[1] FINANCE
Books
A. Cifuentes and V. Charlin, The Worth of Art: Financial Tools for the Art Markets, Columbia University Press, New York, September 2023, ISBN: 9780231201780. Silver Medal Winner, 2024 Axiom Business Book Award, Personal Finance / Retirement Planning / Investing https://cup.columbia.edu/book/the-worth-of-art/9780231201780.
A. Cifuentes and B. Lancaster, Collateralized Debt Obligations: Structures, Strategies and Innovations, Wachovia Securities, New York, September 2004.
Book Chapters
A. Cifuentes, The Company Men, chapter for the book “Cine y casos de negocios,” January 2017, published by Universidad Adolfo Ibanez/ RiL Editores.
J. Prince, A. Cifuentes and N. Bakalar, Synthetic CDOs: An Investor’s’ Guide, Chapter 31 in The Handbook of Fixed Income Securities, Edited by Frank .J. Fabozzi, 7th Edition, McGraw Hill, 2005.
A. Cifuentes et al., Buying and Selling Credit Risk, Chapter 8, in Credit Derivatives, RISK Books, London, 1998.
A. Cifuentes et al., Credit- and Insurance-Linked Notes and Collateralised Debt Obligations, Chapter 19, in Alternative Investment Strategies, Euromoney Publications, London, May 1998.
Refereed Papers in Academic Journals
Adding Art to Your Portfolio: A New Risk-Assessment Framework, (with V. Charlin), The Journal of Wealth Management, Fall 2023, 26(2), 67-82. DOI: 10.3905/jwm.2023.1.217
On the Performance of Portfolios Based on ESG Ratings, (with J. Alfaro), The Journal of Impact and ESG Investing, April 2023. DOI: 10.3905/jesg.2023.1.071
A Useful (But Painful) Risk-Management Lesson from the Chilean Pension System, (with B. Pagnoncelli and S. Redrobran), The Journal of Retirement, May 2023. DOI: 10.3905/jor.2023.1.135
The quality of the Argentinean Malbec and the weather in the Mendoza region, with (V. Charlin), International Journal of Wine Business Research, 2023, 35(3), 487-503. https://doi.org/10.1108/IJWBR-10-2022-0036
Weather and wine quality in Chile’s Casablanca Valley, (with V. Charlin, F. Larrain and L. Gonzales), Journal of Wine Research, May 2023. https://doi.org/10.1080/09571264.2023.2205118
ESG ratings: an industry in need of a major overhaul, (with V. Charlin and J. Alfaro), Journal of Sustainable Finance & Investment, August 2022. DOI: 10.1080/20430795.2022.2113358.
A Synthetic Data-plus-Features Driven Approach for Portfolio Optimization, (with B. Pagnoncelli, D. Ramirez and H. Rahimian), Computational Economics, June 2022.
DOI: 10.1007/s10614-022-10274-2.
Crime and (Price) Punishment in the Chilean Real Estate Market: the Case of Santiago, (with N. Andrade), Crime, Law & Social Change, 76, 497-523, July 2021.
Perception, Preference, and Prices in Josef Albers’ Square Series, (with V. Charlin) Art & Perception, 9(3), 199-219, May 2021. DOI: 10.1163/22134913-bja10025.
On the Performance of the Black and Scholes Options Pricing Formulas During the Subprime and Covid-19 Crises, (with S. Redroban), Journal of Corporate Accounting and Finance, May 2021.
A Numerical Simulation Approach to Study Systemic Risk in Banking Systems, (with F. Hawas and E. Chavarria), Journal of Network Theory in Finance, March 2021, pp 1-29.
DOI: 10.21314/JNTF.2021.001.
A General Framework to Study the Price-Color Relationship in Paintings with an Application to Mark Rothko Rectangular Series, (with V. Charlin), COLOR Research & Application, July 2020. DOI: 10.1002/col.22559.
The Effect of Regularization in Portfolio Selection Problems, (with B. Pagnoncelli and F. del Canto), Journal of the Spanish Society of Statistics and Operations Research, July 2020.
Molecular Biology and Economics: A Few Funerals Are Needed, (with B. Pagnoncelli), Journal of Portfolio Management, July 2020, 46(7).
Art-secured Lending: a Risk Analysis Framework, (with V. Charlin), Journal of Credit Risk, 16(2), June 2020, pp. 67-93. DOI: 10.21314/JCR.2020.261.
Quantifying Value with Effective Complexity, (with M. Murialdo), Journal of Interdisciplinary Economics, published online May 2020. DOI: 10.1177/0260107920913663.
An Options-Based Approach to Analyze Auction Guarantees in the Art Market, (with V. Charlin), North American Journal of Economics and Finance, January 2020, Vol. 51. DOI: 10.1016/j.najef.2019.101094.
DNPV: A Valuation Methodology for Infrastructure Projects That Is Consistent with Prospect Theory, (with D. Espinoza, J. Rojo and J. Morris), Journal of Construction Management and Economics; 2020, Vol. 38(3), pp. 259-274. DOI: 10.1080/01446193.2019.1648842.
The Role of Traditional Discounted Cash Flows in the Tragedy of the Horizon: Another Inconvenient Truth, (with. D Espinoza et al.), Mitig Adapt Strateg Glob Change, April 2020, Vol. 25, pp. 643–660. DOI: 10.1007/s11027-019-09884-3.
Can Asset Allocation Limits Determine Portfolio Risk–return profiles in DC Pension Schemes? (with T. Gutierrez, B. Pagnoncelli, and D. Valladao), Insurance Mathematics and Economics, Vol. 86, May 2019, pp. 134-144.
A Two-Step Hybrid Investment Strategy for Pension Funds (with G. Denis and B. Pagnoncelli), The North American Journal of Economics and Finance, Vol. 42, 2017, pp. 574-583.
Reliability and Agreement of Credit Ratings in the Mexican Fixed-Income Market (with V. Charlin), Journal of Credit Risk, Vol. 13(3), September, 2017, pp. 21-45. DOI: 10.21314/JCR.2017.227.
