Dr. Santiago Moreno-BrombergWissenschaftlicher Mitarbeiter
AND-2.56, Andreasstr. 15, 8050 Zürich
+41 44 634 35 96
|vCard Details Team Koch Medina Lehre Publikationen Konferenzen|
- Ph.D., Mathematics, University of British Columbia, 2008. Advisor: Ivar Ekeland.
- M.S., Mathematics, CINVESTAV del IPN, 2004. Advisor: Sergei Grudsky.
- Licenciatura (undergraduate studies), Mathematics, Universidad Nacional Autónoma de México, 2000. Advisor: Santiago López de Medrano.
- Department of Banking and Finance, University of Zurich, February 2011-January 2016 in the chair of Prof. Jean-Charles Rochet. Main research topics: continuous-time corporate policies in liquidity-management settings; optimal liquidity management in stochastic interest-rate, non- stationary settings; optimal liability structure of banks and financial firms; surplus-invariant acceptance sets and risk measures; interactions of order-book markets and dark pools; optimal resolution of financial distress and optimal leverage decisions in moral-hazard settings.
Mathematics Institute, Humboldt-University Berlin, October 2008-January 2011 in the chair of Prof. Ulrich Horst. Main research topics: mechanism design in multi-firm, multi-agent games, focused on risk minimization; optimal derivative design under risk aversion; mechanics of trading in alternative venues (dark pools); utility maximization under (continuous) risk constraints.
- Cálculo III (Multidimensional Differential Calculus), undergraduate course, Fall 1997 Semester, National Autonomous University of Mexico.
- MATH 180 (Differential Calculus), Fall 2006 Semester, undergraduate course, University of British Columbia, Vancouver.
- MATH 184 (Differential Calculus), Fall 2007 Semester, undergraduate course, University of British Columbia, Vancouver.
- Game Theory Seminar, Winter Semester 2009, Humboldt-University Berlin, undergraduate sem- inar.
- Introduction to general equilibrium theory, Summer Semester 2010, Humboldt-University Berlin, masters-level course.
- MITACS-PIMS-UBC Summer School in Risk Management and Risk Sharing (with Ivar Eke- land), June 2010, University of British Columbia, Vancouver.
- Seminar on Contract Theory and Banking (with Jean-Charles Rochet), PhD-level course, Spring and Fall 2013, University of Zurich.
- Mathematical Finance and Derivatives II (with Jean-Charles Rochet), PhD-level course, Spring 2013, University of Zurich.
- Contract Theory and Banking (with Jean-Charles Rochet), PhD-level course, Spring 2014, Uni- versity of Zurich.
- Contract Theory and Banking, PhD-level course, Spring 2015, University of Zurich.
- Contract Theory and Banking, PhD-level course, Spring 2016, University of Zurich.
- Introduccio ́n a Modelos de Manejo Liquidez, minicourse, Metropolitan University campus Izta- palapa, Mexico City, September 13th, 2016.
- Contract Theory and Banking, PhD-level course, Spring 2017, University of Zurich.
- CONACyT Fellow for the period September 2003-August 2004 (Master Studies).
- CONACyT Fellow for the period September 2006-August 2008 (PhD Studies).
- Alexander von Humboldt Foundation "Young Researcher Fellowship", October 2009-November 2010.
- Dahrendorf visiting fellow in the “Working Group 4: Economics and Climate Change”, 2013.
- financial policies and value maximization of insurance firms;
- optimal reinsurance and liquidity management under dynamic risk constraints;
- dynamic contracting in problems of excessive risk taking and long-horizon investment.
- Barth, A. & Moreno-Bromberg, S.: Optimal Risk and Liquidity Management with Costly Refinancing Opportunities, Insurance: Mathematics and Economics, vol. 57, 31-45, 2014.
- Barth, A., Moreno-Bromberg, S. & Reichmann O.: A Non-Stationary Model of Optimal Consumption in a Stochastic Interest-Rate Setting, Journal of Computational Economics, vol. 47, no. 3, 447472, 2016.
- Ekeland, I. & Moreno-Bromberg, S.: An Algorithm for Computing Solutions of Variational Problems with Global Convexity Constraints, Numerische Mathematik, vol. 115, no. 1, 45-69, 2010.
- Ekeland, I. & Moreno-Bromberg, S.: A Lipschitz Property of the Derivatives of Convex Functions, 2010 (available upon request).
- Horst, U. & Moreno-Bromberg, S.: Risk Minimization and Optimal Derivative Design in a Principal Agent Game, Mathematics and Financial Economics, vol. 2, no. 1, 1-27, 2008.
- Horst, U. & Moreno-Bromberg, S.: Efficiency and Equilibria in Games of Optimal Deriva- tive Design, Mathematics and Financial Economics, vol. 5, no. 4, 269-297, 2011 .
- Klimenko, N. & Moreno-Bromberg, S.: The Shadow Cost of Repos and Bank Liability Structure, Journal of Economic Dynamics and Control, vol. 65, 1-29, 2016.
- Koch-Medina, P., Moreno-Bromberg, S. & Muinari C-A.: Capital Adequacy Tests and Limited Liability of Financial Institutions, Journal of Banking and Finance, vol. 51, 93-102, 2015.
- Moreno-Bromberg, S.: Optimal Design of Over-the-counter Derivatives in a Principal-Agent Framework: An Existence Result and Numerical Implementations, Dissertation, available at https://circle.ubc.ca/bitstream/handle/2429/5300/ubc_2008_fall_moreno-bromberg_santiago. pdf?sequence=1.
- Moreno-Bromberg, S.: Discrete Time Options: Barriers and Asymptotic Behavior, Mas- ters thesis, available at http://sb3.csb.cinvestav.mx/uhtbin/cgisirsi/?ps=u6TM9KvDPH/ CENTRAL/90840006/123.
- Moreno-Bromberg, S., Reveillac A. & Pirvu, T.: CRRA Utility Maximization under Risk Constraints, Communications on Stochastic Analysis, Vol. 7, no. 2, 203-225, 2013.
- Moreno-Bromberg, S. & Rochet, J-C. : Market Frictions and Corporate Finance: An Overview Paper, Mathematics and Financial Economics, vol. 8, no. 4, 355-381, 2014.
Organized Conferences and Workshops
- “Weather Derivatives and Risk” workshop, a joint event of the CRC 649, CASE and QPL, Berlin, 27th-28th of January 2010.
- “Workshop in honor of Ivar Ekeland”, Center of Competence Finance in Zurich, 5th-6th of May 2011.
- “Indices of Riskiness and New Risk Measures”, a joint event of the Center for the Economic Analysis of Risk (Georgia State University), the Department of Banking and Finance (University of Zurich) and RiskLab (ETH Zurich), University of Zurich, 27th-28th of March 2013.