (Helsinki,

Finland), and Director of RiskLab Finland. Currently, he is a visiting scholar with the Center of

Excellence SAFE at Goethe University Frankfurt, and a research associate with the Systemic Risk

Center at London School of Economics, IWH Halle Institute for Economic Research and the Systemic

Risk Hub, as well as a board member of the IEEE Analytics and Risk Technical Committee and the

IEEE Computational Finance and Economics Technical Committee. He is also an Associate Editor of

Journal of Network Theory in Finance and Intelligent Systems in Accounting, Finance &

Management. Peter received his PhD (Econ) from the Department of Information Technologies, Åbo

Akademi University (Turku, Finland) in 2013. He has also studied at London School of Economics,

Stockholm School of Economics and Stockholm University, and has been a Financial Stability Expert

and external consultant with the European Central Bank and Bank of Finland. Peter’s book Mapping

Financial Stability was published by Springer in May 2014. His current research interests include

systemic risk, macroprudential supervision, machine learning and visual analytics.

JohnSimon

John Simon is Head of Economic Research Department at the Reserve Bank of Australia. In addition

to work on monetary policy in Economic Group, he has previously held roles in the Payments Policy

Department where he worked on reforms of the Australian payments system, including the reforms

to the credit card, debit card and ATM systems. In addition to working at the Reserve Bank of

Australia, he spent three years at the International Monetary Fund working on the World Economic

Outlook. His most notable research is a paper on the identification and analysis of The Great

Moderation, which he wrote with Olivier Blanchard. More recently he has published research on the

remarkable stability of inflation in recent years despite large economic shocks. He has a PhD in

Economics from MIT.

SusanThorp

Susan Thorp researches life cycle finance, particularly individual financial decision making, and

financial market integration. She works in cross‐disciplinary teams, often using experimental and

survey methods. Professor Thorp has published over thirty academic papers in leading finance

journals including the Review of Finance and the Journal of Banking and Finance. She is also a regular

contributor to pension policy discussions and is a member of the OECD/INFE Research Committee.

Professor Thorp gained her BEc (Hons) from the University of Sydney, and her PhD from the

University of New South Wales. Before joining the University of Sydney, she held positions as

Professor of Finance and Superannuation at the University of Technology Sydney, and the Reserve

Bank of Australia.

TomValentine

Professor Tom Valentine is the Chairman of the Salisbury Group. He is Adjunct Professor of Finance

at MGSM Macquarie University. Professor Valentine was formerly a Professor of Banking and

Finance at the University of Western Sydney, a position he has held since 1995. He was also Director

of Higher Education of the Faculty of Commerce from 1995‐1998. Other prior positions include:

Professor of Finance, University of Technology Sydney; Professor of Finance and Director of the

Centre for Applied Finance, Ku‐ring‐gai College of Advanced Education and Professorial Fellow and

Director of the Centre for Studies in Money, Banking and Finance, Macquarie University. He has

been a member of the Board of the Australian Financial Institutions Commission, Chairman of Audit

Committee, Australian Financial Institutions Commission, Member of the Board of the Financial

Institutions Commission of NSW and Chairman of the Audit Committee of the Financial Institutions

Commission of NSW. Professor Valentine has consulted to the Law Reform Commission on

Bankruptcy and Managed Investments, was a consultant to the Royal Commission into the State

Bank of South Australia as well as a Senior Advisor to the Campbell Committee of Inquiry into the

Australian banking system that led to the deregulation of the financial sector.

TerryWalter

Terry Walter is a fractional Professor of Finance in the Finance Discipline at The University of Sydney

Business School. His first academic appointment was in 1973, subsequently he has had longstanding

appointments at the University of Western Australia, UNSW, UTS and the University of Sydney. He

was first appointed as a Professor at the University of Sydney in February 1988, and has since then

held several senior administrative appointments including Director of Program, Head of School,

Head of Division and Dean. He has had several successes with ARC research funding (seven discovery

grants, one infrastructure grant, two collaborative grants and one cooperative research centre).

Terry has a substantial publication record (including papers published in some of the top finance and

accounting journals; Journal of Financial Economics, Journal of Banking and Finance, Journal

Financial and Quantitative Analysis, Abacus, Journal of Accounting and Public Policy, Review of

Accounting Studies) and has supervised more than 20 Phd students to completion.