On the Uncertainty of Art Market Returns (with V. Charlin), Finance Research Letters, published online December, 2016. DOI: 10.1016/j.frl.2016.12.005.
Operational Risk and the Solvency II Capital Aggregation Formula: Implications of the Hidden Correlation Assumptions, (with V. Charlin), Journal of Operational Risk, Vol. 11, No. 4, December 2016, pp. 23-33. DOI: 10.21314/JOP.2016.181.
Credit-Risk Behavior of Homogeneous Portfolios: A Theoretical Result with Surprising Practical Implications, (with B. Pagnoncelli and F. Hawas), Journal of Structured Finance, Vol.22 (2), Summer, 2016.
On the Stability of Synthetic CDO Credit Ratings, (with J. Zapata), Journal of International Finance, Vol. 19, No. 2, June 2016.
Valuation of Projects with Minimum Revenue Guarantees, (with F. Hawas), The Engineering Economist, March 2016.
On the Correlation Between Stocks and Art Market Returns, (with V. Charlin), Applied Economic Letters, Vol. 24, Issue 2, 2017, pp. 128-131. Published online April 2016. DOI: 10.1080/13504851.2016.1170924.
Demystifying Credit Risk Derivatives and Securitization: Introducing the Basic Ideas to Undergraduates, (with B. Pagnoncelli), Journal of Derivatives, December 2014, Vol. 22 (2), pp.110-118.
Credit-Risk Assessment of Fixed Income Portfolios Using Explicit Expressions, (with B. Pagnoncelli), Financial Research Letters, Vol.11(3), September 2014, pp. 224-230.
An Investor-Oriented Metric for the Art Market, (with V. Charlin), Journal of Alternative Investments. Summer 2014, Vol. 17 (1), pp. 87-101.
Valuation of Projects with Stochastic Cash Flows and Inter-Temporal Correlations, (with F. Hawas), ASCE Journal of Construction Engineering and Management, Vol. 40, Issue 6, June 2014.
The One-Factor Gaussian Copula Applied To CDOs: Just Say NO (Or, If You See A Correlation Smile She Is Laughing At Your Results), (with G. Katsaros), Journal of Structured Finance, Fall 2007, Vol 13, Number 3, pp 60-71.
Submitted & Working Papers
Looking at a second generation of Abstract Expressionists: Mitchell and Frankenthaler, (with V. Charlin), working paper.
A Conceptual Framework for Strong Emergence Based on The Halting Problem, (with M. Murialdo), submitted.
A Modified Conditional GAN-Plus-Features Based Method for Optimal Asset Allocation, (with O. Larre, D. Ramirez, F. Suarez and M. Pena), submitted.
The Effects of Climate Change on the Quality of Chile’s Maipo Valley Cabernet Sauvignon Wines (with V. Charlin), submitted.
Reducing Non-Systematic and Systematic Risk in Portfolio Construction: A Simple Correlation-Based Formula, submitted.
Risk Analysis of Conglomerates with Debt and Equity Links, (with R. Roman), submitted.
Additional Peculiarities of the Black-and-Scholes (B-S) Model, submitted.
Revenue-Sharing Agreements in the Live Entertainment Industry: A Practical Risk Analysis Framework, (with V. Charlin), submitted.
An Alternative Derivation of the Black and Scholes (B-S) Options Pricing Formulas Based on Occam’s Razor (with S. Redroban), Clapes Working Paper Number 97, April, 2021.
Pension Funds in Mexico and Chile: a Risk-Reward Comparison, (with B. Pagnoncelli and H. Schlechter), March, 2019, available from https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3359920
The Discounted Cash Flow (DCF) Method Applied to Valuation: Too Many Uncomfortable Truths, available from https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2845341
Technical Reports and Monographs
A. Cifuentes and R. Roman, Risk Analysis of Conglomerates with Debt and Equity Links, Clapes Report, November, 2023.
J. Alfaro and A. Cifuentes, El Precio del Cobre: Examinando a los Expertos, Clapes Report, June, 2023.
A, Cifuentes, Revenue-sharing Agreements in the Live Entertainment Industry: A Practical Risk Analysis Framework, Clapes Report, June, 2023.
J. Alfaro and A. Cifuentes, Recomendaciones para Mejorar la Política de Inversiones de los Fondos de Pensiones Chilenos, Clapes Report, May, 2023.
J. Alfaro and A. Cifuentes, Veinte Años de Multifondos Chilenos: Diagnóstico y Recomendaciones, Clapes Report Number 118, November 2022.
J. Alfaro and A. Cifuentes, ESG Ratings-Driven Investing: Does It Pay? Clapes Report Number 117, October 2022.
A. Cifuentes, On the Most Vexing Portfolio Diversification Question: How to Choose N? Clapes Report Number 114, June 2022.
A. Cifuentes and V. Charlin, On the Quality of the Argentinean Malbec: How Much Does the Weather Matter? Clapes Report Number 113, May 2022.
A. Cifuentes, V. Charlin and J. Alfaro, ESG Ratings: An Industry in Need of a Major Overhaul, Clapes Report Number 111, March 2022.
A. Cifuentes and V. Charlin, Weather and Wine Quality: The Case of the Chilean (Maipo Valley) Cabernet-Sauvignon, Clapes Report Number 113, March 2022.
S. Redroban and A. Cifuentes, Algunas Reflexiones Sobre la Política de Inversiones de los Fondos de Pensiones Chilenos, Working Paper Number 108, Clapes UC, December 2021.
A. Cifuentes and V. Charlin, A New Risk-Return Framework to Evaluate the Merits of Art Investments, Working Paper Number 107, Clapes UC, December 2021.
A. Cifuentes and V. Charlin, Valuation of a Toll Road with a Potential to Expand: A Comparison Between Two Real Options-Based Approaches, Working Paper Number 104, Clapes UC, August 2021.
S. Redroban and A. Cifuentes, Sandboxes regulatorias: oportunidades y desafíos para Chile, Working Paper Number 100, Clapes UC, April 2021.
A. Cifuentes and B. Pagnoncelli, On Estimating the Price of European Options: Time to Think Differently, CLAPES-UC, May 2020.
