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Prof. Michael Melvin, Ph.D.

University of California, San Diego

Guest program

CES Visiting Scholar

Contact

LMU Munich
Center for Economic Studies (CES)
Schackstr. 4
80539 Munich, Germany

Room: 105

Visiting period:
26 March - 6 April 2018

Country

USA

Summary

Currency Market Speculation and Risk Management

While visiting CES, Michael Melvin will be working on two projects. The first project deals with returns to currency market speculation and the importance of trading strategy and accurately accounting for trading costs. This research draws from his prior experience as a practitioner at BlackRock. Academic researchers have generally overestimated the cost of trading developed-market currencies and underestimated the cost of trading emerging-market currencies. The latter effect has resulted in many papers finding attractive returns to trading emerging markets that are likely overstated.

The second project deals with risk management of investment positions in Chinese financial assets by foreign investors. For a narrow example, consider a US-based investor investing in Chinese equities. The investor faces foreign exchange risk if the overseas equity position is not hedged. One can design a dynamic hedging strategy to manage the risk yet also seek active exposure to the exchange rate change when conditions are appropriately attractive.

Michael Melvin’s research in investments and international finance focuses on real issues facing global investors. He has published research in topics including exchange rates, currency investing and international equity markets. His current research is focused on currency carry trades and transaction costs and exchange rate models.

Mr Melvin’s most recent teaching position was at the UC Berkeley Haas School of Business. He has had past teaching positions at UCLA, UC San Diego, Arizona State University and Northwestern University. In addition to his academic achievements, Michael Melvin is an accomplished industry researcher. He served as Managing Director and Senior Research Advisor in Multi-Asset Strategies at BlackRock. Prior to that he was head of Currency and Fixed Income Research in the Global Market Strategies Group at BlackRock and Barclays Global Investors

Michael Melvin currently teaches in and directs the Master of Finance program at the UC San Diego Rady School of Management.