題 目：The Dark Side of Financial Innovation
主講人：Neil Pearson教授 美國伊利諾宜大學香檳分校商學院金融系
時 間：2011年6月28日 下午2:00
地 點：主樓309會議室
主講人簡介：
Neil D. Pearson is a Harry A. Brandt Distinguished Professor in Financial Markets and Options, University of Illinois at Urbana-Champaign. His research includes both theoretical and empirical work on asset pricing and the valuation and hedging of financial derivatives and other financial instruments. Dr. Pearson has published papers in a number of academic journals, is an associate editor of the Journal of Financial Economics, the Journal of Financial and Quantitative Analysis, and Economics Bulletin and has written a book, Risk Budgeting: Portfolio Problem Solving with Value-at-Risk, published by John Wiley & Sons. He has consulted for a number of U.S. and international banks, working on term structure models, the evaluation of derivatives pricing models, and some issues that arise in the computation of “value at risk” measures. He received his Ph.D. from the Massachusetts Institute of Technology.
內容簡介：
Financial institutions' ability to create securities providing state-contingent payoffs tailored to the needs or desires of specific investors or groups of investors seems to be extremely beneficial. But there is a dark side to the ability to create instruments with tailored payoffs. If some investors misunderstand financial markets or suffer from cognitive biases that cause them to assign incorrect probability weights to events, financial institutions can exploit the investors' mistakes by creating financial instruments that pay off in the states that investors overweight and pay off less highly in the states that investors underweight, leading the investors to value the new instruments more highly than they would if they understood financial markets and correctly evaluated information about probabilities of future events
（承辦：應用經濟系）