A. Cifuentes, Financiamiento de Largo Plazo en Tiempos de Crisis: Una Solucion Publico-Privada Usando Tecnicas de Securitizacion, CLAPES-UC, April 2020.
A. Cifuentes, Inversiones Sustentables: Mitos y Realidades, Verdades a Medias y Verdades Incomodas, CLAPES-UC, April 2020.
A. Cifuentes, F. Hawas & E. Chavarria, A Computational Approach to Assess Systemic Risk in Banking Systems: from Early Diagnosis to Regulatory Response, CLAPES-UC, March 2020.
A. Cifuentes and V. Charlin, Valuation of Engineering Projects Using Real Options: A Volatility-Free Framework Based on Closed-Form Expressions, CLAPES-UC, March 2020.
A. Cifuentes and V. Charlin, The Price of Color in Mark Rothko’s Paintings, CLAPES-UC, January 2020.
N. Andrade & A. Cifuentes, Crime and (Price) Punishment in the Chilean Real Estate Market, CLAPES-UC, January 2020.
A. Cifuentes, Estrategia para desarrollar un mercado de bonos high yield en Chile, CLAPES-UC, August 2017.
A. Cifuentes, Desarrollo de un Indice Inmobiliario para Santiago: Estudio de Factibilidad (with P. Hempel), CREM, University of Chile, January 2016.
A. Cifuentes and E. Valdivieso, Discounted Cash Flow Analysis: A New Conceptual Framework, University of Chile, Department of Industrial Engineering, Financial Studies Center, July 2011.
J. Desormeaux, A. Cifuentes, L. Cordero, P. Correa, A. Ferreiro, R. Fischer and A. Yrarrazabal, Informe de la Comisión de Reforma a la Supervisión Financiera (in Spanish), Ministry of Finance, Chile, March 2011.
A. Cifuentes, Testimony Before U.S. Senate, Wall Street and The Financial Crisis, April 2010, available from www.gpoaccess.gov/cpngress/index.html.
A. Cifuentes and J.M. Cruz, White Paper on Rating Agency Reform, report requested by the U.S. Senate, included in Wall Street and the Financial Crisis, Permanent Subcommittee on Investigations, United States Senate, pages 794-802, April 2010.
A.Cifuentes, Testimony Before U.S. Senate, Turmoil in the U.S. Credit Markets: The Role of the Rating Agencies, April 2008; available from http://banking.senate.gov/public/index.cfm
A. Cifuentes and G. Katsaros, CDOs and Their Ratings: Chronicle of a Foretold Disaster, Total Securitization, June 4, 2007, pp 11-12.
A. Cifuentes, N. Chen , M. Desai and A. Ray, CDOs with “Alternative Waterfalls”: No Shift in Paradigm, Wachovia Securities, Structured Products Research Report, March 2005.
N. Chen, A. Cifuentes, M. Desai and A. Ray, The Long and Winding Road to Recovery: Can Recovery Swaps Revive the High-Yield CBO Market?, Wachovia Securities, Structured Products Research Report, February 2005.
N. Chen, A. Cifuentes, M. Desai and A. Ray, The Young and The Restless: Correlation Drama at the Big Three Rating Agencies, Wachovia Securities, Structured Products Research Report, February 2005.
A. Cifuentes, A. Ray, N. Chen and M. Desai, CDO Managers: Rank Them All and Let Zorro Sort Them Out! Wachovia Securities, Structured Products Research Report, January 2005.
N. Chen, A. Cifuentes, M. Desai and A. Ray, Secondary Market ABS CDOs: A Rational Alternative to NAV Analysis, Wachovia Securities, Structured Products Research Report, January 2005.
A. Cifuentes and M. Desai, Anatomy of a Monte Carlo: Things Your Mother Never Told You (and Your Quant Will Never Tell You), Wachovia Securities, Structured Products Research Report, November 2004.
A. Cifuentes, CDO of CDOs: Investors’ Basic Considerations, Institutional Investor, November 2004.
A. Cifuentes and M. Desai, Interest or Principal: That Might (or Might Not) Be The Question, Wachovia Securities, Structured Products Research Report, September 2004.
A. Cifuentes and M. Desai, Introduction to CDOs, Wachovia Securities, Structured Products Research Report, August 2004.
A. Cifuentes and M. Desai, CLO Equity Performance: The Forgotten Factor, Wachovia Securities, Structured Products Research Report, July 2004.
A. Cifuentes and M. Desai, A Marriage of Convenience: Money Market Tranches and CDO Structures,Wachovia Securities, Structured Products Research Report, June 2004.
A. Cifuentes et al., CDO Equity Investing, Part Deux: Alternative Thoughts on an Alternative Asset, Wachovia Securities, Structured Products Research Report, May 2004.
A. Cifuentes et al., How Good Are My Children? Wachovia Securities, Structured Products Research Report, April 2004.
A. Cifuentes et al., CDO Equity Investing: A Fistful of Tips, Wachovia Securities, Structured Products Research Report, March 2004.
A. Cifuentes et al., Monte Carlo Methods: The Devil Is in the Details!, Wachovia Securities, Structured Products Research Report, March 2004.
A. Cifuentes et al., Five Easy Wishes, Wachovia Securities, Structured Products Research Report, January 2004.
A. Prince and A. Cifuentes, CPORTS: A Tailor-Made CDO Investment, Wachovia Securities, Structured Products Research Report, November 2003.
A. Cifuentes and J. Prince, CDOs and Correlation: Are Your Ventures in One Bottom Trusted?, Wachovia Securities, Structured Products Research Report, October 2003.
A. Cifuentes et al., Analyzing the Risk of Structured Credit (CDO) Tranches: The Modified Binomial Expansion Method, Triton Partners Research Report, September 2000.
A. Cifuentes et al., Reaching for the STARS: A Aaa/AAA Senior CDO Bond with Equity Participation, Triton Partners Research Report, August 2000.
A. Cifuentes and E. Choi, Stability Analysis of CBO Tranches: What Does It Take to Downgrade a CBO, Moody’s Investors Service, Special Report, December 1998.