Terry has in 2015 been selected as a member of the ERA panel in Economics and Commerce and is

regarded as an excellent appointment

GeoffWarren

Dr Geoff Warren is Research Director at the Centre for International Finance and Regulation (CIFR),

where he is responsible for furthering CIFR’s internal and targeted research program. Geoff’s own

research is focused on investment‐related areas including superannuation, fund management,

portfolio construction, asset pricing and valuation. Geoff joined CIFR at the end of 2013 from ANU,

where he was a Senior Lecturer in the School of Finance, Actuarial Studies and Applied Statistics.

Prior to pursuing an academic career, Geoff spent over 20 years in investment markets. This included

around 3 years as the Director of Capital Markets Research at Russell Investments in Australia; over

14 years within the research department of investment bank Ord Minnett and then JP Morgan, in

various roles including company analyst, strategist and head of research; and about 3 years as an

equity portfolio manager with AMP Investments. Geoff has a doctorate in finance from the

Australian Graduate School of Management, and a Bachelor of Commerce (Honours) with the

University Medal from the University of NSW.

GlennWightwick

Glenn Wightwick joined UTS as Deputy Vice‐Chancellor (Research) from 4 August 2014.

Professor Wightwick, a fellow of the Australian Academy of Technological Sciences and Engineering,

was selected against tough national and international competition, and joins UTS from IBM, where

he was Director, IBM Research — Australia and IBM Australia Chief Technologist. He brings global

experience from his role at IBM having led teams in the US and China, worked on IBM’s global

technical strategy and established world‐leading research laboratories here in Australia.

As Deputy Vice‐Chancellor and Vice‐President (Research), Professor Wightwick has responsibility for

research policy development and general oversight of the University's research activities,

postgraduate education, industry liaison, intellectual property and commercialisation.

PaulWoolley

Paul Woolley’s career has spanned the private sector, academia and policy‐oriented institutions. He

gained his BA and D Phil in Economics from the University of York (UK) and was a lecturer there in

the early 1970’s. He then had a long spell at the International Monetary Fund in Washington, latterly

heading the division managing the Fund’s investment and borrowing. He returned to the UK as a

director of merchant bank, Baring Brothers. For the next twenty years he founded and ran the UK

arm of GMO, the global fund management business based in Boston, US. He returned to academic

life in 2007, funding Paul Woolley Centres for the study of Capital Market Dysfunctionality at the

London School of Economics, where he is a full‐time member of the research team, also at UTS

Sydney and the University of Toulouse. He is a Senior Fellow at the LSE, Hon. Professor of York

University and Adjunct Professor at UTS.

ElizaWu

Eliza has been an Associate Professor in Finance and a member of the Quantitative Finance Research

Centre at UTS since 2011. She previously worked in the School of Banking and Finance at the

University of New South Wales (UNSW) and has been a Visiting Scholar at the University of Zurich,

Fordham University and New York University and a Research Fellow at the Hong Kong Institute for

Monetary Research. She received a PhD in Finance from UNSW. Eliza has broad experience in

teaching and researching within Banking and Finance and specialises in banking regulation,

sovereign credit risk, financial market integration and cross‐border financing. Her research has been

widely published in reputable peer‐reviewed academic journals including the Journal of Banking and

Finance, Journal of Empirical Finance, Journal of Financial Research, Financial Management and

Journal of Business, Finance and Accounting. Outside of academia, Eliza has worked in the Economic

departments at the Reserve Bank of Australia and at the Bank for International Settlements (BIS) and

she has also been a consultant and undertaken policy work for the BIS.

DannyYeung

Danny Yeung is a lecturer at the UTS Business School. He obtained his PhD in Finance from UTS in

October 2012. Danny’s research interest is concentrated in the investment area, with particular

interests in mutual fund performance and the impact of ambiguity and institutional investors in

capital markets. He currently has had a number of publications in international peer‐reviewed

journals articles published in the Pacific‐Basin Finance Journal, Australian Journal of Management

and Accounting and Finance.

JinYu

Jin Yu is a Senior Lecturer in the School of Banking and Finance at the UNSW Business School, the

University of New South Wales. He is also an associate researcher at Institute of Global Finance

(IGF). Jin’s primary research interests cover capital structure and ownership structure. He has

published in leading finance and business journals such as Journal of International Business Studies,

Journal of Corporate Finance, and International Journal of Theoretical and Applied Finance. Jin’s

works have also been accepted for presentation at top finance and Economics conferences such as

American Economic Association Annual Meetings, American Finance Association Annual Meetings,

European Finance Association Annual Meetings, Northern Finance Association Annual Meetings. Jin

holds a Ph.D. in Finance from Vienna University of Economics and Business and Vienna Graduate

School of Finance. He completed his Master in Finance at Lancaster University and his Bachelor in

Industrial and Foreign Trade at Shanghai Jiao Tong University.

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