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Dr. Marcela Valenzuela
CONTACT
Department of Industrial Engineering, University of Chile.
Address: Beauchef 851, Santiago, Chile.
E-mail: [email protected]
Web: www.marcelavalenzuela.com
Phone: +56-2-29784914
CURRENT
AFFILIATION
University of Chile
Assistant Professor.
EDUCATION
London School of Economics
Ph.D. in Finance.
Pontificia Universidad Católica de Chile
M.Sc. in Industrial Engineering.
Pontificia Universidad Católica de Chile
B.Sc. in Industrial Engineering.
2013–present
2008-2013
2004-2005
1998-2003
RESEARCH
INTERESTS
Crises, Financial risk, Financial Econometrics, Market Microstructure.
PUBLICATIONS
Model risk of risk models (with Jon Danielsson, Kevin James and Ilknur
Zer). Journal of Financial Stability, Forthcoming.
Can we prove a bank guilty of creating systemic risk? A minority
report (with Jon Danielsson, Kevin James and Ilknur Zer), Journal of
Money, Credit and Banking, Forthcoming.
Relative liquidity and future volatility (with Ilknur Zer, Piotr Fryzlewicz and Thorsten Rheinlander), Journal of Financial Markets, 2015,
24, 25–48.
Competition, signaling and non-walking through the book: Effects on order choice (with Ilknur Zer), Journal of Banking and Finance,
2013, 37, 5421–5435.
WORKING
PAPERS
Learning from history: Volatility and financial crises (with Jon
Danielsson and Ilknur Zer).
The IPO market in competitive equilibrium: Seeing it without
knowing it (with Kevin James).
Implied correlation and market returns (with Alejandro Bernales).
Returns and volatility risk premia (with Alejandro Bernales and Xiaohua Chen).
WORK IN
PROGRESS
Integration and debt crises: Effects on economic growth (with Jon
Danielsson and Ilknur Zer).
Dynamics in multi-markets: Quality and financial technological
changes (with Alejandro Bernales).
CONFERENCES/ European Financial Association–EFA,
PRESENTATIONS European Economic Association–EEA,
Banco Central do Brasil,
UAI Business School, Universidad Adolfo Ibanez,
Midwest Finance Association MFA, Orlando,
Finance UC, Pontificia Universidad Católica de Chile,
FEN, University of Chile,
Diego Portales University,
The International Conference of the Financial Engineering and
Banking Society, FEBS, London,
Bank of England, London,
LSE, PhD Seminar, London,
Measuring Systemic Risk and Issues for Macroprudential Regulation,
Bank of England, FMG, London,
PRIZES AND
AWARDS
2016
2016
2016
2014
2014
2013
2013
2013
2012
2011
2011
2011
Chilean Government Research Grant Fondecyt,
2014–2016
Millennium Institute Market Imperfections and Public Policy, 2014–2016
LSE Research Studentship Scheme Fellowship.
2008–2013
Marie Curie Scholarship, Manchester Business School,
2008
Javier Pinto Scholarship for MSc. program,
2004
SUPERVISION OF Angelo Torres, PhD student, in progress.
STUDENTS
Pedro Concha, The effects of multiple markets on stock market liquidity,
MSc student, in progress.
Maricel Vargas, News in dynamic markets, MSc student, in progress (cosupervisor).
Nicolás Garrido, Dynamic equilibrium in multiple limit order markets,
MSc student, in progress (co-supervisor).
Juan Ignacio Moya, Relación entre volatilidad de variables macroeconómicas y crisis financieras, 2016.
Benjamı́n Cuadra, Cómo la incertidumbre podrı́a afectar la probabili-
dad de futuras recesiones? 2016.
Andrés Martinez, Medidas implı́citas por opciones en el corte transversal de los retornos esperados de acciones, 2016.
Thomas Dabovich, Riesgo sistémico en el sector financiero, análisis mediante regresiones de series de tiempo y de corte transversal, 2015.
Italo Riarte, Dynamic equilibrium in multiple markets, 2016 (co-supervisor).
EXTERNAL
EXAMINER
Rodrigo Orellana, Dynamic equilibrium in limit order markets: Analysis
of depth disclosure and lit fragmentation, MSc student, Departamento de
Matemáticas, Universidad de Chile, 2016.
Fernando Brito, Fertility and household savings: The case of chile, MSc
student, 2015.
Nora Rugiero, Efectos del subsidio a la forestación: Evidencia al cambio
en el Decreto Ley No 701, MSc student, 2015.
Nicolás Tagle, Fondos mutuos y volatilidad de los retornos accionarios:
Evidencia desde una economı́a emergente, MSc student, 2014.
Madeleine Echeverrı́a, Brecha de género de la inclusión financiera de
Chile y Latinoamérica, 2016.
Rita Torres, Impacto del riesgo de refinanciamiento y de efectivo disponible
sobre los spreads de bonos corporativos, 2015.
Manuel Camara, Estimación de probabilidades de incumplimiento utilizando información de mercado, 2014.
PROFESSIONAL
EXPERIENCE
University of Chile, Assistant Professor,
London School of Economics, Systemic Risk Center,
Research Associate,
London School of Economics, Financial Markets Group,
Research Associate,
Bank of England, Research Assistant,
University of Edinburgh, Research Assistant,
Pontificia Universidad Católica de Chile, la clase ejecutiva,
2013–
2013–
2011–
2011
2006–2008
2005–2006
OTHER
ACTIVITIES
Santiago Finance Workshop Organizing Committee,
Doctorado en Sistemas de Ingenierı́a Committe,
SKILLS
Languages: Spanish (native), English.
Softwares and Languages: R, Stata, Eviews, Gauss, and MATLAB.
2015–
2015–