A. Cifuentes et al., The Double Binomial Method and Its Application to a Special Case of CBO Structures, Moody’s Investors Service, Special Report, March 1998.
A. Cifuentes et al., Who’s On Top?, Subordinated Pieces in CBO/CLO Structures, Moody’s Investors Service, Special Report, December 1997.
A. Gluck, A. Cifuentes and E. Murphy, CBO/CLO Market Update: Full Speed Ahead in 1997, Moody’s Investors Service, Special Report, October 1997.
A. Cifuentes et al., 1996 CBO/CLO Year In Review and 1997 Outlook, Moody’s Investors Service, Special Report, March 1997.
A. Cifuentes et al., Mind The Gap: Moody’s Rating of “Low-Coupon” Structured Instruments, Moody’s Investors Service, Special Report, February 1997.
A. Cifuentes et al., The Binomial Expansion Method Applied To CBO/CLO Analysis, Moody’s Investors Service, Special Report, December 1996.
A. Cifuentes et al., Emerging Market Collateralized Bond Obligations, Moody’s Investors Service, Special Report, October 1996.
Conference Presentations & Invited Talks
A Machine Learning Plus-Features Based Approach for Optimal Asset Allocation, invited talk, Blackrock, New York, November, 2023.
A Machine Learning Plus-Features Based Approach for Optimal Asset Allocation (with the Fintual team), 4th ACM International Conference on AI in Finance, New York, November, 2023.
El Régimen de Inversiones del Sistema Chileno de Pensiones: Diagnóstico y Recomendaciones, ICARE Seminar, Santiago, Chile, October, 2023.
The Worth of Art: Financial Tools for the Art Markets, (with V. Charlin), invited talk, Christie’s, New York, October, 2023.
The Worth of Art: Financial Tools for the Art Markets, (with V. Charlin), Clapes UC Seminar, Patricia Ready Art Gallery, Santiago, Chile, August, 2023.
The Worth of Art: Financial Tools for the Art Markets, (with V. Charlin), invited talk, Larrain Vial, Wealth Management Division, Santiago, Chile, August, 2023.
Investing in Picasso: What Have We Learned?, Bloomberg Financial Engineering Seminar, New York, June, 2023.
Los Fondos de Pensiones Chilenos y sus Políticas de Inversión: Una Conversación Necesaria, Clapes UC Seminar, Santiago, Chile, March, 2023.
El Mercado Inmobiliario: Índices y Reflexiones, Clapes Seminar, Santiago, Chile, December 2022.
Chile: Past, Present, and (What Kind of) Future?, invited talk delivered to Portland University MBA students visiting Chile at the request of Austral Group, Santiago, Chile, August 2022.
Markowitz and the Portfolio Selection Problem: A Critical Assessment, Clapes Seminar, Santiago, Chile, August 2022.
ESG Investing: Theory & Practice, Clapes Seminar, Santiago, Chile, May 2022.
The Influence of Weather on the Quality and Price of Wine, April 2022, New York City, Bloomberg Quant Seminar.
Chile and its Capital Markets, invited talk for UCLA MBA students visiting Chile, at the request of Prof. Sebastian Edwards from UCLA, Santiago, Chile, March 2022.
Innovación Financiera y Regulación: Lo Bueno, lo Malo, y lo Nuevo, Clapes (Zoom) Seminar, Santiago, Chile, June 2021.
Crimen y Delincuencia: Impacto en el Mercado Inmobiliario y la Calidad de Vida en la Ciudad, Clapes (Zoom) Seminar, Santiago, Chile, March 2021.
El Mercado Inmobiliario Después de la Pandemia, Clapes (Zoom) Seminar, Santiago, Chile, November 2020.
Price and Color: The Paintings of Josef Albers, Bloomberg Quant (Zoom) Seminar, New York, October 2020.
Riesgo Sistemico y el Sistema Financiero, Clapes (Zoom) Seminar, Santiago, Chile, September 2020.
Rethinking the Meaning of Economic Value, Clapes (Zoom) Seminar, Santiago, Chile, July 2020.
Reflexiones sobre los Criterios ESG, Clapes (Zoom) Seminar, Santiago, Chile, June 2020.
Financiamiento privado de infraestructura de uso público, Seminar (Zoom) organized by the Chilean Council of Infrastructure Development, Santiago, Chile, May 2020.
Finance & the Art Market, invited talk, Georgia State University, Finance Department, Atlanta, March 2020.
Art-Secured Lending: a General Approach to Estimate Risk, Bloomberg Quant Seminar, New York, October 2019.
Art as an Alternative Investment, panel discussion, Columbia Business School Alumni Seminar, New York, October 2019.
Invirtiendo en un Mundo Complicado: Consideraciones sobre las Inversiones Sustentables, Convención Anual de la Industria de los Seguros, Vina del Mar, Chile, October 2019.
Pricing Beauty: Is It Risky to Invest in Art? Columbia Global Center Conference, Santiago, Chile, September 2019
Pricing Art Guarantees in the Art Market, Bloomberg Quant Seminar, New York, June 2019.
On the Investment Guidelines of the Chilean Pension Funds: Diagnosis & Recommendations, Consejo Técnico de Inversiones, Chilean Pension Funds Supervision Office, Santiago, June 2019.
Pension Funds & Portfolio Management: Lessons from Chile and Mexico, IMF presentation, Washington D.C., April 2019.
Pension Funds and Portfolio Management: Lessons from Mexico & Chile, Columbia University, New York, Mathematics Department, Finance Seminar, April 2019.
Pension Funds in Latin America, invited talk, Yale University, School of Management, New Haven, CT, April 2019.
Pension Systems and Investment Regulations, Seminar Clapes UC, Santiago, Chile, March 2019.
Price and Color: The Paintings of Mark Rothko, Bloomberg Quant Seminar, New York, October 2018.
Finance and the Art Markets, Annual Meeting, Chilean Association of Investment Funds, Vina del Mar, Chile, September 2018.
Capital Basado en Riesgo, Contexto y Desafíos, Annual Meeting, Chilean Association of Insurance Companies, Vina del Mar, Chile, September 2018.
The Lehman Bankruptcy, Before &After, Clapes UC Seminar, Santiago, Chile, September 2018.
