Lisa Goldberg

Lisa Goldberg is a financial economist and statistician who serves at the University of California, Berkeley as Director of Research at the Center for Risk Management Research and as Adjunct Professor of Statistics. She is also the Co-Director for the Consortium for Data Analytics in Risk at UC Berkeley.

Lisa Goldberg
Alma materPh.D. Brandeis University (Mathematics) B.A. University of Rochester
AwardsSloan Fellowship (1987)
Graham and Dodd Scroll Award for Excellence in Research and Financial Writing (2012)
Scientific career
FieldsMathematical Finance, Statistics
InstitutionsUniversity of California, Berkeley; Berkeley Research Group; MSCI

Research

In the 1980s, Goldberg studied properties of dynamical systems generated by rational maps of the Riemann sphere.[1][2]

In 1993, Goldberg left academia to pursue a career in quantitative finance at Barra (now MSCI), and she has been a proponent of research that combines best practices from industry and the university.[3] Early in the 2000s, in collaboration with Kay Giesecke, she developed a top down methodology based on point processes that is used to assess complex credit derivatives.[4][5][6]

Beginning in 2006, Goldberg, in collaboration with Guy Miller and Jared Weinstein, developed a patented extension of quantitative risk management tools to extreme events and market turbulence.[7] Goldberg also holds two patents on industry-standard multi-asset class risk models[8][9] and one patent on incomplete information credit models.[10]

Early in the financial crisis of 2007–08, Goldberg warned against the risks associated with the reliance on Gaussian models.[11] Risk parity strategies have been claimed by a number of practitioners to deliver investment performance superior to traditional strategies, and have been especially popular since the financial crisis of 2007-08. In collaboration with Robert M. Anderson (economist) and Stephen Bianchi, Goldberg demonstrated that long-horizon performance of risk parity strategies is qualitatively similar to long-horizon performance of traditional strategies after accounting for realistic financing and trading costs, and that risk parity substantially underperforms traditional strategies in certain time periods.[12] Subsequent research by the same team extends the findings to the more general class of dynamically levered strategies, and it reveals high sensitivity of strategy performance to a previously unidentified source of risk: the co-movement of leverage with return to the underlying portfolio that is levered.[13] They also pointed out that levered strategies involving bonds, including risk parity, are very vulnerable in a rising interest rate environment,[13][14][15] the precise environment that many analysts predict for the coming years.

Awards

Goldberg received a Sloan Fellowship in 1987[16] and a Graham and Dodd Scroll Award for Excellence in Research and Financial Writing in 2012 for Financial Analysts Journal.[17]

Personal life

Goldberg is married to mathematician Ken Ribet.[18]

Publications

Book
  • Connor, Gregory; Goldberg, Lisa R.; Korajczyk, Robert A. (2010). Portfolio Risk Analysis. Princeton, NJ: Princeton University Press. ISBN 978-0691128283.

Articles
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References
  1. Goldberg, Lisa R. (1992). "Fixed Points of Polynomials Part I: Rotation Subsets of the Unit Circle" (PDF). Annales Scientifiques de l'École Normale Supérieure. 25 (6): 679–685. doi:10.24033/asens.1663.
  2. Goldberg, Lisa R.; Milnor, John (1993). "Fixed Points of Polynomials Part II: Fixed Point Portraits" (PDF). Annales Scientifiques de l'École Normale Supérieure. 26 (1): 51–98. doi:10.24033/asens.1667.
  3. Connor, Gregory; Goldberg, Lisa R.; Korajczyk, Robert A. (2010). Portfolio Risk Analysis. Princeton, NJ: Princeton University Press. ISBN 978-0691128283.
  4. Giesecke, Kay; Goldberg, Lisa R.; Ding, Xioawei (2011). "A Top-Down Approach to Multi-Name Credit". Operations Research. 59 (2): 283–300. CiteSeerX 10.1.1.139.6466. doi:10.1287/opre.1100.0855.
  5. Giesecke, Kay; Goldberg, Lisa R. (Fall 2004). "Forecasting Default in the Face of Uncertainty". The Journal of Derivatives. 12 (1): 11–25. doi:10.3905/jod.2004.434534.
  6. Errais, Eymen; Giesecke, Kay; Goldberg, Lisa R. (2010). "Affine Point Processes and Portfolio Credit Risk". SIAM J. Financial Math. 1: 642–665. doi:10.1137/090771272.
  7. US granted 7870052, Lisa R. Goldberg & Jared Weinstein, "System and Method for Forecasting Portfolio Loss at Multiple Horizons", issued January 11, 2011.
  8. US granted 7324978, Lisa R. Goldberg & Guy Miller, "Method and Apparatus for Creating Consistent Risk Forecasts and For Aggregating Factor Models", issued January 29, 2008.
  9. US granted 7024388, Lisa R. Goldberg; Scott Scheffler & Ken Hui et al., "Method and Apparatus for an Integrated Model of Multiple Asset Classes Inventors", issued April 4, 2006.
  10. US granted 7536329, Lisa R. Goldberg, "Method and Apparatus for an Incomplete Information Model of Credit Risk", issued May 19, 2009.
  11. Goldberg, Lisa (August 18, 2008). "Don't Risk Using Normal Distribution?". Financial Times.
  12. Anderson, Robert M.; Bianchi, Stephen W.; Goldberg, Lisa R. (November–December 2012). "Will My Risk Parity Strategy Outperform?". Financial Analysts Journal. 68 (6): 75–93. doi:10.2469/faj.v68.n6.7.
  13. Anderson, Robert M.; Bianchi, Stephen W.; Goldberg, Lisa R. (July 2013). "The Decision to Lever" (PDF). Working Paper # 2013-01, Center for Risk Management Research, University of California, Berkeley. Archived from the original (PDF) on 2013-10-22.
  14. Anderson, Robert M.; Bianchi, Stephen W.; Goldberg, Lisa R. (March–April 2013). "Will My Risk Parity Strategy Outperform?: Author Response". Financial Analysts Journal. 69 (2): 15–16. doi:10.2469/faj.v69.n2.9.
  15. Orr, Leanna (July 26, 2013). "Is Levering a Portfolio Ever Worth It?". Asset International's Chief Investment Officer. Archived from the original on September 28, 2015. Retrieved July 27, 2013.
  16. "Sloan Foundation Awards 90 Grants". The New York Times. April 19, 1987.
  17. Sullivan, Rodney (March 18, 2013). "The Year's Best Financial Writing: Graham and Dodd Awards of Excellence for 2012". Enterprising Investor. Retrieved 2020-06-02.
  18. "Interview with New AMS President Kenneth A. Ribet" (PDF). Notices of the American Mathematical Society. 64 (3): 229–232. March 2017.
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