The Lehman Bankruptcy, Ten Years Later, Libertad y Desarrollo Seminar, Santiago, Chile, September 2018.
Finance & the Art Markets, Harvard University Club, Art Experts Symposia Seminar, New York, June 2018.
Credit Risk Behavior of Homogeneous Portfolios, Columbia University, Mathematics Department, Finance Seminar, April 2018.
The intellectual bankruptcy of the Discounted Cash Flow method, Bloomberg Quant Seminar, New York, October 2017.
Finance and its Challenges, California Institute of Technology, Division of Humanities and Social Science Seminar, invited talk, Pasadena, California, October 2017.
What’s New in the Financial Markets? Invited talk, Annual Meeting of the Chilean Association of Investment Funds, Vina del Mar, Chile, September 2017.
Valuation of Infrastructure Projects: Recent Advances & Pending Issues, CLAPES UC Seminar, Santiago, Chile, August 2017.
Valuation of Infrastructure Investments, invited talk, Comité Técnico de Inversiones, Superintendencia de Pensiones, Santiago, Chile, December 2016.
Paintings Are Just Expensive Real Estate, talk presented at the Bloomberg Quant Seminar, New York, November 2016.
Entorno Macrofinanciero de los Directorios, Seminar sponsored by Deloitte/ University of Chile and co-organized with Dr. Guillermo Larrain, Santiago, Chile, October-November 2016.
Chilean Investors Forum, panelist, Asset Allocation Strategies for Institutional Investors’ forum, Santiago, Chile, September 2016.
Chile & The Global Financial Markets, talk for UCLA MBA students visiting Chile, at the request of Prof. Sebastian Edwards from UCLA, Santiago, December 2015.
Chilean Investors Forum, panelist, Chilean capital markets: structure and regulation; and moderator, Investing, Issuing and Understanding Corporate Debt, Santiago, Chile, November 2015.
Systemic Risk and Financial Systems: a Numerical Simulation Approach, Superintendencia de Bancos e Instituciones Financieras, Invited Talk, Santiago, Chile, November 2015.
Systemic Risk and Financial Systems: a Numerical Simulation Approach, Financial Seminar Series, Universidad A. Hurtado/ Ilades, Santiago, Chile, May 2015.
Credit Risk Assessment of Fixed Income Portfolios: and Analytical Approach, Primera Jornada de Regulación y Estabilidad Macrofinanciera, University of Chile, Faculty of Economics and Business, Santiago, Chile, January 2014.
Credit Ratings in the Chilean Fixed Income Market: Some Empirical Observations, Primera Jornada de Regulación y Estabilidad Macrofinanciera, University of Chile, Faculty of Economics and Business, Santiago, Chile, January 2014.
Capital Basado en Riesgo: Antecedentes, Reflexiones y Peligros, talk delivered at the Annual Convention of the Chilean Association of Insurance Companies, Vina del Mar, Chile, October 2013.
Recomendaciones de la Comisión Desormeaux, Seminar organized by Libertad y Desarrollo, keynote speaker, Santiago, Chile, July 2013.
Inversionistas Institucionales: Riesgos, Beneficios, y Desafios Regulatorios, lectured delivered at the Integracion Financiera Latinoamericana Conference, University of Chile, Centro de Regulación y Estabilidad Macrofinanciera, Santiago, Chile, January 2013.
Dissecting Abacus: Risks That Investors Should Have Seen, (co-author J. Zapata), The Macrotheme Conference, Finance, Investments, and Policy Making Session, Paris, October 2012.
The Financial Crisis: Halfway Through the Tunnel, invited talk, The Chile Club, Santiago, Chile, September 2012.
Credit Crunch in Chile, Panel Discussion organized by Centro de Regulación y Estabilidad Macrofinanciera, University of Chile, Santiago, Chile, August 2012.
Structured Products and their Ratings: Current and Pending Issues, invited talk, Catholic University,School of Business, Santiago, Chile, August 2012.
Los Nuevos Retos del Risk Management, invited talk, Sexto Congreso de Créditos y Cobranzas, Santiago, Chile, September 2011.
Credit Default Swaps: Simple Concept; Complex Issues, invited talk, Chilean Central Bank, Santiago, Chile, June 2010.
Modeling Structured Finance Products, Capital Markets Specialist Conference, Federal Financial Institutions Council, Arlington, Virginia, June 2009.
The Subprime Crisis: Key Issues and Pending Problems, invited talk, Chilean Central Bank, Santiago, Chile, April 2009.
La Crisis Subprime: Dinámica de un Desastre Anunciado, invited talk, Universidad Adolfo Ibáñez, Santiago, Chile, April 2009.
Fantasy, Fraud, and Foolishness: Where Do We Go From Here? Keynote Speaker, Baker & McKenzie Annual Partners Meeting, New York, NY, October 2008.
Credit Ratings and the Alternative Banking System: A Critical Assessment, invited talk, Market Liquidity & Implications on World Economy Conference, Singapore, August 2008. (Plus a half-day post-conference seminar: Understanding the Different Rating Methodologies: An Independent Assessment).
Fantasy, Fraud, and Foolishness: The Three Drivers Behind The Subprime Mess, invited talk, Professional Liability Underwriting Society of Canada Conference, Toronto, Canada, May 2008.
Collateralized Debt Obligations: Basic Concepts and Recent Developments, Half-Day Seminar presented at the request on the Connecticut Insurance Department, Connecticut Insurance Department Annual Conference, Hartford, Connecticut, March 2008.
Debating the Future of the CDO, (with Zachary Rosenbaum), presentation made at NERA’s Subprime and The Credit Crisis Conference, New York, February 2008.
CDOs: Alchemy or Science, (with Zachary Rosenbaum), presentation made at the Hedge Fund Due Diligence Conference, New York, October 2007.
Modeling Credit Risk in Fixed Income Portfolios, CFA/ Fixed Income Management Annual Conference, Boston, October 2007.
Collateralized Debt Obligations: Key Concepts & Recent Developments, invited seminar, United States Treasury, Office of the Comptroller of the Currency, Washington D.C., April 2007.
To Measure is to Understand: Can the Rating Agencies Measure? Do They Understand? invited talk, Euromoney CDO Conference, Amsterdam, September 2006. (Also presented in a slightly modified fashion at the Terrapinn CDO conference, New York, March 2007.)
The Role of the Manager in a CDO Transaction, invited talk at CDO Summit Asia 2006, Taipei, Taiwan, May 2006.
Collateralized Debt Obligations for Bank Examiners, one day seminar, United States Treasury, Office of the Comptroller of the Currency, Washington D.C., April 2006.
I Like Your Model, invited talk (keynote speaker), U.S. CDOs & Credit Derivatives Conference sponsored by IMN/Euromoney, New York, March 2006.
Truth or Consequences: Default Correlation Assumptions in the Modeling and Structuring of CDOs, invited talk delivered at the CFA Institute-New York University Structured Credit Instruments Conference, New York, November 2005. Published later in a slightly modified fashion under the title CDOs and Correlation: A Few Modeling Misconceptions, CFA Institute Conference Proceedings Quarterly, June 2006, pages 53-58.
Three Controversial Thoughts and One Wild Idea, invited talk delivered at the IMN CDOs/ Credit Derivatives Conference, Venice, Italy, September 2005.
The CDO Market This Time Around, presentation at the Fixed Income Forum, Senior Delegates Roundtable, Institutional Investor, Laguna, California, July 2005.
Understanding CDOs, CDO Summit (conference organized by The Institute of International Research), New York, June 2005.
Credit Derivatives: Concepts & Applications, one-day seminar for senior managers and risk professionals, Banco de Crédito e Inversiones (BCI), Santiago, Chile, June 2005.
Introduction to Collateralized Debt Obligations (CDOs), one day seminar given at the request of the United States Treasury, Office of the Comptroller of the Currency, Washington D.C., June 2005.
A Critical Look at CDO History: The Good, The Bad, and The Useless, CDOs & Credit Derivatives (US), IMN/Euromoney Conference, New York, March 2005.
Essentials of Collateralized Debt Obligations: Structures, Strategies & Innovations, Global Association of Risk Professionals Seminar, New York & London, March 2005.
CDOs and Correlation: Solved and Pending Issues, GARP Annual Conference, New York, February 2005.
CDO Equity Performance: History Will Teach Us Nothing, IMN CDO Conference, Vienna, September 2004.
CDO Equity Investing: Do’s & Don’ts, CDO Summit, New York, July 2004.
CDOs and the Rating Agencies: Assessing the Rating Models and Measurements Used, Global Risk Professionals Association Conference, London, May 2004.
Earthquakes, Defaults and CDOs: Managing the Unpredictable, IMN CDO Conference, Amsterdam, September 2003.
CDO Equity Tranches & Van Gogh Paintings: Similarities and Differences, IMN CDO Conference, Berlin, September 2002.
The Utilization of CBO/CLO Technology to Securitize Non-Conventional Assets, IMN CBO/CLO Conference, Munich, September 19-20, 2000.
How Do You Spell CBO in Spanish?, SRI CBO/CLO in the Year 2000 Conference, Chicago, May 16-17, 2000.
Examining Rating Criteria for Cash Flow CBOs, Workshop presented at the CBO/CLO Issuance Conference, Institute for International Research, New York, September 13-14, 1999.
Credit Risk Management: An Overview, Class taught at the XXII Systems Engineering Conference, University of Chile, Industrial Engineering Department, Santiago, Chile, July 13-16, 1999.
Special Issues and Considerations in Emerging Market CBOs, The Next Step: CBOs/CLOs, IMN Conference, London, June 9-10, 1999.
How Much Would You Pay for an Earthquake-Linked Bond?, invited lecture, California Institute of Technology, Pasadena, California, February 1999.
Latin American Outlook for the CBO/CLO Market, Asset Securitization in Latin America Conference, Sao Paulo, Brazil, November 1998.
The Role of the Rating Agencies in the Development of the Credit-Derivatives Market, Credit-Derivatives Conference, Sao Paulo, Brazil, October 1998.
Emerging Market and High-Yield CBO/CLO Structures, The Asset Backed Market Conference, New York, June 1998.
Evaluating New Asset Classes in the Application of CBOs, CLOs and Credit-Linked Notes, RISK Conference on CBOs, CLOs and Credit-Linked Notes, New York, May 1998.
Examining Today’s CBO/CLO Market and Gauging What’s Ahead in the Future, Second Annual Summit on Emerging and Niche Asset Securitization, New York, May 1998.
Mezzanine Pieces in CBO Structures, Asset Backed Conference, Bermuda, September 1997.
Synthetic Asset CBOs, Asset Backed Conference, Bermuda, September 1997.
Collateralized Bond Obligations, 7th Annual High-Yield Conference, New York, June 1997.
[2] ENGINEERING and APPLIED MATH
Books
A. O. Cifuentes, Using MSC/NASTRAN: Statics and Dynamics, Springer-Verlag Inc., New York, July, 1989.
Book Chapters
Chilean Seismic Code, (Chapter 10), in International Handbook of Earthquake Engineering, Editor: Mario Paz, Chapman Hall, New York, 1995.
Refereed Papers in Academic Journals
H. Jensen and A. Cifuentes, A Global Multi-Dimensional Sensitivity Analysis of Electronic Systems Subjected to Time-Dependent Excitations, ASME Journal of Electronic Packaging, Volume 120, December 1998, pp 391-394.
H. Jensen and A.O. Cifuentes, A Global Sensitivity Approach for the Dynamic Response of Printed Wiring Boards, ASME Journal of Electronic Packaging, Volume 117, Number 1, March 1995, pp 7-13.
A.O. Cifuentes, N. Shulga and C.A. Neff, A Sensitivity Study of Printed Wiring Board Vibrations Using A Statistical Method, Journal of Sound and Vibration, Volume 181, Number 4, April 1995, pp 593-604.
J.N. Burghatz, A.O. Cifuentes and J. Warnock, A Low-Capacitance Bipolar/BiCMOS Isolation Technology, Part II–Circuit Performance and Device Self-Heating, IEEE Transactions on Electron Devices, Volume 41, Number 8, August 1994, pp 1388-1395.
A.O. Cifuentes, Estimating The Dynamic Behavior of Printed Circuit Boards, IEEE Transactions on Components, Packaging and Manufacturing Technology, Volume 17, Number 1, February, 1994, pp 69-75.
A. O. Cifuentes and I.A. Shareef, Some Modeling Issues on the Finite Element Computation of Thermal Stresses in Metal Lines, ASME Journal of Electronic Packaging, Volume 115, Number 4, December, 1993, pp 392-403.
S. R. Stiffler and A.O. Cifuentes, The Effect of Trench Corner Shapes on Local Stress Fields: A 3-D Finite Element Modeling Study, IEEE Transactions on Electron Devices, Volume 40, Number 3, March, 1993, pp 557-563.
A. O. Cifuentes and A. Kalbag, A Performance Study of Tetrahedral and Hexahedral Elements in 3-D Finite Element Structural Analysis, Journal of Finite Elements in Analysis and Design, Volume 12, 1992, pages 313-318.
A. O. Cifuentes and S.R. Stiffler, Modeling Thermal Stresses in Periodic Structures: Some Observations Regarding the Boundary Conditions, ASME Journal of Electronic Packaging, Volume 114, Number 4, December, 1992, pages 397-402.
A. O. Cifuentes and I. Shareef, Manufacturing of Multilevel Structures: A General Method for Analyzing Stress Evolution During Processing, IEEE Transactions on Semiconductor Manufacturing, Volume 5, Number 2, May 1992, pp 128-137.
A. O. Cifuentes and S. Lalapet, A General Method to Determine the Dynamic Response of a Plate to an Orbiting Mass, Computers and Structures, Volume 42, Number 1, 1992, pp 31-36.
A. O. Cifuentes, A Note on the Determination of the Thermal Stresses in Multi-Metal Beams Subjected to Temperature Variations, ASME Journal of Electronic Packaging, Volume 113, December 1991, pp 425-427.
A. O. Cifuentes, Elastoplastic Analysis of Bimaterial Beams Subjected to Thermal Loads, ASME Journal of Electronic Packaging, Volume 113, December 1991, pp 355-358.
A. O. Cifuentes and M. Paz, Determination of Influence Lines and Surfaces Using Finite Elements, Journal of Finite Elements in Analysis and Design, Volume 7, 1991, pp 299-305.
A. O. Cifuentes, T. L. Bock and R. N. Coppolino, A Finite Element Technique for Tape-Head Interaction Problems: The Steady-State Case , Applied Mathematical Modelling, Volume 14, Number 12, December, 1990, pp 661-665.
B.E. MacNeal, L.A. Larkin, J.R. Brauer and A.O. Cifuentes, Elimination of Finite Element Spurious Modes Using a Modal Transformation Technique, IEEE Transactions on Magnetics, Vol. 26, Number 5, September, 1990, pp 1765-1768.
A. O. Cifuentes and R.N. Coppolino, Computation of the Eigenfrequencies of Acoustic Cavities: A New Penalty Method, Communications in Applied Numerical Methods, Volume 6, No. 4, May, 1990, pp 289-296.
A. O. Cifuentes, T. L. Bock and R. N. Coppolino, A Finite Element Method for Gas-Lubricated Bearings, Journal of Engineering Computations, Volume 7, Number 1, March, 1990, pp 32-36.
A. O. Cifuentes, Dynamic Response of a Beam Excited by a Moving Mass, Journal of Finite Elements in Analysis and Design, Vol. 5, 1989, pp 237-246.
A. O. Cifuentes and W. D. Iwan, Nonlinear System Identification Based on Modeling of Restoring Force Behavior, Soil Dynamics and Earthquake Engineering, 1989, Vol. 8, Number 1, pp 2-8.
A. O. Cifuentes, Solution of Incompressible Steady Flow Problems Using a Structural Analogy, Journal of Engineering Computations, Vol 5, Number 2, June 1988, pp 165-168.
W. D. Iwan and A. O. Cifuentes, A Model for System Identification of Degrading Structures, Journal of Earthquake Engineering & Structural Dynamics, Vol. 14, No. 6, Nov/Dec 1986, pp 877-890.
A. Cifuentes et al., Pupil Opening Control, A Biomathematical Model, (in Spanish). Sigma, Chilean Journal of Applied Mathematics, April, 1981.
A. Cifuentes et al., Simulation of the Main Phenomena Occurring in the Ocular Globe: a Biomathematical Model of the Normal Eyeball, (in Spanish). Sigma, Chilean Journal of Applied Mathematics, 6(2): 37-79, 1980.
Conference Proceedings Articles & Monographs
H. Jensen and A.O. Cifuentes, Improved Approximations for Structural Reliability in Thermal Analysis, Proceedings of the 45th Electronic Components and Technology Conference, Las Vegas, May, 1995, Volume II, pp 1152-1160.
A.O. Cifuentes and N. Shulga, Dynamic Behavior of Printed Wiring Boards: A Sensitivity Analysis Technique Based on Multi-Linear Expansions, Proceedings of the Fourth Pan-American Congress of Applied Mechanics, Buenos Aires, Argentina, January, 1995, Volume 2, pp 173-178.
A.O. Cifuentes and N. Shulga, A Technique for Sensitivity Analysis of Natural Frequencies Using ABAQUS, Proceedings of the ABAQUS Users Conference, Newport, Rhode Island, June 1994, pp 221-230.
H. Jensen and A.O. Cifuentes, Probabilistic Sensitivity Analysis for the Dynamic Response of Electronic Systems, Proceedings of the 44th Electronic Components and Technology Conference, Washington, D.C., May 1994, pp 107-114.
A.O. Cifuentes, Dynamic response of PC Boards: Some Useful Analysis Guidelines, Proceedings of the ASME Winter Annual Meeting, New Orleans, Louisiana, November 1993, paper 93-WA-EEP-1.
A.O. Cifuentes and A. Kalbag, Dynamic Behavior of Printed Wiring Boards: Increasing Board Stiffness by Optimizing Support Locations, Proceedings of the 43th Electronic Components and Technology Conference, Lake Buena Vista, Florida, June 1993, pp 270-275.
J.N. Burghatz, A.O. Cifuentes et al., SPIRIT –A Bipolar/BiCMOS Isolation Technology for High Performance VLSI, Proceedings of 1993 VLSI Symposium, Kyoto, Japan, May 1993.
A.O. Cifuentes and A. Kalbag, A Comparison of Tetrahedral and Hexahedral Elements in Finite Element Structural Analysis, Proceedings of the Third Panamerican Congress of Applied Mechanics, Sao Paulo, Brazil, January 1993, pp 259-262.
A. O. Cifuentes and I. Shareef, A Simple Finite Element Technique to Model the Stresses in the Fabrication of Multilayered Structures for Electronic Components, Proceedings of the ASME Annual Meeting on Structural Analysis in Electronic Packaging and Fiber Optics, Atlanta, December 1991, paper 91-WA-EEP-3.
A. O. Cifuentes and S. Lalapet, Transient Response of a Plate to an Orbiting Mass, Proceedings of the Second Pan American Congress of Applied Mechanics, Valparaiso, Chile, January 1991, p 193.
A. Cifuentes, Finite Elements and Structural Mechanics in Electronic Packaging: Present and Future, Proceedings of the MSC/Nastran Users’ Conference, Los Angeles, California, March 1990.
A. O. Cifuentes and R. N. Coppolino, A Modified Penalty Function Method for Modal Analysis of Acoustic Cavities, Proceedings of the 12th Biennial ASME Conference on Mechanical Vibration and Noise, Montreal, Canada, September 17-20, 1989, pp 289-294.
A. O. Cifuentes, T. L. Bock and R. N. Coppolino, A Finite Element Technique for Tape-Head Interaction Problems in High Speed Recording: The Steady-State Case, Proceedings of the 5th International Symposium on Numerical Methods in Engineering, Lausanne, Switzerland, September 11-15, 1989.
A. O. Cifuentes and M. Paz, A Computational Algorithm to Determine Influence Lines and Influence Surfaces, Proceedings of the 6th Conference on Computing in Civil Engineering, Atlanta, Georgia, September 11-13, 1989.
A. O. Cifuentes, B. E. MacNeal and R. N. Coppolino, Finite Element Analysis of Cavities and Waveguides Using a Modified Penalty Function Method, Proceedings of the 1989 IEEE APS/URSI International Symposium, June 26-30, San Jose, California.
A. O. Cifuentes, T. L. Bock and R. N. Coppolino, A Finite Element Method for a Certain Class of Compressible Lubrication Problems, Proceedings of the 12th Canadian Congress of Applied Mechanics, May 28-June 2, 1989, Ottawa, Canada, pp 778-779.
A. O. Cifuentes, T. L. Bock and R. N. Coppolino, A Finite Element Method for a Certain Class of Compressible Lubrication Problems, Proceedings of the 12th Canadian Congress of Applied Mechanics, May 28-June 2, 1989, Ottawa, Canada, pp 778-779.
A. O. Cifuentes, Finite Element Solution of Incompressible Steady Flow Problems in Closed Conduits Using a Structural Analogy, Proceedings of the 7th International Conference of Finite Elements Methods in Flow Problems, Huntsville, Alabama, April 3-7, 1989, pp 874-877.
A. O. Cifuentes, Dynamic Analysis of Railway Bridges, Proceedings of the 1988 Joint ASME/IEEE Railroad Conference, Pittsburgh, PA., April, 1988, pp 95-103.
A. O. Cifuentes, A Combined Finite Element- Finite Difference Technique to Determine Structural Response to “Bourdon” Load. Proceedings of the 11th Canadian Congress of Applied Mechanics, University of Alberta, June, 1987, Vol. II, pp D14-D15.
A. O. Cifuentes, Non-Linear Dynamic Problems Using a Combined Finite Element- Finite Difference Technique, Proceedings of the 6th Conference on the Mathematics of Finite Elements and Applications, Brunel University, London, April/May 1987.
A. O. Cifuentes, Dynamic Analysis with MSC/NASTRAN, The MacNeal-Schwendler Corporation, Los Angeles, California, June, 1986.
A. O. Cifuentes, Basic Linear Static and Normal Modes Analysis with MSC/NASTRAN, The MacNeal-Schwendler Corporation, Los Angeles, California, March, 1986.
A. O. Cifuentes and W. D. Iwan, On the Modeling of a Class of Deteriorating Structures Subjected to Severe Earthquake Loading, Proceedings of the Third U.S. National Conference on Earthquake Engineering, Charleston, South Carolina, August 1986, pp 967-978.
A. O. Cifuentes and D. H. Herting, Transient Response of a Beam to a Moving Mass Using a Finite Element Approach, Proceedings of the Fourth International Symposium on Numerical Methods in Engineering, Atlanta, Georgia, March 1986, pp 533-539.
A. O. Cifuentes, Modeling Deteriorating Structures – The Imperial County Services Building, Earthquake Research Affiliates Conference, Pasadena, California, February, 1985.
A. Cifuentes, Optimum Design of Hydraulic Networks, (in Spanish), Proceeding of the First Latin American Congress of Computational Methods in Engineering, Porto Alegre, Brazil, December, 1979.
A. Cifuentes, A Computational Algorithm to Design Welded Joints in Tubular Structures, (in Spanish), Infonor Congress of Computational Methods in Engineering, Antofagasta, Chile, November, 1979.
A. Cifuentes, Structural Analysis of Skew Plates, (in Spanish), Chilean Engineering Association Journal, April, 1979.
A. Cifuentes, Development of a Cost Minimization Procedure to Design Water Supply Systems, (in Spanish). III Economic and Cost Engineering Pan American Congress, Santiago, Chile, October, 1978.
A. Cifuentes et al., Variational Methods for the Solution of Free Boundary Problems in Elastoplasticity, (in Spanish). Notes for a course taught at the Third Chilean Conference of Applied Mathematics, Santiago, Chile, July, 1978.